Macroscopic properties of equity markets: stylized facts and portfolio performance
研究了美国股票市场的宏观特性如何影响主动投资策略，基于CRSP数据库总结了典型化事实，并系统回测了多样性加权投资组合的表现。
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity market, we study empirically several macroscopic properties defined in terms of market capitalizations and returns, and highlight a list of stylized facts and open questions motivated in part by stochastic portfolio theory. Additionally, we present a systematic backtest of the diversity-weighted portfolio under various configurations and study its performance in relation to macroscopic quantities. All of our results can be replicated using codes made available on our online repository.