這是一個非常飄的題目，這裡CTA的界限是，中低頻期貨量化研究，包括文獻的閱讀和梳理、數據搜集和基本處理、因子（策略）的定義和測試、組合構造和風險管理，以及交易執行和歸因分析。這是一條非常標準的研究鏈條，裡面每一點展開就是一個龐大網路。

從14年開始，CTA逐漸火熱；尤其18年是以來，風頭漸佳。今年通過寫專欄和公眾號文章，結識不少該領域的優秀研究員，交流之中收穫頗豐。於是近期整理並歸類了相關的文獻資料，詳細可見Bibliography列表和思維導圖，以後肯定還會做一些補充；後面我和小夥伴會以專題的形式撰寫報告，部分課題會拿國內的數據做實證研究。

趕在2018年年底，這篇文章算是挖了一個坑，歡迎學界和業界的小夥伴一起溝通交流。

思維導圖

公眾號回復」futures-research「，會自動推送高清版的圖片

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（END）

公眾號：

Chihiro Quantitative Research

知乎專欄1：跨資產的因子配置

zhuanlan.zhihu.com/c_15

知乎專欄2：因子投資那些事兒

zhuanlan.zhihu.com/fact

CQR，專註資產配置和因子投資


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