产业链投资量化策略的研究

发布时间：2018-04-24 03:35

本文选题：产业链投资 + 量化策略　；参考：《上海交通大学》2014年硕士论文

【摘要】：产业链投资法意在通过构建产业上下游公司的组合来整合公司之间的相对波动风险，获得在风险与收益水平上具有优势的投资表现，这已通过之前的研究得到证实。但是产业链投资法本身是一项复杂的过程，人为手动的选股缺乏效率、不能发挥其最大的效力。量化投资作为一种投资方式，运用数学与计算机技术，按照一定的规则进行投资、交易，具有可规模化、自动化的特点，比较适用于产业链投资。在这样的思想下，本文实现了一个功能完备、可用的产业链投资量化策略研究平台，并通过该平台进行产业链投资量化策略的研究。本文通过量化因子模型对产业链上下游的公司进行择股，，利用效果较好的单因子设计构建了产业链量化多因子模型，并对其进行了模拟投资研究。本文纳入了沪深300指数、上证综合指数、恒生中国企业指数等一系列市场指数进行比较，并通过窗口期外投资、统计抽样的方法说明了产业链量化多因子策略指数相比市场指数具有优势。此外本文还对投资业绩评价指标进行了探讨，使用其它指标对产业链量化投资策略进行了再研究。最后，文章对结合卖空策略的产业链量化多因子策略进行了研究，发现其表现稳定，盈利能力较强。
[Abstract]:The industrial chain investment law aims to integrate the relative volatility risk between companies by constructing the combination of upstream and downstream companies, and to obtain the investment performance with advantages in the level of risk and income, which has been confirmed by previous studies. But the industry chain investment law itself is a complex process, artificial manual stock selection is inefficient, can not give full play to its maximum effectiveness. As a kind of investment mode, quantitative investment is suitable for investment in industrial chain by using mathematics and computer technology, according to certain rules to invest and trade, which has the characteristics of scale and automatization. Based on this idea, this paper implements a functional and usable research platform for the quantification strategy of industrial chain investment, and studies the quantification strategy of industrial chain investment through this platform. In this paper, the quantitative factor model is used to select the stock of the upstream and downstream companies of the industrial chain, and the quantitative multi-factor model of the industrial chain is constructed by using the single factor design with good effect, and the simulated investment is studied. This paper includes a series of market indexes, such as Shanghai and Shenzhen 300 Index, Shanghai Composite Index, Hang Seng China Enterprise Index, etc. The statistical sampling method shows that the quantitative multi-factor strategy index of industrial chain is superior to the market index. In addition, this paper also discusses the evaluation index of investment performance, and restudies the quantitative investment strategy of industrial chain by using other indicators. Finally, the paper studies the quantitative multi-factor strategy of industry chain combined with short selling strategy, and finds that its performance is stable and its profitability is strong.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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