基于Copula函数的技术指标相关性分析-企业管理专业论文.docxVIP

华中科技大学硕士学位论文 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract Quantitative investment is to make investment decision by using mathematical or quantitative method. After 30 years of development, quantitative investment has been recognized and favored by many investors in the foreign markets. Technical index as a tool to make stock investment has been developed for several years, and is popular among a great number of investors. This paper adopted the daily data of China Shanghai Composite Index between January 1, 2007 and December 31, 2010. By the method of descriptive statistical, we found out the orderliness of really buying timing and selling timing of individual technical index and the effect of time window on the really buying and selling timing. We concluded that we can improve the probability of the real signals of buying and selling timing by parameter optimization and then improve the investment return of individual index, and pointed out that time window optimization is important for technical index. We then studied the time interval between really buying and selling of combination of any two index, we found the index combination with the most real signals. The non-linear correlation of history series calculated by Copula function is very high, and then we construct investment strategy based on Copula functions. We also use the daily trading data of all Chinese A-shares to verify that the investment strategy can enable investors to obtain substantial excess returns and beat the market. We analyse the phenomenon of industry wheel in the A-shares market by the investment strategy that we establish aforementioned. The main work of this paper: find out that the real buying timing and selling timing is positively related to historical return series through the statistical study of buying and selling timing of technical index; proposed the necessity and method of index parameter optimization by test the real and fake signals under different parameters; use Copula function