| The study of market efficiency has always been an important direction of financial research.In modern capital market theory,the "linear paradigm" has always dominated,but the actual capital market is a complex non-linear system.Explained by this theory,many empirical analyses also show that the stock market is not linear.China’s stock market started late,is an emerging capital market,and needs to be regulated in terms of system and supervision.From the current stage of development of China’s securities market,China’s securities market is not yet an effective market.When it comes to markets,you should start from a non-linear perspective.Exploring the characteristics of China’s securities market has important practical value for investors to make reasonable decisions,promotes the steady development of the securities market,and has important significance for the development of China’s financial industry and even economic development and the improvement of international economic status.The data in this article uses the daily and weekly closing data of the SSE 50 Index since its listing to October 31,2019,and divides the entire cycle into 10 time periods according to stock market conditions.First,the non-linear nature of the Shanghai Stock Exchange 50 is tested.The first is to test the basic statistical characteristics.The second is to use a single index model to calculate the beta of different periods.It is found that the beta and the average return of the securities cannot form a linear relationship.The preliminary explanation of the Shanghai Securities The 50 Index is not a linear market.The third is to use the BDS non-linear test.The results show that the SSE 50 Index has significant non-linear characteristics.The long memory of the three major non-linear characteristics is analyzed,and the long memory parameter Hurst is used to analyze the Shanghai Stock Exchange 50 Index.Firstly,the static Hurst index is used to determine the existence of the long-term memory of the Shanghai 50 Index.Secondly,the relationship between the overall daily and weekly dynamic Hurst index and the Shanghai 50 index is determined,and it can be used in trend analysis.Memory trend and reversal trend,and the weekly index has a better predictive effect and is better in timeliness.In the analysis of the local relationship between the two,the monetary policy of raising and lowering interest rates was selected for auxiliary analysis,exploring its impact on the stock market,and finally making relevant suggestions to investors.After determining that the Hurst index can be used to identify trends in the stock market,Hurst is applied to the selection of quantitative timing strategies.In this paper,quantitative timing strategies are divided into two categories,one is the double-mean and MACD timing strategy based on linear theory,and the other is the Hurst timing strategy based on the fractal theory memory parameters.Based on the research in Chapter 3,the Hurst threshold and Hurst moving average strategy are proposed.Using the real closing data after 2016 to write a backtesting framework,backtesting was conducted under the same conditions of initial capital of 500,000,minimum change of 1 lot,transaction unit of 300,and transaction cost of three ten thousandths of the transaction value.It shows that the non-linear timing strategy is superior to the linear timing strategy in terms of rate of return,risk management and win rate.Among them,the Hurst moving average strategy is the best: the cumulative return is 711,900,the annualized return rate is 109.66%,and the win rate is 64.71%.The long memory parameter Hurst can be applied to the quantitative timing strategy.Finally,it is recommended to explore the development path suitable for China’s securities market from the perspective of reality,and strengthen market disclosure to solve market non-linear problems.It is recommended that investors use long memory parameters Hurst to analyze stock market trends to avoid losses and improve returns. |
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