海通证券在量化投资背景下的发展与创新

发布时间：2018-01-02 02:31

本文关键词：海通证券在量化投资背景下的发展与创新　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：伴随着国内证券市场复杂程度日益提升,市场规模日益庞大,投资品种数量与日俱增,以往单纯依靠投资经理个人主观判断为主的传统投资面临较大挑战。越来越多的专业机构开始关注量化投资,量化投资的重要性也逐渐被认识和认可。国内市场掀起了一股量化产品发行热潮,包括基金、券商、私募等专业机构都纷纷推出各自的量化产品。量化投资在海外的发展已有30多年的历史,由于其投资业绩稳定,市场规模和份额不断扩大、得到了越来越多投资者认可。从1970年定量投资在海外全部投资中占比为零,到2009年定量投资在全部海外投资产品中的市场交易份额中占30%以上,主动投资产品中大约有20%到30%使用定量技术。而在2010年中国定量投资规模总量大约不足200亿元,在全部基金管理规模中占比不到1%。可以说量化投资在中国目前还是一块需要开垦的处女地,未来发展空间非常巨大。本文从量化投资的基本概念出发,阐述了其与传统投资的不同之处；阐述了海外量化投资的发展情况,进而分析了其在中国投资市场的土壤中发展的现状和预期；对适用于当今国内证券市场的若干典型量化策略的原理和应用进行了介绍；着眼于量化投资的主要特点,从多方面对量化投资对国内现有证券市场带来的变化进行了分析；最后,介绍了海通证券在业务中对于量化投资的部署,以及今后推进量化策略的方向和措施。
[Abstract]:With the increasing complexity of the domestic securities market, the scale of the market is becoming larger and larger, and the number of investment varieties is increasing day by day. In the past, the traditional investment which relied solely on the subjective judgment of investment managers faced great challenges. More and more professional organizations began to pay attention to quantitative investment. The importance of quantitative investment has been gradually recognized and recognized. The domestic market has set off a wave of quantitative product distribution, including funds, brokers, private equity and other professional organizations have launched their own quantitative products. Quantitative investment has been developed overseas for more than 30 years. Due to its stable investment performance, the market size and share are expanding. It has been recognized by more and more investors. Since 1970, quantitative investment has accounted for zero of the total overseas investment. By 2009, quantitative investment accounted for more than 30% of the total market share of overseas investment products. Between 20% and 30% of the active investment products use quantitative technology. In 2010, the total amount of quantitative investment in China was less than 20 billion yuan. It can be said that quantitative investment is still a virgin land to be reclaimed in China at present, and the future development space is very large. Starting from the basic concept of quantitative investment, this paper expounds the difference between it and traditional investment. This paper expounds the development of overseas quantitative investment, and then analyzes the present situation and expectation of its development in the soil of Chinese investment market. This paper introduces the principle and application of some typical quantitative strategies which are suitable for domestic securities market. Focusing on the main characteristics of quantitative investment, this paper analyzes the changes brought about by quantitative investment to the existing securities market in China from many aspects. Finally, the paper introduces how Haitong Securities deploys the quantitative investment in the business, and the direction and measures to promote the quantification strategy in the future.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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