本文選題：選股策略 + 多因子模型��； 參考：《天津商業(yè)大學(xué)》2017年碩士論文

【摘要】：2008年金融危機(jī)之后,全世界金融機(jī)構(gòu)均受到極大影響,國際國內(nèi)的資本市場都經(jīng)歷了一場浩劫,幾乎所有的基金、股票等金融產(chǎn)品都出現(xiàn)了不同程度的虧損,股民們也都遭遇了重大財(cái)產(chǎn)損失。價(jià)值投資和技術(shù)趨勢(shì)投資在這一場金融風(fēng)暴的影響下也失去了它應(yīng)有的作用,而在此時(shí)量化投資逐漸顯露出頭角,在資本市場中維持了較好的收益率。的確,隨著科技的不斷發(fā)展發(fā)展,人工智能技術(shù)愈加成熟,為量化投資者將數(shù)理金融學(xué)、應(yīng)用統(tǒng)計(jì)學(xué)等大數(shù)據(jù)理論與計(jì)算機(jī)相結(jié)合,以及利用計(jì)算機(jī)遠(yuǎn)遠(yuǎn)優(yōu)異于人腦的計(jì)算速度,來尋找能夠在整個(gè)金融市場中取得超額盈利的策略奠定了基礎(chǔ)。在投資產(chǎn)品日益增多的今天,隨著我國證券市場的逐漸完善,使投資者的觀念也從傳統(tǒng)的的技術(shù)分析為主導(dǎo)慢慢向量化投資產(chǎn)品轉(zhuǎn)化,量化投資已成必然趨勢(shì)。本文利用MATLAB軟件,從WIND機(jī)構(gòu)版獲取股票的基本面和技術(shù)面數(shù)據(jù),將部分上市比較短的公司剔除,以整個(gè)A股市場股票為樣本進(jìn)行量化分析,最后將收益率作為衡量的標(biāo)準(zhǔn)給出合理的量化投資策略。在文中,首先介紹了量化投資的相關(guān)概念和量化交易的國內(nèi)、外發(fā)展現(xiàn)狀,并對(duì)文獻(xiàn)進(jìn)行綜述;其次,詳細(xì)闡述了多因子選股過程以及其理論支撐;第三,選出在回測(cè)中收益率較好的因子建立了阿爾法多因子選股模型:從估值性、成長性、技術(shù)面等角度選取了15常用的因子指標(biāo)作為待選因子,選取2007年1月到2013年12月為樣本內(nèi)檢驗(yàn)期,對(duì)這些因子進(jìn)行有效性和冗余性檢驗(yàn),通過比較投資組合的收益和同時(shí)間段內(nèi)中證500的收益,最后得出三個(gè)有效的選股因子,并結(jié)合統(tǒng)計(jì)檢驗(yàn)的方法,建立一個(gè)綜合評(píng)分多因子量化選股模型,為投資者找出一個(gè)合理的符合中國市場的股票投資組合奠定了基礎(chǔ);最后,搭建了基于MATLAB環(huán)境下的股票量化交易平臺(tái),并利用簡單策略進(jìn)行股票的買入賣出功能對(duì)平臺(tái)的穩(wěn)定性和可操作性進(jìn)行了測(cè)試。平臺(tái)運(yùn)行時(shí),進(jìn)行回測(cè)的歷史數(shù)據(jù)來源于WIND機(jī)構(gòu)版,實(shí)時(shí)交易數(shù)據(jù)由新浪股票行情客戶端獲得,最終通過股票API外掛到同花順上實(shí)現(xiàn)股票的全自動(dòng)化交易。該平臺(tái)主要功能包括:股票賬號(hào)登錄,買入,賣出,查詢資金,查詢持倉,查詢成交,查詢委托,撤單等等。
[Abstract]:After the 2008 financial crisis, financial institutions all over the world were greatly affected. The international and domestic capital markets all experienced a catastrophe. Almost all financial products, such as funds, stocks and other financial products, suffered losses of varying degrees. Investors have also suffered significant property losses. The value investment and the technology trend investment also lose its function under the influence of the financial storm. At this time, the quantitative investment gradually shows its head and maintains a better return rate in the capital market. Indeed, with the continuous development of science and technology, artificial intelligence technology has become more mature, in order to quantify investors will be mathematical finance, applied statistics and other big data theory with computer, And the use of computers far superior to the human brain computing speed to find the entire financial market to achieve excess profit strategy laid the foundation. Today, with the increasing number of investment products, with the gradual improvement of China's securities market, the concept of investors is gradually transformed from the traditional technical analysis to the gradual vectorization of investment products, and quantitative investment has become an inevitable trend. In this paper, we use MATLAB software to obtain the fundamental and technical data of the stock from the WIND institutional edition, and eliminate some short listed companies, and take the whole A-share market stock as the sample to carry on the quantitative analysis. Finally, a reasonable quantitative investment strategy is given by taking the return rate as the standard of measurement. In this paper, we first introduce the related concepts of quantitative investment and the domestic and foreign development of quantitative trading, and review the literature; secondly, elaborate the process of multi-factor stock selection and its theoretical support; third, In this paper, the alpha multi-factor stock selection model is established by selecting the factors with good return rate in the back test. From the angles of valuation, growth, technical aspect and so on, 15 commonly used factors are selected as the factors to be selected. From January 2007 to December 2013, the validity and redundancy of these factors were tested, and three effective stock selection factors were obtained by comparing the return of portfolio with that of CS500 in the same time period. Combined with the statistical test method, a comprehensive multi-factor quantitative stock selection model is established, which lays a foundation for investors to find out a reasonable stock portfolio in line with the Chinese market. A quantitative trading platform based on MATLAB is built, and the stability and maneuverability of the platform are tested by using simple strategy to buy and sell stocks. When the platform is running, the historical data of the back test comes from the WIND institutional edition, the real-time trading data is obtained by the client of Sina stock market, and finally the stock API is attached to Tonghuashun to realize the full automatic trading of the stock. The main functions of the platform include: stock account login, buy, sell, query funds, query positions, query transactions, query entrustment, withdrawal and so on.
【學(xué)位授予單位】：天津商業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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