| From the birth of China’s first quantitative fund in 2004,and the quantitative investment in China’s stock market has begun to develop rapidly in recent years,but the types of quantitative investment strategies that are relatively late compared to foreign countries are still not rich enough,leading to the quantification of China and developed countries.There is a big gap in the overall investment.With the widespread popularization and development of big data and Internet technologies,China’s stock market has also begun to use high-frequency data processing machines to operate quantitative information to help investors screen stocks in complicated information and data.However,most traditional quantitative stock picking strategies focus on fundamentals,focusing on individual stock analysis,and relatively lacking the timing of stock trading.This paper introduces the subjective sentiment of investors in the quantitative stock selection,helping investors have more choices in the quantitative investment strategy.The quantitative strategy of this paper is to choose stocks at the right time.The timing is calculated by calculating the investor’s emotional coefficient,analyzing the investor’s psychology strategy to set whether the stock is traded in the current month;the stock picking is to select the stock with the highest score by the effective factor to construct the portfolio.This thesis discusses behavioral finance,analyzes the current situation of investor sentiment research at home and abroad,then selects six emotional indicators as principal component analysis,and constructs a comprehensive sentiment coefficient that reflects the emotional changes of market investors.Combining the psychological expectation of stock investors,and timing the stocks that satisfy the conditions in different situations;then constructing the multi-factor stock selection model for the selected fundamentals and technical surface factors,and selecting several effective factors.Through these effective factors,a comprehensive stock selection model is constructed to screen stocks.At the end of the paper,the multi-factor stock selection strategy and the multi-factor stock selection strategy after emotional timing optimization are back-tested and compared.Through empirical discovery,the stock selection strategy after timing has improved the profit rate while ensuring the risk,which has the effect of optimizing the multi-factor stock selection strategy. |
