本文選題：均值回歸 + 量化投資�。� 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：摘要：量化投資是目前非常流行的一種投資策略,它也可以被理解成統(tǒng)計(jì)套利,即通過(guò)對(duì)歷史數(shù)據(jù)的分析、統(tǒng)計(jì)總結(jié)出一套交易的策略。價(jià)格向均值回歸的現(xiàn)象是一種非常常見(jiàn)的現(xiàn)象,均值回歸模型與隨機(jī)游走模型都被用來(lái)對(duì)股票價(jià)格的走勢(shì)進(jìn)行解釋。在均值回歸模型下,股票的價(jià)格不再是不可預(yù)測(cè)的,而是遵循了一定的規(guī)律。掌握了這種規(guī)律我們或許能建立出一些現(xiàn)實(shí)可行的交易策略來(lái)獲取超額收益。我們將均值回歸模型理論應(yīng)用到統(tǒng)計(jì)套利中構(gòu)建一個(gè)交易策略、詳細(xì)分析這個(gè)策略的優(yōu)劣勢(shì)并對(duì)其加以優(yōu)化。
[Abstract]:Absrtact: quantitative investment is a very popular investment strategy at present, which can also be understood as statistical arbitrage, that is, through the analysis of historical data, a set of trading strategies can be summed up by statistics. The phenomenon of price regression to mean is a very common phenomenon. Both mean regression model and random walk model are used to explain the trend of stock price. In the mean regression model, the stock price is no longer unpredictable, but follows a certain law. By mastering this rule, we may be able to establish some practical and feasible trading strategies to obtain excess returns. We apply the mean regression model theory to the statistical arbitrage to construct a trading strategy and analyze the advantages and disadvantages of the strategy in detail and optimize it.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1784864