Research On Quantitative Investment Strategy Based On The Linkage Of Stock Price In China's Stock Market

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".