【摘要】：量化投資的指導(dǎo)原則——現(xiàn)代金融理論大多數(shù)是建立在關(guān)于金融市場(chǎng)隨機(jī)不確定性的假設(shè)之上的。然而,金融市場(chǎng)是一個(gè)動(dòng)態(tài)的、非線性的復(fù)雜適應(yīng)系統(tǒng),模糊不確定性才是對(duì)其更加符合的描述,這種模糊性同時(shí)也阻礙了人們對(duì)于金融市場(chǎng)運(yùn)行的更多細(xì)節(jié)的認(rèn)識(shí)。為了量化這種模糊性,本文基于量子力學(xué)中的相關(guān)理論和方法,提出了“觀察者模式框架”及其相關(guān)在量化投資中的應(yīng)用模型。從框架基本概念、函數(shù)方程構(gòu)造、參數(shù)擬合估計(jì)、量化環(huán)境搭建、數(shù)值算例分析到實(shí)際在量化投資中的應(yīng)用展開(kāi)了一系列工作。主要如下：1.引入量子力學(xué)中的主要思想,通過(guò)定義觀察者方程、觀察信息源、觀察窗口期、觀察函數(shù)和量子phi提出了觀察者模式框架的理論主干,給出了框架模型的分析邏輯、函數(shù)方程數(shù)學(xué)形式和參數(shù)估計(jì)方法,搭建了基于Matlab、Java和MySQL的框架分析量化環(huán)境。2.通過(guò)分別將觀察者模式框架應(yīng)用于量化投資中的資產(chǎn)配置和擇時(shí)交易情形,提出了觀察者模式投資組合模型和觀察者模式擇時(shí)交易模型。3.基于中國(guó)A股市場(chǎng)數(shù)據(jù),對(duì)所提出的觀察者模式投資組合模型和觀察者模式擇時(shí)交易模型進(jìn)行實(shí)證研究,驗(yàn)證所提出的框架和模型的有效性。
[Abstract]:The guiding principle of quantitative investment, modern financial theory, is based on the assumption of random uncertainty in financial markets. However, the financial market is a dynamic, nonlinear complex adaptive system, fuzzy uncertainty is the more consistent description, this fuzziness also hinders the understanding of more details of the financial market operation. In order to quantify this fuzziness, based on the relevant theories and methods of quantum mechanics, the "Observer pattern Framework" and its application model in quantitative investment are proposed in this paper. From the basic concept of frame, function equation construction, parameter fitting estimation, quantization environment construction, numerical example analysis to the practical application of quantitative investment, a series of work has been carried out. The main contents are as follows: 1. The main idea of quantum mechanics is introduced. By defining the observer equation, observing the information source, observing the window period, observing function and quantum phi, the theoretical backbone of the framework of the observer pattern is put forward, and the analysis logic of the frame model is given. The mathematical form of function equation and the method of parameter estimation are used to build the framework analysis and quantification environment based on Matlab,Java and MySQL. 2. By applying the Observer pattern Framework to the asset allocation and timing trading in quantitative investment, a portfolio model of Observer pattern and a timed transaction Model of Observer Mode are proposed. 3. Based on the data of A share market in China, this paper makes an empirical study on the proposed Observer Mode portfolio Model and Observer Mode timing Trading Model, and verifies the validity of the proposed framework and model.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.9;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 李志鴻;國(guó)內(nèi)商品期貨“短周期”量化投資策略研究[D];浙江大學(xué);2017年

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本文編號(hào)：2369629