The Strategy Research Of Quantitative Trading On Constituent Stock Of SSE 50 Index

With the establishment of China's multi-level capital market and the rapid development of FinTech,there are more possibilities for quantitative trading in the market environment and implementation tools.Quantitative trading has attracted more and more attention from the market due to the huge demand and the enabling of science and technology.Current quantitative trading,especially high-frequency quantitative trading,has provided considerable liquidity for the trading market.Quantitative fund issuance and subscription have also developed from scratch,and become more and more competitive in yield.In terms of supervision,China's financial reform and innovation are constantly advancing.The study of quantitative trading represents the future world.Quantitative trading is an interdisciplinary subject.Mathematical modeling is used to analyze and study market trends and fluctuations.Meanwhile,information technology engineering is used to find market trading opportunities to replace investors in decision-making.Quantitative trading has the following advantages compared with traditional investment methods:Firstly,quantitative investment is supported by rigorous mathematical theory.Since Markowitz started modern finance,econometrics has made rapid progress,providing a rigorous theoretical support for the study of quantitative investment.Secondly,quantitative investment is completely neutral.The input of quantitative investment strategy is the signal of market,and its output is calculated by computer according to the input data of trading strategy.It does not carry human emotions,so as to ensure the consistency of decision-making and is completely rational.Furthermore,quantitative investment responds quickly.With the revolutionary progress of chip technology,5G communication technology and storage technology,every quantitative investor has sufficient guarantee in hardware,and can obtain market information synchronously with low delay of communication technology.Finally,quantitative investments are more sensitive,and trading signals that humans cannot detect can be found.This paper consists of six chapters,of which the third chapter,the fourth chapter and the fifth chapter are the main parts of this paper.Specifically,the first chapter introduces the background and significance of this study,and leads to the theme of this paper;the second chapter gives a brief overview of some nodal literature on the development process of quantitative trading,summarizes the new progress and research status of quantitative trading;the third chapter is the design of quantitative trading model and strategy for the Shanghai 50 index component stock market,and the existing trading models and strategies.On the basis of the analysis and research,the quantitative trading model and strategy suitable for the Shanghai 50 index component stock market are designed.The fourth chapter is the realization and empirical test of the quantitative trading model and trading strategy of the Shanghai 50 index component stock market.The validity of the algorithm is further verified by the data back test.The fifth chapter is the risk management strategy research of the quantitative trading of the Shanghai 50 index component stock market.The risk management of quantitative trading and its empirical analysis are carried out.The source and quantitative characteristics of risk are discussed.The enhancement and optimization of quantitative trading strategies by risk management strategies are studied through empirical analysis.Chapter 6 is the conclusion.It reviews the application of the quantitative trading strategy in the Shanghai 50 Index Component Stock Market,and summarizes the insufficiency and direction of the paper.