基于基本面的平衡型多因子量化选股模型研究
| dc.contributor.advisor | 徐宝林 | |
| dc.contributor.author | 卢捷敏 | |
| dc.date.accessioned | 2022-01-12T07:26:56Z | |
| dc.date.available | 2022-01-12T07:26:56Z | |
| dc.date.issued | 2020-12-30 | |
| dc.date.replied | 2020-05-31 | |
| dc.description.abstract | 国内A股市场的股票数量与市场体量与日俱增，过度依赖人工低效的投研方式已经无法满足大规模资产管理的需要，而量化投资作为一种高效并且能够穿越牛熊取得绝对收益的投资方式近10年在国内发展迅速。A股市场的投机行为严重，整体的波动率远高于成熟国家资本市场，当前迫切需要倡导基于上市公司基本面的内在价值长期投资来减少市场非理性波动。在以上背景下，研究基于基本面的量化多因子选股模型符合市场发展的需要。 上市公司基本面涵盖着评价企业股价高低、盈利能力、增长能力、经营与周转效率、中长期和短期偿债能力以及投融资能力等角度的运营和财务数据，估值和质量则是对企业基本面的高度概括。在估值和质量两个维度基础上，我们根据市... | |
| dc.description.abstract | The number of stocks and market volume in the domestic A-share market is increasing day by day. Excessive reliance on artificially inefficient investment research methods can no longer meet the needs of large-scale asset management. Quantitative investment is an efficient investment method that can pass through bulls and bears to obtain absolute returns. In the past 10 years, it has developed rapi... | |
| dc.description.note | 学位：经济学硕士 | |
| dc.description.note | 院系专业：经济学院_金融学 | |
| dc.identifier.uri | https://dspace.xmu.edu.cn/handle/2288/199322 | |
| dc.language.iso | zh_CN | |
| dc.source.uri | https://etd.xmu.edu.cn/detail.asp?serial=457421D8-C227-4F90-915F-B000D0523033 | |
| dc.subject | 基本面量化 | |
| dc.subject | 平衡型 | |
| dc.subject | 多因子模型 | |
| dc.subject | 市场信号 | |
| dc.subject | 多组合验证 | |
| dc.subject | Fundamental quantification | |
| dc.subject | Balanced | |
| dc.subject | Multi-factor stock selection | |
| dc.subject | Market signals | |
| dc.subject | Multi-combination verification | |
| dc.title | 基于基本面的平衡型多因子量化选股模型研究 | |
| dc.title.alternative | Research on Balanced Multi-Factor Quantitative Stock Selection Model Based on Fundamentals | |
| dc.type | thesis |
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