Timing Strategy Based On The Trend Prediction Of Stock Market In China

On the basis of previous research results,this paper predicts the trend of Chinese stock market by quantitative time-selective arbitrage based on the memory research of Chinese stock market.Firstly,the Shanghai composite index and Shenzhen stock index are selected as the research objects,and JB test,LBQ test are used to verify the nonlinearity of Chinese stock market.Then we use R/S analysis method in fractal theory to modify the R/S analysis MF-DFA method to verify the long-term memory of China's stock market,calculate the memory cycle and use the Hurst index to predict the long-term trend of the stock market.Finally,according to the previous prediction of stock market trends,establish a quantitative investment timing strategy model,based on the Shanghai composite index from January 1,2010 to December 29,2017 and Shenzhen stock exchange index closing price as the basis data for empirical research,the period of the Shanghai composite index cumulative return of 27 %,using timing strategy cumulative return of 170%;The cumulative yield of Shenzhen securities is 1 % and 100% by timing strategy.This shows that the linear paradigm,random walk,normal distribution and other characteristics of the efficient market hypothesis do not conform to the reality of China's stock market,China's stock market does have nonlinear,self-similarity and memory characteristics,the use of nonlinear dynamics of the relevant quantitative investment strategy can overcome the market,with reliable practicality and effectiveness.