本文關(guān)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(xué)》2017年碩士論文　論文類型：學(xué)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(guān)注。自21世紀(jì)以來,量化投資的基本理念和相關(guān)技術(shù)開始逐步在是市場中涌現(xiàn),成為投資機(jī)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(chǔ),通過在時間截面上的因子進(jìn)行選擇和建模,對各個因子的收益風(fēng)險(xiǎn)進(jìn)行分析,研究其對股票市場價格的驅(qū)動效應(yīng)。在此基礎(chǔ)上,確定截面型多因子組合的各標(biāo)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(dǎo)意義。當(dāng)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(jìn)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?fàn)顩r。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(diǎn)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(jìn)行了論述。第四部分是通過基于滬深300成分股,將模型進(jìn)行回測應(yīng)用,評價其是否獲得穩(wěn)定的超額收益以及風(fēng)險(xiǎn)是否可控。在進(jìn)行模型構(gòu)建過程中,討論了因子的相關(guān)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(dá)到39.65%,對滬深300基準(zhǔn)超額收益為30.6%,并且風(fēng)險(xiǎn)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(jìn)行優(yōu)化和實(shí)際應(yīng)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(dāng)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(shí)用性,具有重要的現(xiàn)實(shí)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(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1474146