Research On The Quantitative Investment Strategy Of Shanghai And Shenzhen 300 Based On XGBoost

Since the reform and Opening-up in 1978,China's economy has entered the fast lane,and the stock market has emerged.The rapid economic development has raised people's living standards,people's quality of life is increasing,the amount of money at hand is more and more,people are no longer satisfied with the funds in the bank,so people's demand for investment is soaring.But the stock market has the high risk high return characteristic,has been attracting people's attention unceasingly,has become one of many individual investor's important choice.Due to the economic crisis and the changing international economic environment and the adjustment of China's economic structure and industrial structure in recent years,China's stock market is often in the forefront of the global stock market decline,on the one hand,China's stock market itself is congenitally deficient,On the other hand,the information asymmetry of individual investors and the lack of professional knowledge cause people to invest in the stock market often with very big blindness and speculative,plus in recent years our country stock market has the big black-and-black operation,so it is difficult for investors to obtain the expected investment income.For individual investors,it is very important to seek an effective investment method,reduce the risk of people's stock and increase the income of people's investment.In the stock market,every moment is producing a lot of data,even accurate to each transaction,listed companies will regularly release financial reports,how to better use of these data,combined with machine learning algorithm,to build a quantitative investment strategy can be achieved to reduce the risk of investors,so as to bring more benefits to investors,becomes a very worthwhile question.As a new method of active investment management,quantitative investment has been developed in Europe and America for more than 40 years,while the development of China's stock market has only a few years,and there are a lot of differences in ideas,methods,technology and market environment with those of European and American countries.However,in recent years,China has made great progress in quantitative investment,the current quantitative investment in China is mainly distributed in the Asset Management department or financial engineering Department of the large securities companies,the Asset Management department of the Bank and the newly established small Scale private equity fund in recent years.With the continuous maturation of quantitative investment technology and methods,quantitative investment has been paid more and more attention by more and more financial talents in China.The huge amount of China's capital market and the increasingly improved economic structure provide great space for the rapid development of China's quantitative investment.Comprehensive analysis of these financial indicators data,to a certain extent,can reflect the overall operating conditions of a listed company,whether it has investment value,whether it is worth investors investment,combined with these data research can better help investors choose quality stocks.This paper studies the intrinsic relationship between financial index and stock investment value of listed companies through machine learning method,expects to make full use of these financial data,and uses machine learning method to excavate valuable information,so that we can choose the investment better.This paper selects the financial ratio index of the 300 listed companies of the HS300 index as input variables,which is the output of the share rate.