Font Size: a A A

Research On Quantitative Stock-Picking Of Momentum And Reversal Strategies

Posted on:2016-02-27Degree:MasterType:Thesis
Country:ChinaCandidate:W N HuangFull Text:PDF
GTID:2309330467472755Subject:Finance
Abstract/Summary:PDF Full Text Request
Due to "8*16Everbright Securities" event, people’s eyes focused on the quantitative investment. Currently, quantitative investment has nearly30years of development history in foreign countries, but in the domestic stock market is still in its infancy. This paper attempts to start with quantified stock-picking strategy, as an example of the momentum reversal strategy, and establish quantified stock selection model for China’s stock market on the basis of theoretical research. Conduct empirical analysis, in order to achieve a quantitative investment theory and practice of inquiry.Firstly, the article reviews the research status of momentum reversal quantified stock picking strategies at home and abroad. Based on the summary, the literature and found that our country in the field of quantitative investment, especially in terms of stock picking is less quantitative research, there is a vast research space. And concluded with a comb quantitative investment concepts as well as quantified the basic theory of investment, particularly focused on stock-picking strategy and pattern recognition theory calculation step.Secondly, under consideration without shorting mechanism for quantified momentum stock picking reverse strategy to modify the model and empirical analysis focuses on the situation of different levels of performance in the stock market reversed the momentum strategy. The study found that the momentum in the motherboard market reversal strategy with small plates market applications better results than the GEM and the Main Board of the stock of short-term momentum and long-term presence of inversion phenomenon, the presence of small plates stock market short-term and medium-term reversal of momentum phenomenon.Finally, learn quantitative investment pattern recognition concepts, with the actual situation of China’s stock market. Build momentum stock selection model quantified reversal strategy under short sale constraints and empirical analysis of the motherboard market shares. Found improved stock selection model can obtain excess returns, and stock picking model is better than nothing short sale application effect. I hope to provide some reference for investors.
Keywords/Search Tags:Quantitative investment, Stock-picking strategy, Momentum Strategies, Reversal Strategy, Pattern Recognition
PDF Full Text Request
Related items