智能选股与人工量化操作结合研究

发布时间：2018-04-05 10:14

本文选题：大数据　切入点：智能选股　出处：《湖北工业大学》2017年硕士论文

【摘要】：中国证券市场从1991年的8只股票发展到2017年3月1日的3124只股票,这短短的20多年走过了西方资本市场的百年发展轨迹,市场容量增长迅猛,A股在国际市场的影响力也不断增加。我们看到中国资本市场迅速发展壮大的同时,也产生很多飞速发展的消极产物。自2005年至2008年这波牛市后,量化投资日益引起国内机构投资者以及高校学者的重视,量化投资及智能选股的需求也被各类投资者更多的提出。但是目前量化投资策略与智能选股系统仍存在着不可防范的风险。针对中国资本市场快速发展存在的这一问题,本文将运用经济学、统计学、现代数学等相关知识和理论以及本人长期跟踪的50ETF、300ETF及个股实操数据与经验,深入分析量化投资策略与智能选股系统的存在的机遇与风险,结合智能选股模型用实证分析探寻人工量化操作模式,进一步探索适合中国目前资本市场现状的超额收益策略。本文主要通过四部分来开展研究与实践。第一部分为引言。对选题背景、研究目标、研究方法、实验方案、创新之处和技术路线分别阐述。第二部分为智能选股与量化投资国内外研究现状。阐述了国内外智能选股与量化投资相关的基础理论的发展与演变。第三部分为智能选股与量化投资模型分析阐述。本人探索出人工量化智能选股模型,同时分析了智能选股系统与量化投资策略在中国市场应用的局限性及劣势。第四部分为人工量化操作策略在中国市场的实证分析。本人通过对上证50ETF、沪深300ETF和个股的人工量化操作实证分析,提出智能选股与人工量化操作建议关于人力准备、设备、心理、账户和操作方面的建议,最终得出结论。
[Abstract]:China's securities market has grown from 8 stocks in 1991 to 3124 stocks on March 1, 2017. This short period of more than 20 years has witnessed the century-old track of the development of western capital markets.Market capacity is growing rapidly, A-shares in the international market impact is also increasing.We see the rapid development of China's capital market, but also a lot of rapid development of negative products.After the bull market from 2005 to 2008, the quantitative investment has attracted more and more attention from domestic institutional investors and university scholars, and the demand for quantitative investment and intelligent stock selection has also been put forward more and more by all kinds of investors.However, there are still some risks in quantitative investment strategy and intelligent stock selection system.In view of this problem of the rapid development of China's capital market, this paper will use the relevant knowledge and theory of economics, statistics and modern mathematics, as well as the data and experience of 50ETF300 ETFs and individual stocks that I have been tracking for a long time.This paper deeply analyzes the opportunities and risks of quantitative investment strategy and intelligent stock selection system, and explores the artificial quantification operation mode with empirical analysis combined with intelligent stock selection model, and further explores the excess return strategy suitable for the present situation of China's capital market.This paper mainly through four parts to carry out research and practice.The first part is the introduction.The background, research objectives, research methods, experimental schemes, innovations and technical routes are described respectively.The second part is the current situation of intelligent stock selection and quantitative investment at home and abroad.This paper expounds the development and evolution of the basic theory of intelligent stock selection and quantitative investment at home and abroad.The third part is the intelligent stock selection and quantitative investment model analysis and elaboration.I have explored the artificial quantitative intelligent stock selection model and analyzed the limitations and disadvantages of intelligent stock selection system and quantitative investment strategy in China market.The fourth part is the empirical analysis of manual quantification strategy in Chinese market.Based on the empirical analysis of manual quantification operation of Shanghai 50ETF, Shanghai and Shenzhen 300ETF and individual stock, the author puts forward some suggestions on manpower preparation, equipment, psychology, account and operation for intelligent stock selection and manual quantification operation, and finally draws a conclusion.
【学位授予单位】：湖北工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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