交易市场中价格崩溃现象的技术面原因及相关程序化策略构建

发布时间：2018-03-23 09:58

本文选题：技术分析　切入点：价格崩溃　出处：《复旦大学》2014年硕士论文

【摘要】：自中国从西方舶来技术分析以后,这种分析思路便在民间和专业交易界广泛流传开来。但是,也许是基于图形的技术分析流派多、方法杂,学术上并没有一个很好的突破口,也没有一些公认的工具来对“技术”进行深入的剖析。本文试图在庞大技术分析体系中定位一个小的切入点,用自己的逻辑体系和工具,对此进行深入探讨。价格崩溃,指的是交易市场中,资产价格在某个方向上已经累积了较大波幅,随后在这一方向上爆发的现象。需要注意的是,它不仅指价格的加速下跌(多头崩溃),亦包含价格加速上涨(空头崩溃)。从廓清技术、技术分析等概念开始,笔者用相对比较精准的语言给出了技术分析的目标；在发现交易公理的基础上,从交易理念的角度,在交易方法分类体系中提炼出本文的研究对象,即价格持续单向波动并加强(或称价格崩溃)的现象。接下来,本文梳理了与这一现象有关的理论基础,包括心理学和金融学的内容。在以上全部准备的基础上,笔者提炼出四个催化价格崩溃的技术面原因并运用数学工具对它们一一进行量化。量化的目的,是做实证检验以及程序化交易系统。这也是本文的目的之一将理论结论付诸于实践,服务于盈利。本文从基本概念上升到研究体系,再从理论逐步走向实证,最终落地于实践。运用到的思想方法和工具主要包括笛卡尔的科学探究方法、文献研究、计量检验中的最小二乘法、交易程序的历史回测和分析,运用到的软件主要是Eviews计量软件以及金字塔程序化交易策略平台。笔者认为,本文的最主要贡献是对技术分析的目标做了一个比较清晰的廓清和定义。在此基础上,本文尝试提供了一套比较完整的技术问题研究方法。经过研究,本文认为,分钟线级别的价格崩溃在技术角度上有规律可循,这种现象存在认知心理学和市场微观结构方面的基础,因此必将在市场上反复出现、长期存在。从技术角度,本文挖掘出波幅扩张、平台突破、均线形态、量能爆发等四项影响该现象出现的因素,并通过实证检验,发现这四项因素在不同的时间段内的作用效果都不一样。最后,程序化交易模型的历史回测数据证明,价格崩溃现象可以被利用以持续获利。
[Abstract]:Since the introduction of technology analysis from the West in China, this kind of analysis has been widely spread in the field of folk and professional trade. However, it may be that there are many schools of technical analysis based on graphics, various methods, and there is not a very good breakthrough in the academic field. There are no recognized tools to analyze "technology" deeply. This paper tries to locate a small entry point in the huge technical analysis system, and use its own logical system and tools to explore it in depth. A phenomenon in a trading market in which asset prices have accumulated large fluctuations in one direction and then erupted in that direction. It not only refers to the accelerated decline of price (long collapse, long collapse), but also includes price acceleration (short collapse). Starting with the concepts of clearance technology and technical analysis, the author gives the objective of technical analysis in relatively accurate language. Based on the discovery of transaction axioms and from the perspective of transaction concepts, this paper abstracts the research object of this paper, that is, the phenomenon of price fluctuating in one direction and strengthening (or price collapse). This article combs the theoretical basis related to this phenomenon, including the contents of psychology and finance. On the basis of all the above preparations, The author abstracts the technical reasons for the collapse of four catalytic prices and uses mathematical tools to quantify them one by one. It is also one of the purposes of this paper to put the theoretical conclusions into practice and serve the profit. This paper rises from the basic concept to the research system, and then from the theory to the empirical step by step. The methods and tools used mainly include Descartes' scientific inquiry method, literature research, least square method in econometric examination, historical review and analysis of transaction procedure. The software used is mainly Eviews metrology software and pyramid program trading strategy platform. The author thinks that the main contribution of this paper is to make a clear definition of the goal of technical analysis. This paper attempts to provide a relatively complete set of technical research methods. This phenomenon has the basis of cognitive psychology and market microstructure, so it will appear repeatedly in the market for a long time. From the technical point of view, this paper excavates the amplitude expansion, the platform breakthrough, the average line form. Four factors influencing the occurrence of the phenomenon, such as energy explosion, are found to have different effects in different time periods by empirical test. Finally, the historical data of programmed transaction model prove that, Price collapses can be exploited for sustained profit.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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