本文關鍵詞： 數量化投資模型 滬深300 收益 風險　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：繼2004年、2005年分別發(fā)行光大保德信量化核心基金和上投摩根阿爾法基金后,時隔四年,嘉實量化基金和中海量化策略基金在2009年先后發(fā)行,量化基金再次進入人們的視線,這兩只基金所采用的國際流行的數量化投資方法,也再次引起市場和投資者的關注。數量化投資在海外已有30多年的發(fā)展歷史,已成為主流投資策略之一,但是對國內的普通投資者來說,它還是充滿著神秘感。數量化投資策略一般都由高學歷的數量分析師團隊運作,他們使用復雜的理論模型和先進的計算機技術以求超越市場。雖然在理論上數量化模型應該能夠獲取超額收益,但是實際表現卻常常引起很大爭議。通常在牛市中數量化策略表現出色,在熊市中卻也和其他策略一樣面臨巨大的風險。 雖然在中國的市場上已經出現了很多的量化投資基金,表明已經有不少的人從事著量化投資的事業(yè),但是,對于外界的人來說,量化投資就如同一個暗箱操作,很少有人真正的明白其操作的原理和其盈利的原因。本文為了揭開這層神秘的面紗,利用ATR Channel Breakout Bollinger Breakout、RSI Trend Catcher三個業(yè)內經典的模型,在對中國股票市場交易結構的合理假設下,對國內滬深300指數成分股的歷史數據進行實證分析,從收益和風險兩個方面比較它們的投資效果,并與滬深300指數的表現進行比較,結果發(fā)現,在經典的模型合理的修改下,在中國的市場上也能有較好的收益,但也存在著關于風險方面的問題,最后,根據量化模型具體交易的實踐,分析了量化模型能夠獲利的原因,提出了自己的修改意見,為中國市場上數量化投資模型提供比較大的參考意義。
[Abstract]:Following the issuance of Everbright Prudential Quantification Core Fund and the Morgan Alpha Fund respectively on 2004 and 2005 respectively, four years later, the Castrol Quantification Fund and the China Shipping quantitative Strategic Fund were issued successively on 2009, and the Quantification Fund again came to the attention of people. The international and popular quantitative investment methods adopted by the two funds have once again attracted the attention of the market and investors. Quantitative investment has been developing overseas for more than 30 years and has become one of the mainstream investment strategies. But for ordinary domestic investors, it is still full of mystery. Quantitative investment strategies are generally run by a team of highly educated quantitative analysts. They use sophisticated theoretical models and advanced computer technology to outperform the market, although in theory quantitative models should be able to generate excess returns. But actual performance is often controversial. Quantitative strategies usually perform well in bull markets, but in bear markets they are as risky as other strategies. Although there have been many quantitative investment funds in the Chinese market, indicating that there are already many people engaged in the business of quantitative investment, to the outside world, quantitative investment is like a dark box operation. Few people really understand the principle of its operation and the reason of its profit. In order to uncover this mysterious veil, this paper makes use of the three classic models of ATR Channel Breakout Bollinger Breakout RSI Trend Catcher, under the reasonable assumption of the trading structure of the Chinese stock market. This paper makes an empirical analysis on the historical data of the Shanghai and Shenzhen 300 index, compares their investment effects from the two aspects of income and risk, and compares them with the performance of the Shanghai and Shenzhen 300 index. The results show that under the reasonable modification of the classical model, In the Chinese market, there are also some problems about risk. Finally, according to the practice of quantitative model, the paper analyzes the reasons why the quantitative model can make profits, and puts forward its own amendment opinion. This paper provides a reference for quantitative investment model in Chinese market.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1534840