Second, based on the China market. The closest book to quantitative investment is Financial Engineering, but most of the cases in financial engineering come from foreign markets, and many strategies do not have investment conditions in the domestic market. The cases in this book are basically the analysis of the actual trading data in the domestic market (stocks, futures, etc.). ), especially suitable for domestic investors.
Third, in theory. Quantitative investment is inseparable from the support of the latest mathematics and computer theory. This book uses nearly half the space to explain the basic theories related to quantitative investment, and uses many cases to illustrate the application methods of these theories. It avoids the shortcomings of general investment strategy books that emphasize technology over theory, thus making quantitative investment more scientific.
The main content of this book.
The content of this book is divided into strategy and theory. The chapter on strategy expounds various strategies and methods of quantitative investment, and the chapter on theory introduces various mathematical tools to support quantitative investment in detail.
The strategy chapter introduces eight investment strategies, namely quantitative stock selection, quantitative timing, stock index futures arbitrage, commodity futures arbitrage, statistical arbitrage, option arbitrage, algorithmic trading and other strategies.
Overview of investment strategy
The most important strategy of quantitative stock selection and quantitative investment is mainly to study how to choose the best stock portfolio through various methods, so that the yield of stock portfolio is as high as possible and as stable as possible. In the chapter of quantitative stock selection, eight different strategies are expounded, which are multi-factor model, style rotation model, industry rotation model, capital flow model, momentum reversal model, consensus expectation model, trend tracking model and chip stock selection model.
Quantitative timing is the most difficult strategy and the highest rate of return in quantitative investment. Mainly study the trend of the market and individual stocks, and carry out corresponding high-selling and low-sucking operations. If we can correctly judge the market, the yield will be much higher than the simple buy-and-hold strategy. This chapter mainly expounds eight timing models, namely, trend timing, market sentiment timing, effective capital model, bull-bear line model, Hurst index model, SVM model, Swatch model and abnormal index timing.