本文選題：資金流 + 價(jià)量分析��； 參考：《華東師范大學(xué)》2012年碩士論文

【摘要】：在證券市場(chǎng)中,如何能夠戰(zhàn)勝市場(chǎng)一直是眾多研究員和基金經(jīng)理努力追求實(shí)現(xiàn)的目標(biāo),從證券市場(chǎng)以來主流的研究方法分兩種,一種是基本面的分析,一種是技術(shù)分析,而隨著統(tǒng)計(jì)學(xué)理論和計(jì)算機(jī)技術(shù)的不斷完善,出現(xiàn)了一種新的金融工程分析方法,主要以利用各種數(shù)學(xué)方法來對(duì)交易數(shù)據(jù)和基本面數(shù)據(jù)進(jìn)行建模分析,以期望構(gòu)造交易策略戰(zhàn)勝市場(chǎng)。 價(jià)與量的研究和分析一直是技術(shù)分析和金融工程的重要任務(wù),而資金流的研究在現(xiàn)代市場(chǎng)的熱度從未減弱,自從Welles Wilder于1989年提出資金流指標(biāo)MFI以來就一直吸引著大家的研究熱情,至今眾多券商很多研究也集中于此。但資金流的影響卻是眾說紛紜,資金流的定義方式也是百花齊放,大體上資金流的定義并不會(huì)質(zhì)的影響到研究結(jié)果。資金流如此的吸引大家的注意主要因?yàn)橘Y金是推動(dòng)股市上漲的直接動(dòng)力,如果能正確預(yù)測(cè)資金流以及資金流對(duì)股市收益率的影響將會(huì)是對(duì)投資非常有意義的。 對(duì)價(jià)和量的研究國內(nèi)主要都集中在日線數(shù)據(jù),得到了許多結(jié)論,本文則主要采用高頻的交易數(shù)據(jù)來探尋一種新定義的主動(dòng)成交量對(duì)價(jià)格產(chǎn)生的影響,而資金流方面,存在很多方面的研究,定義方式略有不同,也得到了許多結(jié)論,主要分為兩派,一種認(rèn)為歷史資金流對(duì)股票收益率有負(fù)向預(yù)測(cè),還有一種認(rèn)為歷史資金流對(duì)股票收益率有正向預(yù)測(cè)作用,本文采用了一種新的定義資金流的方法,并探尋了此種定義方法情況下不同周期資金流對(duì)收益率的預(yù)測(cè)作用,以及進(jìn)行了基于此構(gòu)造的成分股資金流反轉(zhuǎn)策略檢驗(yàn)。
[Abstract]:In the securities market, how to overcome the market has been the goal that many researchers and fund managers have been striving to achieve. Since the stock market, there have been two main research methods, one is fundamental analysis, the other is technical analysis. With the continuous improvement of statistical theory and computer technology, a new financial engineering analysis method has emerged, which mainly uses various mathematical methods to model and analyze transaction data and fundamental data. Beat the market with expectation structure trading strategy. The research and analysis of price and quantity has always been an important task of technical analysis and financial engineering, and the research of capital flow has never weakened in the heat of the modern market. Since Welles Wilder put forward the capital flow index MFI in 1989, it has been attracting people's research enthusiasm, and so far, a lot of research has been focused on it. However, the influence of capital flow is different, the definition of capital flow is also a combination of flowers, on the whole, the definition of capital flow will not affect the research results qualitatively. Capital flows attract so much attention mainly because money is a direct driver of the stock market's rise, and it would make sense to invest if you can correctly predict the flow of money and its impact on stock market yields. The research on price and quantity is mainly focused on daily line data, and many conclusions have been drawn. In this paper, we mainly use high-frequency trading data to explore the effect of a new definition of active trading volume on the price, while in the aspect of capital flow, There are many aspects of research, a slightly different definition, but also a lot of conclusions, mainly divided into two schools, one is that historical capital flows have a negative prediction of stock returns. Another is that the historical capital flow has a positive effect on the stock return. This paper adopts a new method to define the capital flow, and probes into the forecasting effect of the different period capital flow on the return rate under the condition of this kind of definition method. And based on the structure of the composition of the capital flow reversal strategy test.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F830.91

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