【作者】 陈荣；

【导师】 蒋岳祥；

【作者基本信息】 浙江大学 ， 金融专硕（专业学位）， 2018， 硕士

【摘要】 处于投资者主体依然是大量散户的中国股票市场中,我们更能体会到投资者情绪的变动及其他的非理性行为对于市场波动的巨大影响。从投资者的角度看,一方面,他们希望自己在投资时能克服人性的弱点,理性投资;另一方面,他们又希望能够利用市场的非理性行为来构建有效的投资策略,以获取一定的超额回报。因此,通过构建金融数理模型来寻找市场非理性机会的“量化投资”无疑成为了一个较好的投资方式。弥补了传统主观投资方式的仓位过于集中,交易信号模糊,交易执行纪律性差等不足,量化投资能在较大程度上满足投资者的诉求,从而越来越受到人们的认可,可以说国内量化投资的发展已成必然趋势。本文从股票价格的联动性研究与分析出发,运用金融经济学、计量经济学与统计学的相关理论从市场不同级别的联动性角度来思考联动性策略的构建逻辑,最终得到了基于行业内个股联动性的量化投资策略,以期能给市场投资者及相关研究人员提供一定的借鉴。首先,本文介绍了联动性分析的主要方法和量化投资的理论基础。然后,构建出了基于行业内个股联动性变化的异动指标,并以该指标为基础在线上量化投资平台“米筐”上进行了策略的研究分析与历史回测,得到了较好的回测结果。最后,对整篇文章的研究框架,策略的构建及回测的结果分析进行了总结,提出了本文的几点不足之处,针对不足给出了策略的几个改进方向,并且展望了量化投资在我国的美好发展前景。本文的创新点在于:不同于大多数联动性研究的文章一样把联动性研究作为一种“事后”的市场与行业关系的分析研究,本文把联动性的分析与量化投资策略结合起来,这种结合通常被用于“配对交易”策略的构建;但又不同于基于“联动性大小”的“配对交易”的套利投资策略,本文从“联动性异动”的角度入手,构建了以行业板块为基础的量化选股的多头策略。更多还原

【Abstract】 The majority of the investor,which consists of a couple of individuals,still dominate the A share market of China,thus the fluctuation of emotion and the immense effects of share market caused by other non-rationality factors becoming easily discerned by the public.From the perspective of investors,we attempt to get rid of the weakness in the humanity when dealing with our investment stuff.On the other hand,still,we expect to obtain some extent of profits by the construction of the investment strategy making use of the non-rationality.Given to the primary logic of investment market,undoubtedly,quantitative investment is a rather better way of approaching the investment via establishing the mathematical model to quantify the process of trade-offs.Based on its advantages of discipline,systematicness,timeliness,accuracy and decentralization,quantitative investment can largely satisfy investor’s demand,which is accepted by people increasingly.It can be said that the development of domestic quantitative investment has become an inevitable trend.This article starts with the linkage of stock prices,and we use the theory of financial economics,econometrics and statistics to analyze the construction of linkage strategies.Finally,a quantitative investment strategy based on the linkage of individual stocks in the industry was obtained,hoping to provide market investors and researchers with some reference.Firstly,describes the main methods of linkage analysis and the theoretical basis of quantitative investment.Then,we construct a change indicator based on the changes in the linkage of individual stocks in the industry.And based on the indicator,we carry out the strategy analysis and historical backtesting on the on-line platform "Ricequant" and get a good backtest result.Finally,combining the research framework of the entire article and the construction of the strategy,we look forward to the development of quantitative investment in China.The innovation of this paper is that,unlike most articles on linkage research,which uses linkage as an "afterthought" analysis of the relationship between the market and the industry.This article combines the analysis of linkage with the quantitative investment strategy.It is usually used in "pair trading" strategies.However,this article starts from the perspective of"linkage transaction" and obtain a quantitative stock selection strategy based on the industry sector,which is different from "pair trading".更多还原