The Research On Quantitative Trading Strategy Based On Hurst Index

Quantifying transactions,making comprehensive use of finance,computers,mathematics,physics and other disciplines,and establishing mathematical models to make investment decisions.In traditional investment,fear and greed are the insuperable weaknesses of human nature.Quantitative transactions,through strict implementation of algorithms and fully automated procedural transactions,can dissolve the weaknesses of human nature,reduce the impact on the market and reduce impact costs,and are more and more favored by large capital institutional investors.With the trend of fintech(Financial Science and Technology)sweeping the world,it has become a direct application of artificial intelligence in the field of investment.This new investment theory and investment model is the best choice for the regulatory and private investment.This area with high technical threshold needs more and more young people with professional knowledge.To promote the development of China's future financial environment.In this paper,the Hurst index is applied to the quantitative transaction,and the Hurst index strategy is empirically analyzed from the two angles of the single stock and the 60 representative stocks classified by Shen Wan industry.The innovation point of this paper is to use the Hurst index to predict the stock and to be specific to a stock.It is practical and not to pursue the prediction of the absolute value of the future price.Instead,it transforms the problem into a prediction of the future trend of the single stock price,which greatly improves the accuracy of the forecast results and gains good returns..It also makes full use of the huge advantages of quantitative trading platform,and further researches on quantified trading strategies.Based on the results of theoretical and empirical analysis,the main conclusions are as follows:(1)the Hurst index quantitative trading strategy keeps low risk at the same time.In the return period,in the period of the survey,the strategic returns are far away from the benchmark returns.In the case of no risk,the performance of the strategy is extremely excellent.In the risk index,the standard deviation of the strategy return is smaller and the strategy is less risky;(2)the Hurst index quantitative trading strategy is applicable to the whole stock market and can be used in the whole stock market.The whole industry obtains good income,Hurst index strategy algorithm has less volatility,less standard deviation of strategy return,lower risk,and low risk while obtaining high income.(3)Hurst index strategy does not pursue the prediction of the absolute value of future price,but turns the problem to stock price.The prediction of the trend of change has greatly improved the accuracy of the prediction results.According to the results,it can be seen that the Hurst index strategy can avoid the bear market in time and successfully grasp the opportunity of the bull market.The strategic income is far higher than the benchmark return and the traditional investment income,while maintaining a low risk.It is suitable for the whole stock market in the quantitative transaction,and can gain good profit in the whole industry stock.The Hurst index can be used to quantify the trading signals generated by trading strategies and provide strong references for investment decisions.However,the stock market is risky and investment needs to be cautious.Quantitative trading strategy has various advantages.Investors should control their positions according to their own risk tolerance,and have a clear sense of risk and rational investment.