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Application Of Hurst Exponent In Quantitative Trading

Posted on:2015-06-18Degree:MasterType:Thesis
Country:ChinaCandidate:F P LuFull Text:PDF
GTID:2349330482456314Subject:Applied Statistics
Abstract/Summary:PDF Full Text Request
Quantitative trading originated in the 1950s, after which it has gained rapid development and spread. Authoritative data have shown that in mature markets abroad, quantitative trading has accounted for more than 70% of total trading volume. In recent years, domestic quantitative trading funds have been increasingly active with the help of foreign mature experience. Quantitative trading has gradually become a mainstream means of transaction in domestic capital markets.Quantitative trading refers to the trading done using computer technology and some mathematical models. Different from traditional investment methods, quantitative trading does not entirely rely on subjective judgments to make trading decisions, rather it quantifies investment ideas, develops quantitative models and employs computers to help people conduct an objective decision analysis and thereby obtain investment income. Compared with the traditional trading methods, quantitative trading allows more stable, excellent return on investment. Therefore, the study of quantitative trading methods is of some theoretical and practical significance.This thesis takes quantitative trading methods as the research content, and CSI300 stock index futures as the object of research to demonstrate CSI 300 Index has a relatively strong trend, and determine the methods for study of trend following and quantitative timing through the research of statistical and fractal characteristics of the CSI 300 Index. During the empirical research, a set of Hurst exponent-based lifeline quantitative timing trading methods is established through the research and modification of lifeline quantitative timing methods, and a test is made on the established model.
Keywords/Search Tags:quantitative trading, stock index futures, Hurst exponent, trend following
PDF Full Text Request
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