Multi-factor Quantitative Analysis Of Securities Traded In The Open Market

In recent years,the rise of quantitative investment in our country,the current theory and thought of quantitative investment has gradually become the focus of securities research,and people use the theory to get a better rate of return.With the development of traditional finance,behavioral finance and other relevant theo-ries,as well as the continuous intelligentization of computer technology,quantitative investment has provided more space for development.Quantitative investment has become an inevitable trend in the secondary market where the number of investmen-t targets increases gradually and the market system is constantly improved.The stock market is a complex non-linear system,and its price fluctuation is not only related to the basic situation of the company and historical data,but also influenced by various factors such as national policy,economic and political situation and in-vestor psychology.The multi-factor model introduced in this paper mainly analyzes the factors influencing the price change of the stock market through the modeling method.This study has certain guiding significance for the securities firms and the majority of investors.Firstly,this paper expounds the background and significance of the topic,the theoretical basis of quantitative investment,and the concepts and theories of multi-factor model.Secondly,based on SPSS,R and Choice financial database using the regression method to build the multiple factor to choose a model.This paper selected sample data for 2010-2016 Shanghai and shenzhen 300 index component stocks data,in addition to joining the common market factor when selecting factor,financial factors and macro factors,and added some hot spot in the nearly two years by indicators such as goodwill/net assets,rate of circulation capital and investor sentiment factor of behavioral finance.The selected factors are first has carried on the correlation analysis to factors,In addition,the redundant factors with high correlation are eliminated by the single factor test,and the regression stock selection model is finally obtained by the stepwise regression method.The empirical analysis of the model in the empirical test is conducted to verify the profitability of the model established in this paper.