[Strategy Research Notes] Multi-armed Bandits
1
Explanation of Central Bank Bill Swap CBS
Just now while recording a video, a friend asked me what the Central Bank Bill Swap means. He saw a news report saying that today the central bank operated a 5 billion bill swap, with a term of 3 months and a rate of 0.1%. The institutions that won the bid include state-owned large commercial banks, joint-stock banks, city commercial banks, rural commercial banks, securities companies, and various financial institutions.The bonds exchanged include perpetual bonds issued by large state-owned banks and joint-stock banks, as well as perpetual bonds issued by city commercial banks.
The last sentence is key.
Previously, in order to supplement the banks’ capital, the central bank guided banks to issue perpetual bonds. Then these perpetual bonds need institutions to buy them. Generally, banks with tight capital issue them, while those with ample capital buy them, which feels like institutional mutual holding. But could some institutions that were relatively capital-rich at that time also face capital tightness? From a dynamic perspective, this situation is possible. So when the central bank and the CBIRC promoted these perpetual bonds, they left a backdoor—perpetual bonds can be exchanged for liquidity through CBS with the central bank.
So this is actually a help to the short-term pressure of banks’ capital supplementation.
2
Using CNN Network to Analyze Candle Patterns
A few days ago, while discussing “Two Methods to Convert Time Series into Two-Dimensional Images,” I actually laid the groundwork for today’s exploration of this literature.
3
Quantitative Results as of June 29, 2020
Today a fan asked if the chart could be restored to color. To satisfy everyone, although the index fell today, the structural composition still shows differentiation. No need to panic too much.
I know the market is worried about rumors that banks want to take away the brokers’ “livelihoods,” so today the brokerage sector looks a bit weak. However, I have always believed that professionals do professional things. Some things are not what banks are good at. Just like fully licensed bank wealth management, it still does a lot of outsourcing and holding to maturity. The institutional styles of banks differ from those of brokers and funds. No need to overthink it.
It was only when writing today’s results in the evening that I discovered that the table I modified yesterday still had errors in the judgment column. The Growth Enterprise Market didn’t move yesterday. Although the index fell today, there were no adjustments made to the AI-1 position, probably because AI is
“waiting to see.”
For those who don’t understand the AI results, click here: Important, how to buy index ETFs with AI-1
| AI-1 Position Configuration | |||
| Variety | Previous Position | Current Position | AI Judgment |
| Shanghai Stock Exchange 50 | 9.27% | 9.27% | No Change |
| CSI 300 | -38.41% | -38.41% | No Change |
| Growth Enterprise Market 50 | 52.31% | 52.31% | No Change |
| Cannot Short or Follow AI-1 Position Configuration | |||
| Variety | Previous Position | Current Position | AI Judgment |
| Shanghai Stock Exchange 50 | 9.27% | 9.27% | No Change |
| CSI 300 | – | – | – |
| Growth Enterprise Market 50 | 52.31% | 52.31% | No Change |
Current Net Value Trend and Adjustment Dynamics of AI-1:
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| Click to view, good luck always accompanies you!