国内商品期货“短周期”量化投资策略研究

发布时间：2018-03-01 04:42

本文关键词： 量化投资趋势型策略震荡型策略 Hurst指数商品期货　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：量化投资指通过软件编写程序,将投资理念和方法通过特定的数学模型表现出来的投资方式。本文的研究内容为一种可以自适应不同市场环境的量化投资策略一一"短周期"量化投资策略,主要对其理论基础及其在我国商品期货市场实证表现进行研究。首先本文选取了目前市场较为主流的策略作为"短周期"量化投资策略子策略:基于海龟法则的量化投资策略作为趋势型子策略,基于布林线的震荡型量化投资策略作为震荡型子策略。分别对这两个策略在我国的商品期货市场的表现进行研究。揭示了这两个量化投资策略在我国商品市场不同品种的表现。其次本文对我国商品期货市场进行分形特征的研究,揭示了目前我国商品期货市场的收益率序列具有的符合分形市场假说的特征,也说明了与分形市场假说相关的Hurst指数在我国商品期货市场的运用的合理性。在此基础上研究了Hurst指数及局部Hurst指数在我国商品期货市场的运用,揭示了 Hurst指数与商品期货合约价格之间的关系,也为之后提出的"短周期"量化投资策略形成理论基础。之后本文引入Hurst指数,将两个子策略结合起来,形成"短周期"量化投资策略,对其进行实证研究。并对参数进行优化以及进行样本外测试,发现可以获得超额收益。最后本文提出了"短周期"量化投资策略之后的研究方向。
[Abstract]:Quantitative investment refers to programming through software, This paper focuses on a quantitative investment strategy, which can adapt to different market environments, namely, "short period" quantitative investment strategy. This paper mainly studies its theoretical basis and its empirical performance in China's commodity futures market. Firstly, this paper selects the more mainstream strategy of the current market as the sub-strategy of "short period" quantitative investment strategy: based on the Turtle Rule. Quantitative investment strategy as a trend sub-strategy, This paper studies the performance of these two strategies in the commodity futures market of our country, and reveals that these two quantitative investment strategies are not in the commodity market of our country. Secondly, this paper studies the fractal characteristics of China's commodity futures market. This paper reveals the characteristics of the yield sequence of the commodity futures market in China, which accord with the fractal market hypothesis. It also shows the rationality of the application of Hurst index related to fractal market hypothesis in China's commodity futures market. On this basis, the application of Hurst index and partial Hurst index in China's commodity futures market is studied. This paper reveals the relationship between Hurst index and commodity futures contract price, and forms the theoretical basis for the "short period" quantitative investment strategy proposed later. Then this paper introduces Hurst index to combine the two sub-strategies. Form a "short period" quantitative investment strategy, conduct empirical research on it, optimize the parameters and carry out out-of-sample tests, Finally, this paper puts forward the research direction after "short period" quantitative investment strategy.
【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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