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dc.contributor.advisor赵华
dc.contributor.author茹瑜
dc.date.accessioned2018-12-05T01:29:45Z
dc.date.available2018-12-05T01:29:45Z
dc.date.issued2017-11-02
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/169225
dc.description.abstract对于证券市场的参与者,对交易决策进行择时一直是比较困难的,但在不断波动的市场中,择时的重要性又是不可忽视的。本文从量化投资的角度对交易择时进行深入的探讨,基于已实现波动率构建HARQ-RV模型,结合统计过程控制论中的休哈特控制图制定量化择时规则,构建基于已实现波动率的量化择时策略,并对该策略在我国股市的代表性指数沪深300指数上进行了回测、分析,从策略参数选择和加入止损两个方面对所构建的波动率择时策略进行优化。 本文通过实证发现,HARQ-RV模型对沪深300指数已实现波动率预测的精度不论是在样本内还是样本外较HAR-RV模型都有明显的改进,并且通过回溯发现HARQ-RV模型在样本窗长度l=...
dc.description.abstractFor the participants in the securities market, trading timing has been always difficult, but in the volatile market, the importance of timing is not to be ignored. This paper explores the timing strategy from the perspective of quantitative investment, building the HARQ-RV model based on the realized volatility and Shewhart control chart in the statistical process control theory. The volatility ti...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=57082&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=62591
dc.subject已实现波动率
dc.subject量化择时
dc.subjectHARQ-RV模型
dc.subject休哈特控制图
dc.subjectrealized volatility
dc.subjectquantitative timing
dc.subjectHARQ-RV model
dc.subjectShewhart control chart
dc.title基于已实现波动率的量化择时研究
dc.title.alternativeThe Study on Timing Strategy Based on Realized Volatility
dc.typethesis
dc.date.replied2017-04-19
dc.description.note学位:应用统计硕士
dc.description.note院系专业:经济学院_应用统计硕士
dc.description.note学号:15420141151987


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