The Development Trend Of Quantitative Investment And An Empirical Study On Multi Factor Quantization Strategy

Quantitative investment is an investment method that investors make trading strategy and execute with the help of computer quantization technology.Its advantage lies in that computer big data analysis can avoid the subjective influence of all investors and can quickly and accurately find trading opportunities to bring more stable excess returns for investors.Based on the rapid development of quantitative investment,this paper studies the development trend of quantitative investment industry and applies the multifactor quantization strategy to A shares to construct a stable excess returns strategy.In this paper,the concept and characteristics of quantitative investment are deeply analyzed,this paper divides the investment process into three processes: development,execution and evaluation,and thinks that the intelligent quantitative investment from traditional investment to quantitative investment is the result of the gradual infiltration of computer technology into these three processes.Intelligent quantitative investment will further enlarge the characteristics of quantitative investment stability and efficiency.The paper then expounds the characteristics of the quantitative investment industry,and thinks that the quantitative investment industry belongs to the differentiated competition industry,but the pattern of the industry will remain more dispersed.Based on this,this paper believes that the future of quantitative investment will be intelligent and public collect alms direction,and the case of Wealthfront company to support.Under the background of the rapid development of quantitative investment,this paper also uses the multi-factor quantitative strategy to carry on the empirical research.This paper selects seven kinds of factors such as profit factor,growth factor and so on altogether 20 factors to carry on the simulation holding position between 2010 and 2015,and obtains 6 effective factors through the single factor validity test and the redundancy factor screening,finds that the A share market has the obvious small market value effect and reversal effect.After that,this paper constructs the multiple factor quantization strategy through the effective factor and obtains the good result.At the same time,in the industry level,this article found that the effective factors in different industries have great differences.