基于多因子模型的选股策略研究.pdf

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 2019 1 1 2019 12 12 的 策略的 策略2019 选的 的因子的的 于股 2020 Researchon stock selection strategy basedonmulti-factormodel Abstract In order to better apply quantitative trading to the actual, this paper uses Ridge regression, random forest regression, support vector regression of these three regressions, and carries onthestrategicbacktestingofthetradingdaysfromJanuary1,2019toDecember12,2019. Theresultsofthethreeregressionalgorithmscangettheexcessrateofreturn,inwhichthe randomforestregressionstrategycanbestadapttothelargemarketsituationoftheselected time periodin2019. The return results of the backtest show that these factors are significantly effective in the backtest time, indicating that good quantitative trading is conducive to investors to avoid some risksinthestockmarket,soastoobtainprofitmaximization. Keywords:Quantifying transactions Ridge Return Random Forest Regression Sup- port vectorregression 2020 1 2 1.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1.2 . . . . . . . . . . . . . . . . . . .