“观察者模式框架”研究及其在量化投资中的应用
发布时间：2018-12-09 15:37
【摘要】：量化投资的指导原则——现代金融理论大多数是建立在关于金融市场随机不确定性的假设之上的。然而,金融市场是一个动态的、非线性的复杂适应系统,模糊不确定性才是对其更加符合的描述,这种模糊性同时也阻碍了人们对于金融市场运行的更多细节的认识。为了量化这种模糊性,本文基于量子力学中的相关理论和方法,提出了“观察者模式框架”及其相关在量化投资中的应用模型。从框架基本概念、函数方程构造、参数拟合估计、量化环境搭建、数值算例分析到实际在量化投资中的应用展开了一系列工作。主要如下：1.引入量子力学中的主要思想,通过定义观察者方程、观察信息源、观察窗口期、观察函数和量子phi提出了观察者模式框架的理论主干,给出了框架模型的分析逻辑、函数方程数学形式和参数估计方法,搭建了基于Matlab、Java和MySQL的框架分析量化环境。2.通过分别将观察者模式框架应用于量化投资中的资产配置和择时交易情形,提出了观察者模式投资组合模型和观察者模式择时交易模型。3.基于中国A股市场数据,对所提出的观察者模式投资组合模型和观察者模式择时交易模型进行实证研究,验证所提出的框架和模型的有效性。
[Abstract]:The guiding principle of quantitative investment, modern financial theory, is based on the assumption of random uncertainty in financial markets. However, the financial market is a dynamic, nonlinear complex adaptive system, fuzzy uncertainty is the more consistent description, this fuzziness also hinders the understanding of more details of the financial market operation. In order to quantify this fuzziness, based on the relevant theories and methods of quantum mechanics, the "Observer pattern Framework" and its application model in quantitative investment are proposed in this paper. From the basic concept of frame, function equation construction, parameter fitting estimation, quantization environment construction, numerical example analysis to the practical application of quantitative investment, a series of work has been carried out. The main contents are as follows: 1. The main idea of quantum mechanics is introduced. By defining the observer equation, observing the information source, observing the window period, observing function and quantum phi, the theoretical backbone of the framework of the observer pattern is put forward, and the analysis logic of the frame model is given. The mathematical form of function equation and the method of parameter estimation are used to build the framework analysis and quantification environment based on Matlab,Java and MySQL. 2. By applying the Observer pattern Framework to the asset allocation and timing trading in quantitative investment, a portfolio model of Observer pattern and a timed transaction Model of Observer Mode are proposed. 3. Based on the data of A share market in China, this paper makes an empirical study on the proposed Observer Mode portfolio Model and Observer Mode timing Trading Model, and verifies the validity of the proposed framework and model.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9;F224
本文编号：2369629
[Abstract]:The guiding principle of quantitative investment, modern financial theory, is based on the assumption of random uncertainty in financial markets. However, the financial market is a dynamic, nonlinear complex adaptive system, fuzzy uncertainty is the more consistent description, this fuzziness also hinders the understanding of more details of the financial market operation. In order to quantify this fuzziness, based on the relevant theories and methods of quantum mechanics, the "Observer pattern Framework" and its application model in quantitative investment are proposed in this paper. From the basic concept of frame, function equation construction, parameter fitting estimation, quantization environment construction, numerical example analysis to the practical application of quantitative investment, a series of work has been carried out. The main contents are as follows: 1. The main idea of quantum mechanics is introduced. By defining the observer equation, observing the information source, observing the window period, observing function and quantum phi, the theoretical backbone of the framework of the observer pattern is put forward, and the analysis logic of the frame model is given. The mathematical form of function equation and the method of parameter estimation are used to build the framework analysis and quantification environment based on Matlab,Java and MySQL. 2. By applying the Observer pattern Framework to the asset allocation and timing trading in quantitative investment, a portfolio model of Observer pattern and a timed transaction Model of Observer Mode are proposed. 3. Based on the data of A share market in China, this paper makes an empirical study on the proposed Observer Mode portfolio Model and Observer Mode timing Trading Model, and verifies the validity of the proposed framework and model.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9;F224
【引证文献】
相关硕士学位论文 前1条
1 李志鸿;国内商品期货“短周期”量化投资策略研究[D];浙江大学;2017年
，本文编号：2369629
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