The Application Of Quantitative Investment Strategies In Chinese Stock Market Based On Multifractal

Based on previous research,this passage describes the basic concepts of fractal, the definition of multifractal and the basic concepts of multi-fractal spectrum and its parameters in detail. This paper describes the calculation method-MF-DFA algorithm used to measure the multi-fractal spectrum, specifically. We chose the HS 300 Index, SSE 50 Index and the CSI 500 Index as a research object, using empirical analysis method, compare multi-fractal nature of the differences between different indices, and the differences between multi-asset portfolios and single assets, and the differences in the nature of a single multi-fractal index different periods. At the same time, on the basis of these empirical analysis, we combine BP neural network, PSO and VAR techniques to build quantitative investment strategies, and select two representative test interval to test quantitative investment strategies. In these test interval, the quantitative investment strategy behaves well and achieves the cumulate return of 36.38% and 63.38%, and its probability of winning is 68.23%?81.82%. Quantitative investment strategies of test and analysis results show effectiveness that the market multifractal characteristics is used to construct the quantitative investment strategy.