本文選題：“投資選時(shí)策略”　切入點(diǎn)：市場(chǎng)有效性　出處：《華南理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著滬深300股指期貨的推出和金融市場(chǎng)不斷完善，我國(guó)投資者的投資理念逐漸趨于成熟和理性化，投資行為由主觀情緒主導(dǎo)轉(zhuǎn)變?yōu)榭陀^理性的投資，而程序化交易憑借其客觀理性的交易特性逐漸進(jìn)入中國(guó)金融證券市場(chǎng)。 目前我國(guó)程序化交易策略處于快速發(fā)展的起步階段，期貨市場(chǎng)已有一部分投資機(jī)構(gòu)使用程序化交易策略進(jìn)行交易。因此深入研究程序化交易策略在金融工程學(xué)術(shù)研究上有重要意義，，在實(shí)際市場(chǎng)投資中有很高的研究?jī)r(jià)值。 本文基于計(jì)量經(jīng)濟(jì)學(xué)理論和滬深300股指期貨市場(chǎng)的特點(diǎn)構(gòu)建“投資選時(shí)策略”程序化交易策略模型，主要研究?jī)?nèi)容如下： （1）概況性的介紹程序化交易策略的設(shè)計(jì)思路，并對(duì)我國(guó)滬深300股指期貨市場(chǎng)進(jìn)行有效性檢驗(yàn)； （2）基于回歸模型提出“速度”與“加速度”指標(biāo)，對(duì)“速度”的聚集性進(jìn)行研究，構(gòu)建“投資選時(shí)策略”計(jì)量模型； （3）結(jié)合金融數(shù)理知識(shí)對(duì)“投資選時(shí)策略”計(jì)量模型在不同假設(shè)條件下的期望收益率進(jìn)行推導(dǎo)，并實(shí)證一階自回歸模型假設(shè)條件下策略的收益情況； （4）應(yīng)用“投資選時(shí)策略”計(jì)量模型進(jìn)行市場(chǎng)實(shí)證，對(duì)模型結(jié)果進(jìn)行檢驗(yàn)，并使用風(fēng)險(xiǎn)價(jià)值VaR指標(biāo)對(duì)策略進(jìn)行評(píng)價(jià)。 研究發(fā)現(xiàn)我國(guó)滬深300股指期貨市場(chǎng)是無(wú)效的，我們提出的“投資選時(shí)策略”模型適合該市場(chǎng)，且該模型選擇的買點(diǎn)賣點(diǎn)的正確判斷率超過(guò)50%。市場(chǎng)實(shí)證外推測(cè)試結(jié)果表明，“投資選時(shí)策略”模型為我們帶來(lái)超過(guò)100%的年平均收益率，且VaR評(píng)估指標(biāo)指出該策略每次交易遭受損失超過(guò)20000元的概率小于5%。說(shuō)明“投資選時(shí)策略”能使投資者不遭受較大損失且使投資者獲得較大收益。
[Abstract]:With the introduction of Shanghai and Shenzhen 300 stock index futures and the continuous improvement of financial market, the investment concept of Chinese investors tends to be mature and rational, and the investment behavior changes from subjective emotion to objective rational investment. The procedural transaction gradually enters the Chinese financial securities market by virtue of its objective and rational trading characteristics. At present, our country's procedural trading strategy is in the initial stage of rapid development. Some investment institutions in the futures market have used programmed trading strategies to trade, so it is important to study the procedural trading strategies in the academic research of financial engineering, and has a high research value in the actual market investment. Based on econometrics theory and the characteristics of Shanghai and Shenzhen 300 stock index futures market, this paper constructs a programmed trading strategy model of "investment timing strategy". The main research contents are as follows:. 1) introduce the design idea of programmed trading strategy, and test the validity of CSI 300 stock index futures market; (2) based on the regression model, this paper puts forward the index of "velocity" and "acceleration", studies the agglomeration of "velocity", and constructs an econometric model of "investment timing strategy"; (3) combining with the financial mathematical knowledge, the paper deduces the expected return rate of the "investment timing strategy" model under different assumptions, and proves the return of the strategy under the assumption of the first-order autoregressive model. 4) using the "investment timing strategy" econometric model to test the results of the model, and using the VaR index of risk value to evaluate the strategy. The study found that the Shanghai and Shenzhen 300 stock index futures market is invalid, and the "investment timing strategy" model proposed by us is suitable for the market. The result of market empirical extrapolation test shows that the "investment timing strategy" model brings us an annual average rate of return of more than 100%. Moreover, the VaR evaluation index indicates that the probability of losing more than 20000 yuan per transaction is less than 5%. It shows that the "investment timing strategy" can make investors not suffer large losses and make investors gain more income.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224;O212.1

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 徐劍剛;我國(guó)期貨市場(chǎng)有效性的實(shí)證研究[J];財(cái)貿(mào)經(jīng)濟(jì);1995年08期

2 張小艷;張宗成;;期貨市場(chǎng)有效性理論與實(shí)證檢驗(yàn)[J];中國(guó)管理科學(xué);2005年06期

本文編號(hào)：1626224