本文關(guān)鍵詞：海通證券在量化投資背景下的發(fā)展與創(chuàng)新　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：伴隨著國內(nèi)證券市場復(fù)雜程度日益提升,市場規(guī)模日益龐大,投資品種數(shù)量與日俱增,以往單純依靠投資經(jīng)理個(gè)人主觀判斷為主的傳統(tǒng)投資面臨較大挑戰(zhàn)。越來越多的專業(yè)機(jī)構(gòu)開始關(guān)注量化投資,量化投資的重要性也逐漸被認(rèn)識(shí)和認(rèn)可。國內(nèi)市場掀起了一股量化產(chǎn)品發(fā)行熱潮,包括基金、券商、私募等專業(yè)機(jī)構(gòu)都紛紛推出各自的量化產(chǎn)品。 量化投資在海外的發(fā)展已有30多年的歷史,由于其投資業(yè)績穩(wěn)定,市場規(guī)模和份額不斷擴(kuò)大、得到了越來越多投資者認(rèn)可。從1970年定量投資在海外全部投資中占比為零,到2009年定量投資在全部海外投資產(chǎn)品中的市場交易份額中占30%以上,主動(dòng)投資產(chǎn)品中大約有20%到30%使用定量技術(shù)。而在2010年中國定量投資規(guī)�？偭看蠹s不足200億元,在全部基金管理規(guī)模中占比不到1%。可以說量化投資在中國目前還是一塊需要開墾的處女地,未來發(fā)展空間非常巨大。 本文從量化投資的基本概念出發(fā),闡述了其與傳統(tǒng)投資的不同之處；闡述了海外量化投資的發(fā)展情況,進(jìn)而分析了其在中國投資市場的土壤中發(fā)展的現(xiàn)狀和預(yù)期；對(duì)適用于當(dāng)今國內(nèi)證券市場的若干典型量化策略的原理和應(yīng)用進(jìn)行了介紹；著眼于量化投資的主要特點(diǎn),從多方面對(duì)量化投資對(duì)國內(nèi)現(xiàn)有證券市場帶來的變化進(jìn)行了分析；最后,介紹了海通證券在業(yè)務(wù)中對(duì)于量化投資的部署,以及今后推進(jìn)量化策略的方向和措施。
[Abstract]:With the increasing complexity of the domestic securities market, the scale of the market is becoming larger and larger, and the number of investment varieties is increasing day by day. In the past, the traditional investment which relied solely on the subjective judgment of investment managers faced great challenges. More and more professional organizations began to pay attention to quantitative investment. The importance of quantitative investment has been gradually recognized and recognized. The domestic market has set off a wave of quantitative product distribution, including funds, brokers, private equity and other professional organizations have launched their own quantitative products. Quantitative investment has been developed overseas for more than 30 years. Due to its stable investment performance, the market size and share are expanding. It has been recognized by more and more investors. Since 1970, quantitative investment has accounted for zero of the total overseas investment. By 2009, quantitative investment accounted for more than 30% of the total market share of overseas investment products. Between 20% and 30% of the active investment products use quantitative technology. In 2010, the total amount of quantitative investment in China was less than 20 billion yuan. It can be said that quantitative investment is still a virgin land to be reclaimed in China at present, and the future development space is very large. Starting from the basic concept of quantitative investment, this paper expounds the difference between it and traditional investment. This paper expounds the development of overseas quantitative investment, and then analyzes the present situation and expectation of its development in the soil of Chinese investment market. This paper introduces the principle and application of some typical quantitative strategies which are suitable for domestic securities market. Focusing on the main characteristics of quantitative investment, this paper analyzes the changes brought about by quantitative investment to the existing securities market in China from many aspects. Finally, the paper introduces how Haitong Securities deploys the quantitative investment in the business, and the direction and measures to promote the quantification strategy in the future.
【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

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本文編號(hào)：1367321