截面型多因子量化模型在沪深300指数的投资应用研究

发布时间：2018-01-29 19:11

本文关键词： 量化投资多因子模型沪深300指数超额收益　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：伴随着量化投资技术和理念的成功,量化投资在我国也受到越来越多金融投资者的关注。自21世纪以来,量化投资的基本理念和相关技术开始逐步在是市场中涌现,成为投资机构研究的重要议题。中国资本市场的巨大体量,以及日趋完善的产品结构,为量化投资在中国的发展提供了巨大的空间。在我国金融改革不断深化的大环境中,对于更加专业化的量化投资方法的研究与探索是一个重要课题。本文搭建的截面型多因子模型是以国际主流的多因子模型为理论基础,通过在时间截面上的因子进行选择和建模,对各个因子的收益风险进行分析,研究其对股票市场价格的驱动效应。在此基础上,确定截面型多因子组合的各标的份额,构建投资交易策略,探究模型是否在国内市场适用。截面型多因子模型的研究会对投资者具有一定的指导意义。当前,国内投资者所选用的量化策略模型主要是基于多因子模型理论,因此进一步完善和研究适合A股市场的多因子投资模型是我国量化投资发展的重要命题。本文在第一部分中,主要陈述了量化投资以及因子模型在我国的发展状况。第二部分,提出了截面型多因子模型与传统多因子模型的异同,和模型的创新点和优势。第三部分主要是对截面型多因子模型的具体建模和构建步骤进行了论述。第四部分是通过基于沪深300成分股,将模型进行回测应用,评价其是否获得稳定的超额收益以及风险是否可控。在进行模型构建过程中,讨论了因子的相关性,以及收益是否稳定,最终模型回测结果年化收益率达到39.65%,对沪深300基准超额收益为30.6%,并且风险较为可控,为模型构建整理了一条比较完整的思路。本文主要将截面型多因子模型进行优化和实际应用,对模型回测结果做了详尽的分析。另外,模型讨论了用股指期货对冲方法,并把股指期货对冲的方法引入了投资组合配置当中,取得了不错的成效。将股指对冲引入模型也使得截面型多因子更加具有实用性,具有重要的现实作用。
[Abstract]:With the success of quantitative investment technology and concept, quantitative investment in China has also attracted more and more attention of financial investors. Since 21th century. The basic concept and related technology of quantitative investment begin to emerge gradually in the market and become an important topic of investment institutions. The huge volume of Chinese capital market and the increasingly perfect product structure. It provides a huge space for the development of quantitative investment in China. The research and exploration of more specialized quantitative investment methods is an important subject. The cross-section multi-factor model is based on the international mainstream multi-factor model. Through the selection and modeling of the factors in the time section, this paper analyzes the return risk of each factor, and studies its driving effect on the stock market price. Determine the cross-section multi-factor combination of each target share, build investment trading strategy, explore whether the model is applicable in the domestic market. The cross-section multi-factor model research will have a certain guiding significance for investors. At present. The quantitative strategy model chosen by domestic investors is mainly based on the theory of multi-factor model. Therefore, to further improve and study the multi-factor investment model suitable for A-share market is an important proposition for the development of quantitative investment in China. In the first part of this paper. The paper mainly describes the development of quantitative investment and factor model in China. The second part puts forward the similarities and differences between cross-section multi-factor model and traditional multi-factor model. The third part mainly discusses the specific modeling and construction steps of cross-section multi-factor model. Part 4th is based on Shanghai and Shenzhen 300 constituent stock. In the process of model construction, the correlation of factors and the stability of income are discussed. The annual return rate of the final model is 39.65, the benchmark excess return of Shanghai and Shenzhen 300 is 30.6, and the risk is more controllable. In this paper, the cross-section multi-factor model is optimized and applied in practice, and the model back test results are analyzed in detail. The model discusses the hedging method of stock index futures, and introduces the hedging method of stock index futures into portfolio allocation. The introduction of stock index hedging into the model also makes cross-section multi-factor more practical and has an important practical role.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】