动态情景模型与阻力支撑在股票量化中的应用.docxVIP

PAGE 7 摘 要 　　量化投资在通用计算机上用之前就在金融数学领域崭露头角，多篇在学术界跨时代的理论也大多是在那时发表的，在商用计算机普遍使用的今天，对于量化投资方面理论的研究已不再只是只能存在于学术殿堂上可望不可及的一偏偏论文和报告，而是进入了千万家证券研究所，进入了真正意义上的实战领域。尽管国内在这方面的起步要晚于欧美地区，然而我国证券研究者亦发挥摸着石头过河的优良本领在，不断将我国量化投资策略方面的研究推向一个又一个高峰。本文正是在这一背景下，着眼于量化投资领域的多因子策略这个分支。一别以往alpha策略中对于股票市场生硬的分层手法，在本文中将基于Barra CNE6这一优良模型对于我国市场的解析，兼顾数据合理与逻辑和理性，期望衍生出一套专门针对国内股票的一种划分手法，并且使用改进过的阻力支撑模型和传统的ATR止盈止损模型补全整个量化策略，最终与传统模型同台竞技，从而分析该方法的优越性与不足点。 关键词：量化投资策略；DCAM；多因子；Barra模型 ABSTRACT 　　Quantitative investment emerged in the field of financial mathematics before it was used on general-purpose computers. Most of the inter-age theories in academia were published at that time. Today, when commercial computers are widely used, there is no more research on quantitative investment theories. It is only the unattainable papers and reports that can only exist in the academic hall, but has entered thousands of securities research institutes and entered the real field of actual combat. Although the domestic start in this area was later than in Europe and the United States, Chinese securities researchers have also exerted their excellent ability to cross the river by feeling the stones, and continue to push the research on Chinas quantitative investment strategy to one peak after another. In this context, this article focuses on the branch of multifactor strategies in the field of quantitative investment. Instead of the rigid layered approach to the stock market in the previous alpha strategy, this article will be based on the analysis of the Chinese market based on the excellent model of Barra CNE6, taking into account the reasonableness of the data and the logic and rationality, and it is hoped that a set of specific domestic stocks will be derived. A division method, and use the improved resistance support model and the traditional ATR stop-profit and stop-loss model to complete the entire quantitative strategy, and finally compete with the traditional model, so as to analyze the advantages and disadvantages of t