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基于多因子模型的选股策略研究.pdf

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基于多因子模型的选股策略研究 161203105386 · 2020 的基于多因子模型的选股策略研 究的研究的 的的 2020 基于多因子模型的选股策略研究 20191120191212的 策略的 策略2019选的 的因子的的 于股 2020 Researchonstockselectionstrategybasedonmulti-factormodel Abstract Inordertobetterapplyquantitativetradingtotheactual,thispaperusesRidgeregression, randomforestregression,supportvectorregressionofthesethreeregressions,andcarries onthestrategicbacktestingofthetradingdaysfromJanuary1,2019toDecember12,2019. Theresultsofthethreeregressionalgorithmscangettheexcessrateofreturn,inwhichthe randomforestregressionstrategycanbestadapttothelargemarketsituationoftheselected timeperiodin2019. Thereturnresultsofthebacktestshowthatthesefactorsaresignificantlyeffectiveinthe backtesttime,indicatingthatgoodquantitativetradingisconducivetoinvestorstoavoid somerisksinthestockmarket,soastoobtainprofitmaximization. Keywords:QuantifyingtransactionsRidgeReturnRandomForestRegressionSup- portvectorregression 2020 12 1.1........................................2 1.2........................................3 2基4 2.1......................................4 2.2..................................4 2.3..................................5 2.4Brinson因.................................5 36 3.1因子.....................................6 3.2....................................7 48 4.1.....................................8 4.2模型..................................8 4.3因.....................................10 4.4因子.....................................12 514 15 16 17 1 20