本文選題：量化投資 + 分形市場(chǎng)��； 參考：《南京大學(xué)》2012年碩士論文

【摘要】：量化投資在海外已經(jīng)有了三十多年的發(fā)展歷史,在全球投資量中已經(jīng)占有約30%的份額。國內(nèi)這方面剛處于起步階段,數(shù)量化投資在中國A股市場(chǎng)上占有的地位事實(shí)上非常有限。排名靠前的基金或者比較知名的基金經(jīng)理都不是純做量化投資的人。但是,隨著市場(chǎng)交易品種的增加和計(jì)算機(jī)系統(tǒng)的更新?lián)Q代,量化的金融產(chǎn)品如雨后春筍般出現(xiàn)。 本文接著又介紹了量化投資方面的研究情況,現(xiàn)代量化投資已經(jīng)不僅僅是將隨機(jī)過程,時(shí)間序列分析等傳統(tǒng)數(shù)量金融手段應(yīng)用與投資市場(chǎng),而是有更多更豐富的工程應(yīng)用手段,將處理很多其他問題的方法應(yīng)用于投資已經(jīng)是大勢(shì)所趨資。 本文的主要研究內(nèi)容有以下三點(diǎn)1.根據(jù)市場(chǎng)中存在的動(dòng)量效應(yīng),構(gòu)建了先選行業(yè)再篩選股票的行業(yè)-個(gè)股alpha動(dòng)量策略,提取出個(gè)股的alpha之后,再根據(jù)正alpha所存在的動(dòng)量效應(yīng),設(shè)計(jì)交易策略；2.提出一整套交易系統(tǒng)應(yīng)該具備的要素,并對(duì)投資中的資金管理進(jìn)行初步的研究；3.調(diào)整交易策略和資金管理系統(tǒng),分析傳統(tǒng)的平均分倉,基于凱利公式,以及基于文斯公式的資金管理方法,探討各種資金管理方法的優(yōu)缺點(diǎn)和適應(yīng)范圍,設(shè)計(jì)出比較可靠的量化交易系統(tǒng)。
[Abstract]:Quantitative investment has a history of more than 30 years overseas, accounting for about 30% of global investment. Domestic this aspect is just in the initial stage, quantitative investment in China's A-share market in fact occupies a very limited position. Top-ranked funds or better-known fund managers are not purely quantitative investors. However, with the increasing variety of market transactions and the upgrading of computer systems, quantitative financial products have sprung up. This paper then introduces the research situation of quantitative investment. Modern quantitative investment has not only applied traditional quantitative financial means such as stochastic process and time series analysis to the investment market, but also has more and more abundant engineering application methods. It is a general trend to apply approaches to many other problems to investment. The main contents of this paper are as follows: 1. According to the momentum effect in the market, this paper constructs the alpha momentum strategy of the individual stock which selects the industry first and then selects the stock. After extracting the alpha of the individual stock, and then according to the momentum effect of the positive alpha, the trading strategy is designed. Put forward a set of trading system should have the elements, and investment in the management of funds to carry out a preliminary study. Adjust the trading strategy and fund management system, analyze the traditional average position, based on Kelly's formula and Vince's formula, discuss the advantages and disadvantages and adaptive scope of various fund management methods. A reliable quantitative trading system is designed.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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