Mathematical Research And Market Empirical Of Investment Model

Chinese securities market has experienced ups and downs about20years, which startsfrom scratch, from newborn to gradually move toward standardization, marketization andinternationalization. Because of various reasons, China’s stock market has a long bearmarket but bull short, especially during the financial crisis of2008, global stock markets isundergoing an shark falling down, and investors suffers an nightmare. However, in the endof2008statistics report, the American mathematical genius, Simmons won the throne of theKing "of the hedge due to his excellent quantitative investment ability, and became the manwho had the ability of making more money than Soros. Simmons and his quantitativeinvestment had gone into the history of Wall Street.Especially in recent years, the efficient market hypothesis is continually impacted;market behaviors also show that the stock market volatility is not always random walk.Quantitative investment subverts the traditional investment strategies; which gives us a newinvestment philosophy and investment perspective. The myth of Simmons shows thatmarket index can be beyond, we can use the reasonable investment ideas,concepts,andmarket rules into our models of to fulfill more than the average rate of return.This paper first describes the summary of the history and present situation of thequantitative investment, and then according to the characteristics of China’s securitiesmarket construct the extreme value model, followed by application of financial mathematicsfrom the mathematical theory argument the model exhaustively to prove that the model weconstructs is science and reasonable. Finally, we apply the model to the empirical marketevidence, and undergo an careful analysis of the model results. The results show that, themodel we constructs is able to achieve more than the market average rate of return, and canprovide an reasonable proposal to the investors’investment behaviors.The innovation of this paper is based on the quantization selection and algorithmictrading; we constructed the extreme value model, It was the first time proposed in themarket.