基于灰色关联度分析的量化投资策略研究  

Research on Quantitative Investment Strategy Based on Grey Relational Degree Analysis

作　　者：梁艳 李俊林[1] 董安强[1] LIANG Yan;LI Jun-lin;DONG An-qiang(School of Applied Science,Taiyuan University of Science and Technology,Taiyuan 030024,China)

机构地区：[1]太原科技大学应用科学学院,太原030024

出　　处：《太原科技大学学报》2020年第4期313-317,322,共6页Journal of Taiyuan University of Science and Technology

摘　　要：基于灰色关联度分析法研究了量化投资策略问题,通过分析已有研究成果,对原灰色关联度分析法做了改进,针对股票技术指标,建立了量化指标组合,进而提出了相应的量化投资策略,并通过实证检验发现,所构建的量化投资策略是有效的,能够用于对我国上证A股市场的研究。In this paper,the quantitative investment strategy problem is studied based on the grey relational degree analysis method.Through the analysis of the existing research results,the original grey relational degree analysis method is improved,and the quantitative index combination is established for the technical index of the stock.Then the corresponding quantitative investment strategy is put forward,and through the empirical test,it is found that the quantitative investment strategy constructed is effective and can be used to study the A-share market of Shanghai stock market in China.

关 键 词：量化投资 灰色关联度分析 技术指标 量化投资策略 

分 类 号：F830.91[经济管理—金融学]