建立在中国股市的数量化投资模型实证分析

发布时间：2018-02-25 19:21

本文关键词： 数量化投资模型沪深300 收益风险　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：继2004年、2005年分别发行光大保德信量化核心基金和上投摩根阿尔法基金后,时隔四年,嘉实量化基金和中海量化策略基金在2009年先后发行,量化基金再次进入人们的视线,这两只基金所采用的国际流行的数量化投资方法,也再次引起市场和投资者的关注。数量化投资在海外已有30多年的发展历史,已成为主流投资策略之一,但是对国内的普通投资者来说,它还是充满着神秘感。数量化投资策略一般都由高学历的数量分析师团队运作,他们使用复杂的理论模型和先进的计算机技术以求超越市场。虽然在理论上数量化模型应该能够获取超额收益,但是实际表现却常常引起很大争议。通常在牛市中数量化策略表现出色,在熊市中却也和其他策略一样面临巨大的风险。虽然在中国的市场上已经出现了很多的量化投资基金,表明已经有不少的人从事着量化投资的事业,但是,对于外界的人来说,量化投资就如同一个暗箱操作,很少有人真正的明白其操作的原理和其盈利的原因。本文为了揭开这层神秘的面纱,利用ATR Channel Breakout Bollinger Breakout、RSI Trend Catcher三个业内经典的模型,在对中国股票市场交易结构的合理假设下,对国内沪深300指数成分股的历史数据进行实证分析,从收益和风险两个方面比较它们的投资效果,并与沪深300指数的表现进行比较,结果发现,在经典的模型合理的修改下,在中国的市场上也能有较好的收益,但也存在着关于风险方面的问题,最后,根据量化模型具体交易的实践,分析了量化模型能够获利的原因,提出了自己的修改意见,为中国市场上数量化投资模型提供比较大的参考意义。
[Abstract]:Following the issuance of Everbright Prudential Quantification Core Fund and the Morgan Alpha Fund respectively on 2004 and 2005 respectively, four years later, the Castrol Quantification Fund and the China Shipping quantitative Strategic Fund were issued successively on 2009, and the Quantification Fund again came to the attention of people. The international and popular quantitative investment methods adopted by the two funds have once again attracted the attention of the market and investors. Quantitative investment has been developing overseas for more than 30 years and has become one of the mainstream investment strategies. But for ordinary domestic investors, it is still full of mystery. Quantitative investment strategies are generally run by a team of highly educated quantitative analysts. They use sophisticated theoretical models and advanced computer technology to outperform the market, although in theory quantitative models should be able to generate excess returns. But actual performance is often controversial. Quantitative strategies usually perform well in bull markets, but in bear markets they are as risky as other strategies. Although there have been many quantitative investment funds in the Chinese market, indicating that there are already many people engaged in the business of quantitative investment, to the outside world, quantitative investment is like a dark box operation. Few people really understand the principle of its operation and the reason of its profit. In order to uncover this mysterious veil, this paper makes use of the three classic models of ATR Channel Breakout Bollinger Breakout RSI Trend Catcher, under the reasonable assumption of the trading structure of the Chinese stock market. This paper makes an empirical analysis on the historical data of the Shanghai and Shenzhen 300 index, compares their investment effects from the two aspects of income and risk, and compares them with the performance of the Shanghai and Shenzhen 300 index. The results show that under the reasonable modification of the classical model, In the Chinese market, there are also some problems about risk. Finally, according to the practice of quantitative model, the paper analyzes the reasons why the quantitative model can make profits, and puts forward its own amendment opinion. This paper provides a reference for quantitative investment model in Chinese market.
【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】：F224;F832.51

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