我国A股市场涨停投资模式化自动交易研究

发布时间：2018-02-12 12:06

本文关键词： 涨停投资模式动量效应自动交易　出处：《中国石油大学(华东)》2014年硕士论文　论文类型：学位论文

【摘要】：涨跌停板制度作为一种重要的风险控制制度,其主要作用是抑制股市的过度波动,稳定股票市场。我国从1996年12月16日开始实行涨跌停板制度。学术界对该制度的研究主要集中在其对股票市场的影响方面,而关于涨跌停现象的投资模式的研究却较少。另一方面,由于A股市场畸形的投资者结构,多数中小投资者缺乏行而有效的投资模式来指导投资活动,结果往往是亏损严重。对涨停投资模式的研究不仅可以弥补学术界对涨跌停板研究的不足,还可在实际操作中为投资者提供一种有效的投资模式。本文首先提出了涨停投资模式,并从动量效应、概率统计、多元线性回归三个方面构建了涨停投资模式的有效性检验模型,结合A股市场涨停股票的实际数据进行了实证分析。通过动量效应证明了无论沪市还是深市,A股市场股票涨停后1-5天均存在着统计意义上显著的动量效应,且动量效应的强度在第1天最大,超额收益率最高。同时概率统计结果表明,持有1天时,股价继续上涨的概率最大(92%),平均上涨的最高幅度也最大(5.32%)。对股票涨停之后股价涨幅与指标的回归关系的研究为估测股价涨幅提供了可信的方程。基于实证结果,分别从行为金融理论和市场有效性理论解释了涨停投资模式的有效性。在此基础上,本文提出了合理价格自动交易策略、标准价格自动交易策略、“傻瓜”自动交易策略三种具体的模式化自动交易策略,并且分别用编程语句将其转化为自动交易程序,以实现涨停投资模式的自动交易。最后基于15528只次股票的数据统计分析了三种策略的收益率,通过比较发现“标准价格自动交易策略”的收益率最高,为1.90%,是最优的涨停投资模式自动交易策略。
[Abstract]:As an important risk control system, the main function of the rise and fall limit board system is to restrain the excessive volatility of the stock market. Stabilizing the stock market. Since December 16th 1996, our country has implemented the system of limit board. The academic research on this system is mainly focused on its impact on the stock market. On the other hand, due to the abnormal structure of investors in the A-share market, most small and medium-sized investors lack effective investment models to guide their investment activities. The result is often serious losses. The research on the investment model of the trading limit can not only make up for the lack of the academic research on the fluctuation limit. It can also provide an effective investment model for investors in practical operation. This paper first puts forward the investment model of the fluctuation limit, and from the momentum effect, probability statistics, Three aspects of multivariate linear regression are used to construct the validity test model of the trading limit investment model. Based on the actual data of stock price fluctuation in A share market, this paper proves that there is a significant momentum effect in the 1-5 days after trading in Shanghai stock market and Shenzhen stock market in terms of momentum effect. And the intensity of momentum effect is maximum on the first day, and the excess yield is the highest. Meanwhile, the probability and statistical results show that when the momentum effect is held for 1 day, The probability that the stock price continues to rise is the highest, and the maximum average rise is 5.32%. The study of the regression relationship between the stock price increase and the index provides a reliable equation for estimating the stock price increase, based on the empirical results. Based on behavioral finance theory and market efficiency theory, the paper explains the validity of the trading model of fluctuation limit. On the basis of this, this paper puts forward the automatic trading strategy of reasonable price. Standard price automatic trading strategy, "fool" automatic trading strategy, three specific pattern automatic trading strategies, and use programming statements to convert them into automatic trading programs, Finally, based on the data of 15528 stocks, the paper analyzes the return rate of three strategies, and finds that the return rate of "standard price automatic trading strategy" is the highest. Is 1.90, is the optimal trading model trading strategy.
【学位授予单位】：中国石油大学(华东)
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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