本文選題：回歸法 + 多因子選股模型��； 參考：《青島大學(xué)》2017年碩士論文

【摘要】：隨著量化投資概念在世界各地興起,量化投資也越來越多的受到中國證券業(yè)界的關(guān)注。與此同時,量化投資的思想和理念已經(jīng)逐漸被市場所接受,開始成為證券業(yè)界研究的熱點(diǎn)問題。雖然量化投資理念在中國剛剛起步,但是在中國市場中展現(xiàn)了較強(qiáng)的生命力和發(fā)展空間。在中國金融改革不斷推進(jìn)的背景下,對量化投資的深入研究也是證券業(yè)發(fā)展的大勢所趨。本文介紹的多因子模型是目前國際上主流的量化投資模型之一,也是目前中國量化投資領(lǐng)域的熱點(diǎn)問題。多因子模型試圖通過建模的方法對驅(qū)動股票市場價格變化的因子進(jìn)行解釋和分析。多因子模型的研究也將對券商和投資基金的運(yùn)作具有一定的指導(dǎo)意義。目前國內(nèi)流行的很多量化投資模型都是建立多因子模型的框架基礎(chǔ)上,因此研究多因子模型的有效建模方法是目前量化投資領(lǐng)域業(yè)界關(guān)注的一個重要問題。本文基于MATLAB和EXCEL軟件和銳思數(shù)據(jù)庫利用回歸法構(gòu)建了多因子選股模型。本文選取的樣本數(shù)據(jù)為2011-2016年間具有A股代表性的滬深300股票市場上的財務(wù)指標(biāo)和其他因子指標(biāo)。對于因子的選取則考慮了市場的經(jīng)驗(yàn)以及因子對公司的代表性。本文首先對因子進(jìn)行了初步的單因子檢驗(yàn),然后通過Fama-Mac Bech檢驗(yàn)刪除了表現(xiàn)不顯著的部分因子;接下來計算了剩余因子的相關(guān)系數(shù)矩陣,剔除了具有多重共線性的同類型因子;然后利用MATLAB進(jìn)行逐步回歸,得到了最終的回歸選股模型。在實(shí)證檢驗(yàn)環(huán)節(jié)創(chuàng)新性的加入了約束條件對股票組合的個股進(jìn)行了賦權(quán),并利用滾動檢驗(yàn)的方式對持有期的四組股票組合的收益進(jìn)行了檢驗(yàn),證實(shí)了模型選股的有效性和實(shí)際參考價值。本文主要偏重于多因子模型的實(shí)踐與應(yīng)用,對目前理解和正確運(yùn)用多因子模型具有十分重要的意義。希望本文能夠讓讀者對多因子選股有更深入的了解和認(rèn)識。
[Abstract]:With the rise of the concept of quantitative investment in various parts of the world, quantitative investment has been paid more and more attention by Chinese securities industry. At the same time, the thought and idea of quantitative investment has been accepted by the market gradually, and has become a hot issue in the securities industry. Although the concept of quantitative investment in China has just started, but in the Chinese market has shown a strong vitality and development space. Under the background of China's financial reform, the deep research on quantitative investment is also the trend of the development of securities industry. The multi-factor model introduced in this paper is one of the mainstream quantitative investment models in the world at present, and is also a hot issue in the field of quantitative investment in China. The multi-factor model attempts to explain and analyze the factors driving the change of stock market price by modeling. The study of multi-factor model will also have certain guiding significance to the operation of securities firms and investment funds. At present, many popular quantitative investment models are based on the framework of multi-factor model, so it is an important problem to study the effective modeling method of multi-factor model in the field of quantitative investment. In this paper, a multi-factor stock selection model is constructed based on MATLAB, EXCEL software and Rilith database. The sample data selected in this paper are the financial indexes and other factor indexes in the Shanghai and Shenzhen 300 stock markets, which are representative of A shares in 2011-2016. For the selection of factors, we consider the market experience and the representation of the factors to the company. In this paper, we first test the factors by single factor, then delete the unremarkable factors by Fama-Mac Bech test, then calculate the correlation coefficient matrix of the remaining factors, and eliminate the same type factors with multiple collinearity. Then using MATLAB stepwise regression, the final regression stock selection model is obtained. In the link of empirical testing, we add the constraint conditions to empower the stock portfolio, and use the rolling test to test the earnings of the four groups of stock portfolio in the holding period. The validity and practical reference value of model stock selection are confirmed. This paper focuses on the practice and application of the multi-factor model, which is of great significance to understand and correctly use the multi-factor model at present. I hope this article will enable readers to have a deeper understanding and understanding of multi-factor stock selection.
【學(xué)位授予單位】：青島大學(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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