“极小投资模型”的数理基础与市场实证

发布时间：2018-01-14 21:10

本文关键词：“极小投资模型”的数理基础与市场实证　出处：《华南理工大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国证券市场经历了20几年的风风雨雨，从无到有，从初生到逐步走向规范化、市场化、国际化。由于种种原因，我国股市熊长牛短，特别是2008年的金融危机，全球股市一片迭声，股民苦不堪言。然而在2008年底的统计中，美国的数学天才西蒙斯凭借其出色的数量化投资能力，夺得了对冲之王‖宝座，成为比大炒家索罗斯还要赚钱的人。西蒙斯的量化投资已作为投资神话进入华尔街的历史。特别是近年来，有效市场假说不断地受到冲击，，市场行为也表明股市波动不总是随机游走的。量化投资颠覆了传统的投资策略，给予我们一种全新的投资理念与投资视角。西蒙斯的神话表明大盘指数并非无法超越，我们完全可以将合理的投资思想、理念、市场规律等构造在模型当中，实现超过市场的平均收益率。本文首先概括性地介绍了量化投资的历史与现状，然后根据我国证券市场的特点构造了极小投资模型，紧接着从数学理论上应用金融数学对模型进行详尽的论证，证明我们所构造模型的科学性与合理性。最后应用模型进行了市场实证，对模型结果进行了仔细的分析。结果表明，我们构造的模型是能实现超过市场的平均收益率。可以为投资者的投资行为提供合理的建议。本文基于量化择时与算法交易，构造了极小投资模型。这个模型在市场上是首次提出。
[Abstract]:China's securities market has experienced more than 20 years of ups and downs, from scratch to gradually to standardization, marketization, internationalization. Due to various reasons, China's stock market bears are short. In particular, in 2008, the financial crisis, the global stock market one after another, investors suffer, but in end of 2008 statistics, the United States mathematical genius Simmons with its excellent quantitative investment ability. He won the throne of hedge king to make more money than the big speculator Soros. Simmons' quantitative investment has entered the history of Wall Street as an investment myth. Especially in recent years, the efficient market hypothesis has been under constant attack, market behavior also shows that stock market volatility is not always random. Quantitative investment overturns the traditional investment strategy. Simmons' mythology shows that the market index is not insurmountable. We can construct reasonable investment ideas, ideas, market laws and so on in the model. Achieve above the market average rate of return. This paper firstly introduces the history and present situation of quantitative investment, and then constructs a minimal investment model according to the characteristics of China's securities market. Then from the mathematical theory of the application of financial mathematics to the model for detailed demonstration, to prove that our model is scientific and reasonable. Finally, the application of the model to market empirical. The results show that the model is able to achieve the average rate of return above the market, and can provide reasonable advice for investors' investment behavior. In this paper, a minimal investment model is constructed based on the transaction of quantization timing and algorithm, which is the first time in the market.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.59

【参考文献】