Develop And Research On The Quantitative Stock Selection Model Of GX Securities

Quantitative investment as apopular topic in the field of domestic investment in recent years,many investment institutions have setted up the quantitative investment,financial engineering,derivatives trading department and other departments,specializing in the A-share market quantitative investment work.For ordinary investors,they can also participate indirectly in this market.Quantitative investment provides a new way of trading,enriching investors’ investment channels,and the development of three or four years has begun to take shape.As anintern during my internship in GX Securities,I got the opportunity to come into contact with the development and application of quantitative investment model work,therefore,in this paper,under the precondition that does not involve confidential information,reproduce the GX development use situation of quantitative investment model,draw lessons from the selection and application process of factor,through JoinQuant,a development platform and Make a summary on the actual results.In this paper,from the selection of financial index and market index variable,WIND database as the data source to screen the executive compensation factor,equity structure factor,capital structure factor,profit ability factor,growth ability factor,the technical index factor,six kinds of alternative factor,makes the market for shares may have obvious influence factors as much as possible into the factor to the alternate,so that it can improve the efficiency of multiple factor to choose a model to pick stocks,get the income benefit of a higher and more stable.Using the Python programming language in the samples back to test period to test the model,from the trading process,individual companies shares were suspended and the appearance of black swan events such as special cases,the problem of poor liquidity.Although there are still many limitations in the perspective of development and improvement,the multi-factor quantitative stock selection model can also help investors’ investment behaviors and has certain applicability.