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Multi-factor Quantitative Neutral Strategy Research In The A-share Market

Posted on:2018-10-06Degree:MasterType:Thesis
Country:ChinaCandidate:Z S WeiFull Text:PDF
GTID:2359330518478929Subject:Financial master
Abstract/Summary:PDF Full Text Request
In 2008,the A-share market was not spared in the global financial crisis,with more than 60% of the year's unilateral decline.In this case,finding a more reliable investment approach has become an urgent requirement in today's portfolio of securities.Quantitative hedge trading emerged from the unilateral trend of market ups and downs,relying on the model to find the market irrational opportunities,the yield curve is relatively smooth.In this paper,using modern mathematics,statistics,economics and other related knowledge and theory,combined with internship experience in financial wealth,from the Angle of the practitioners of A hedging strategy,the a-share quantitative neutral policy model test study and practice,hoping to bring to market participants.This article first introduces the theoretical basis for quantitative hedge model,especially for the application of multiple factor quantitative neutral strategy specific analysis,and carries on the practice test.Under the turbulent session or downtrend,explore the strategy method still can obtain stable income,finally combined with practical results,puts forward their countermeasures,and quantification of neutral strategy development outlook to our country.The empirical model of this paper has carried on the innovation on the basis of the past,many factors in the process of building model joined the consensus expectations,and complete the "spot combination + stock index futures" quantitative hedge model is composed of many factors.In stock index futures contract management,the use of VaR method on the margin calculation,make sure that there will not be broke.The investment strategy is not entirely market neutral,by markov prediction to analyze future market trends for a period of time,dynamically adjust the portfolio beta,no matter how changes in the market,as far as possible to achieve high and stable earnings.
Keywords/Search Tags:quantitative investment, many factor to pick stocks, hedging strategies, market neutral
PDF Full Text Request
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