發(fā)布時間：2018-01-29 19:11

  本文關鍵詞： 量化投資 多因子模型 滬深300指數(shù) 超額收益　出處：《北京交通大學》2017年碩士論文　論文類型：學位論文

【摘要】：伴隨著量化投資技術(shù)和理念的成功,量化投資在我國也受到越來越多金融投資者的關注。自21世紀以來,量化投資的基本理念和相關技術(shù)開始逐步在是市場中涌現(xiàn),成為投資機構(gòu)研究的重要議題。中國資本市場的巨大體量,以及日趨完善的產(chǎn)品結(jié)構(gòu),為量化投資在中國的發(fā)展提供了巨大的空間。在我國金融改革不斷深化的大環(huán)境中,對于更加專業(yè)化的量化投資方法的研究與探索是一個重要課題。本文搭建的截面型多因子模型是以國際主流的多因子模型為理論基礎,通過在時間截面上的因子進行選擇和建模,對各個因子的收益風險進行分析,研究其對股票市場價格的驅(qū)動效應。在此基礎上,確定截面型多因子組合的各標的份額,構(gòu)建投資交易策略,探究模型是否在國內(nèi)市場適用。截面型多因子模型的研究會對投資者具有一定的指導意義。當前,國內(nèi)投資者所選用的量化策略模型主要是基于多因子模型理論,因此進一步完善和研究適合A股市場的多因子投資模型是我國量化投資發(fā)展的重要命題。本文在第一部分中,主要陳述了量化投資以及因子模型在我國的發(fā)展狀況。第二部分,提出了截面型多因子模型與傳統(tǒng)多因子模型的異同,和模型的創(chuàng)新點和優(yōu)勢。第三部分主要是對截面型多因子模型的具體建模和構(gòu)建步驟進行了論述。第四部分是通過基于滬深300成分股,將模型進行回測應用,評價其是否獲得穩(wěn)定的超額收益以及風險是否可控。在進行模型構(gòu)建過程中,討論了因子的相關性,以及收益是否穩(wěn)定,最終模型回測結(jié)果年化收益率達到39.65%,對滬深300基準超額收益為30.6%,并且風險較為可控,為模型構(gòu)建整理了一條比較完整的思路。本文主要將截面型多因子模型進行優(yōu)化和實際應用,對模型回測結(jié)果做了詳盡的分析。另外,模型討論了用股指期貨對沖方法,并把股指期貨對沖的方法引入了投資組合配置當中,取得了不錯的成效。將股指對沖引入模型也使得截面型多因子更加具有實用性,具有重要的現(xiàn)實作用。
[Abstract]:With the success of quantitative investment technology and concept, quantitative investment in China has also attracted more and more attention of financial investors. Since 21th century. The basic concept and related technology of quantitative investment begin to emerge gradually in the market and become an important topic of investment institutions. The huge volume of Chinese capital market and the increasingly perfect product structure. It provides a huge space for the development of quantitative investment in China. The research and exploration of more specialized quantitative investment methods is an important subject. The cross-section multi-factor model is based on the international mainstream multi-factor model. Through the selection and modeling of the factors in the time section, this paper analyzes the return risk of each factor, and studies its driving effect on the stock market price. Determine the cross-section multi-factor combination of each target share, build investment trading strategy, explore whether the model is applicable in the domestic market. The cross-section multi-factor model research will have a certain guiding significance for investors. At present. The quantitative strategy model chosen by domestic investors is mainly based on the theory of multi-factor model. Therefore, to further improve and study the multi-factor investment model suitable for A-share market is an important proposition for the development of quantitative investment in China. In the first part of this paper. The paper mainly describes the development of quantitative investment and factor model in China. The second part puts forward the similarities and differences between cross-section multi-factor model and traditional multi-factor model. The third part mainly discusses the specific modeling and construction steps of cross-section multi-factor model. Part 4th is based on Shanghai and Shenzhen 300 constituent stock. In the process of model construction, the correlation of factors and the stability of income are discussed. The annual return rate of the final model is 39.65, the benchmark excess return of Shanghai and Shenzhen 300 is 30.6, and the risk is more controllable. In this paper, the cross-section multi-factor model is optimized and applied in practice, and the model back test results are analyzed in detail. The model discusses the hedging method of stock index futures, and introduces the hedging method of stock index futures into portfolio allocation. The introduction of stock index hedging into the model also makes cross-section multi-factor more practical and has an important practical role.
【學位授予單位】：北京交通大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關期刊論文 前4條

1 殷鑫;鄭豐;崔積鈺;趙莊;;基于價值投資的Piotroski選股策略實證研究[J];時代金融;2012年23期

2 潘莉;徐建國;;A股市場的風險與特征因子[J];金融研究;2011年10期

3 范龍振,余世典;中國股票市場的三因子模型[J];系統(tǒng)工程學報;2002年06期

4 朱寶憲,何治國;β值和帳面/市值比與股票收益關系的實證研究[J];金融研究;2002年04期

相關碩士學位論文 前3條

1 劉毅;因子選股模型在中國市場的實證研究[D];復旦大學;2012年

2 陳雷;Fama-French三因素模型在國內(nèi)證券市場的實證研究[D];山東大學;2007年

3 王小龍;多因子定價模型理論及在中國股票市場的檢驗[D];武漢大學;2005年

，

本文編號：1474146