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Research On The Quantitative Investment Strategy Of The A Stock Market Based On Time Series Momentum Model

Posted on:2016-03-27Degree:MasterType:Thesis
Country:ChinaCandidate:J J YeFull Text:PDF
GTID:2480305903990549Subject:Business Administration
Abstract/Summary:PDF Full Text Request
In the first part of this paper,the origin and development of the time series momentum model are analyzed,and the application of the simple moving average and exponential moving average of the two momentum models in the US stocks is analyzed.For S&P 500 index,empirical results show that both of these time series momentum models can get higher return than the market based on numerical simulation.Next,we focus on the application of time series momentum model in China stock market.Let Shanghai Securities Composite Index as the subject,verify these two time series momentum models for short term and long term performance in China stock market.We find that the main profit period are concentrated in the oscillating bear market.For the unilateral market,whether bear or bull,the amplitude of the time series momentum model is smaller than the index.Subsequently,we study the optimal momentum calculation period of two momentum models,and put forward an empirical conclusions: any time series momentum model in this paper with full optimization are equivalent.Limited to space,we do not have a theoretical proof for this statement,only show the corresponding numerical results.We also compare the differences between the Chinese stock market and the U.S.stock market.Due to the short history,high volatility,low dividend rate and other factors,China market always presents a pattern like ?short bull and long bear‘.At last,we give a comprehensive strategy to realize the dynamic allocation of portfolio,which is based on weekly trading.For this strategy,we made a preliminary optimization to modify the weights of different allocation factors to achieve greater profit.The numerical experiments confirm that the comprehensive strategy can achieve better returns in Chinese market,and has the advantage of low volatility.
Keywords/Search Tags:Time series Analysis, Momentum, Reversal, Bull and Bear Change
PDF Full Text Request
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