Money Flow And Active Volume Model About HS300Index

In security market, how to beat the market is the goal of most analysts and fund managers. There are two classic research methods from the market history. One is fun-damental analysis, the other is technical analysis. But with the computer and statistical development, there emerge a new analysis method called financial engineering, it use the mathematical model to analyze the trading data and financial data to create the trading strategy.The relationship about price and volume is the most important part of financial engineering research and technical analysis, the price and volume is the direct and com-prehensive data that can get from the historical trade. From Welles Wilder create the MFI index, it attract so much analyst to analyze the impact about money flow. Although recently there are still many security research institute focus on this field, how to definite money flow is still a problem and the impact is still discussing. Why so many analysts pay attention to this problem, because the money is the direct reason which can bring up the market. If we can predict the money flow and the impact of the money flow will be a great improvement for investment decision.In the domestic, the analysts focus on day-trade data and find some results. This paper uses the high frequency trade data to build a new index called active volume to find the impact to price. For money flow, many researches use different definite methods and find some results. There are two different views about the impact, one is the historical MF will bring down the market, the other is the historical MF will bring up the market. This paper use a new definite method of money flow to research the relationship between the money flow and market return in different periods. Base on this result, I create the reverse trading strategy.