基于国内商品期货的量化投资优化策略

发布时间：2018-01-14 09:20

本文关键词：基于国内商品期货的量化投资优化策略　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着金融市场的扩张、金融创新的发展,信息量的增长远远高于人脑能够处理的范围,量化投资较传统投资的优势逐渐显现,多学科融合态势加剧,量化投资未来前景广阔。国内从事量化投资的私募基金公司活跃度有限,中型私募公司为其中坚力量,面向此类公司的量化投资策略具有广阔的市场前景。本文首先介绍了量化投资市场的背景,归纳总结梳理了国内外有关于量化投资概念、现状、经济理论、数理方法以及常用策略模型的相关文献,通过理论研究和访谈交流相结合的方式了解目前国内量化投资市场现状和主要量化投资策略,避开目前主流的经济理论导向的多因子模型,选择采用协整套利模型。根据量化投资理论,筛选出国内商品期货市场农产品和金属大类的协整关系较好部分品种进行协整关系的构建,设立合理的开平仓规则以及警戒点设定,制定出一套具有理论支撑的量化投资策略,并得到超过5年的回测结果支撑。根据策略自身特点,可以直接与交易员形成交易系统体系,并提出合理的建立和完善措施以及可行的销售与推广方案。
[Abstract]:With the expansion of financial market and the development of financial innovation, the increase of information is far higher than the range of human brain can deal with, the advantages of quantitative investment than traditional investment gradually appear, and the trend of multidisciplinary integration is becoming more and more serious. Domestic private equity companies engaged in quantitative investment activities are limited, medium-sized private equity companies for its backbone. The quantitative investment strategy for such companies has broad market prospects. Firstly, this paper introduces the background of quantitative investment market, summarizes and combs the domestic and foreign quantitative investment concept, current situation, economic theory. Through the combination of theoretical research and interview and exchange, we understand the current situation of domestic quantitative investment market and the main quantitative investment strategies. Avoid the current mainstream of the economic theory oriented multi-factor model, choose to adopt the co-set of profit model, according to the quantitative investment theory. Screening out the domestic commodity futures market cointegration relationship between agricultural products and metal large categories of good cointegration relationship of some varieties to build up a reasonable opening and closing rules and warning point setting. A set of quantitative investment strategy with theoretical support has been developed, and obtained more than 5 years of back test results. According to the characteristics of the strategy itself, we can directly form a trading system with traders. And put forward reasonable establishment and perfect measure and feasible sale and promotion plan.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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