基于Alpha动量的交易系统设计

发布时间：2018-04-20 10:35

本文选题：量化投资 + 分形市场　；参考：《南京大学》2012年硕士论文

【摘要】：量化投资在海外已经有了三十多年的发展历史,在全球投资量中已经占有约30%的份额。国内这方面刚处于起步阶段,数量化投资在中国A股市场上占有的地位事实上非常有限。排名靠前的基金或者比较知名的基金经理都不是纯做量化投资的人。但是,随着市场交易品种的增加和计算机系统的更新换代,量化的金融产品如雨后春笋般出现。本文接着又介绍了量化投资方面的研究情况,现代量化投资已经不仅仅是将随机过程,时间序列分析等传统数量金融手段应用与投资市场,而是有更多更丰富的工程应用手段,将处理很多其他问题的方法应用于投资已经是大势所趋资。本文的主要研究内容有以下三点1.根据市场中存在的动量效应,构建了先选行业再筛选股票的行业-个股alpha动量策略,提取出个股的alpha之后,再根据正alpha所存在的动量效应,设计交易策略；2.提出一整套交易系统应该具备的要素,并对投资中的资金管理进行初步的研究；3.调整交易策略和资金管理系统,分析传统的平均分仓,基于凯利公式,以及基于文斯公式的资金管理方法,探讨各种资金管理方法的优缺点和适应范围,设计出比较可靠的量化交易系统。
[Abstract]:Quantitative investment has a history of more than 30 years overseas, accounting for about 30% of global investment. Domestic this aspect is just in the initial stage, quantitative investment in China's A-share market in fact occupies a very limited position. Top-ranked funds or better-known fund managers are not purely quantitative investors. However, with the increasing variety of market transactions and the upgrading of computer systems, quantitative financial products have sprung up. This paper then introduces the research situation of quantitative investment. Modern quantitative investment has not only applied traditional quantitative financial means such as stochastic process and time series analysis to the investment market, but also has more and more abundant engineering application methods. It is a general trend to apply approaches to many other problems to investment. The main contents of this paper are as follows: 1. According to the momentum effect in the market, this paper constructs the alpha momentum strategy of the individual stock which selects the industry first and then selects the stock. After extracting the alpha of the individual stock, and then according to the momentum effect of the positive alpha, the trading strategy is designed. Put forward a set of trading system should have the elements, and investment in the management of funds to carry out a preliminary study. Adjust the trading strategy and fund management system, analyze the traditional average position, based on Kelly's formula and Vince's formula, discuss the advantages and disadvantages and adaptive scope of various fund management methods. A reliable quantitative trading system is designed.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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