资金流与主动成交量对HS300指数的影响模型

发布时间：2018-05-24 01:18

本文选题：资金流 + 价量分析　；参考：《华东师范大学》2012年硕士论文

【摘要】：在证券市场中,如何能够战胜市场一直是众多研究员和基金经理努力追求实现的目标,从证券市场以来主流的研究方法分两种,一种是基本面的分析,一种是技术分析,而随着统计学理论和计算机技术的不断完善,出现了一种新的金融工程分析方法,主要以利用各种数学方法来对交易数据和基本面数据进行建模分析,以期望构造交易策略战胜市场。价与量的研究和分析一直是技术分析和金融工程的重要任务,而资金流的研究在现代市场的热度从未减弱,自从Welles Wilder于1989年提出资金流指标MFI以来就一直吸引着大家的研究热情,至今众多券商很多研究也集中于此。但资金流的影响却是众说纷纭,资金流的定义方式也是百花齐放,大体上资金流的定义并不会质的影响到研究结果。资金流如此的吸引大家的注意主要因为资金是推动股市上涨的直接动力,如果能正确预测资金流以及资金流对股市收益率的影响将会是对投资非常有意义的。对价和量的研究国内主要都集中在日线数据,得到了许多结论,本文则主要采用高频的交易数据来探寻一种新定义的主动成交量对价格产生的影响,而资金流方面,存在很多方面的研究,定义方式略有不同,也得到了许多结论,主要分为两派,一种认为历史资金流对股票收益率有负向预测,还有一种认为历史资金流对股票收益率有正向预测作用,本文采用了一种新的定义资金流的方法,并探寻了此种定义方法情况下不同周期资金流对收益率的预测作用,以及进行了基于此构造的成分股资金流反转策略检验。
[Abstract]:In the securities market, how to overcome the market has been the goal that many researchers and fund managers have been striving to achieve. Since the stock market, there have been two main research methods, one is fundamental analysis, the other is technical analysis. With the continuous improvement of statistical theory and computer technology, a new financial engineering analysis method has emerged, which mainly uses various mathematical methods to model and analyze transaction data and fundamental data. Beat the market with expectation structure trading strategy. The research and analysis of price and quantity has always been an important task of technical analysis and financial engineering, and the research of capital flow has never weakened in the heat of the modern market. Since Welles Wilder put forward the capital flow index MFI in 1989, it has been attracting people's research enthusiasm, and so far, a lot of research has been focused on it. However, the influence of capital flow is different, the definition of capital flow is also a combination of flowers, on the whole, the definition of capital flow will not affect the research results qualitatively. Capital flows attract so much attention mainly because money is a direct driver of the stock market's rise, and it would make sense to invest if you can correctly predict the flow of money and its impact on stock market yields. The research on price and quantity is mainly focused on daily line data, and many conclusions have been drawn. In this paper, we mainly use high-frequency trading data to explore the effect of a new definition of active trading volume on the price, while in the aspect of capital flow, There are many aspects of research, a slightly different definition, but also a lot of conclusions, mainly divided into two schools, one is that historical capital flows have a negative prediction of stock returns. Another is that the historical capital flow has a positive effect on the stock return. This paper adopts a new method to define the capital flow, and probes into the forecasting effect of the different period capital flow on the return rate under the condition of this kind of definition method. And based on the structure of the composition of the capital flow reversal strategy test.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.91

【参考文献】