股市涨跌预测与量化投资策略:基于时变矩成分分析

Stock Market Rise-Fall Forecast and Quantitative Investment Strategy: Based on Time Varying MCA

利用时变矩成分分析提取高阶矩吸收率,改进基于阈值的高阶矩因子个数选择方法,提出基于元素值的联合矩成分分析权重设定,构造了一种基于股票市场高阶矩相关结构的量化投资策略。研究表明,基于矩成分吸收率的投资策略能够对股市涨跌做出有效预测,对于股市的重大系统风险尤为敏感,在熊市中也有良好表现;基于单因子吸收率、累积三因子吸收率和赫芬达尔吸收率的高阶矩投资策略优于二阶矩吸收率投资策略,而三阶矩单因子吸收率投资策略最优,基于元素值权重的投资策略优于基于元素个数权重的投资策略;量化投资策略具有参数稳健性,且可通过优化高阶矩的时变结构对投资效果进行优化。

The research on the correlation of financial assets is of great significance to capital risk management,portfolio selection and financial supervision.Due to the return of financial assets are fat-tail and skewed,using higher order moment correlation structure is more reasonable for financial market modeling.Moment Component Analysis(MCA),which is an expansion of PCA,is a new way to study the higher order correlation structure of financial market.The Time-Varying MCA is proposed to extract the high order co-moment absorption ratios in order to predict the systematic rise-fall of the stock market.Meanwhile,a method of selecting the number of high-order moment factors based on the threshold is improved in this paper,this method can fit the marginal distribution of different assets.On the other hand,the weights of the Joint-MCA based on the element values is proposed to improve the performance of the Joint-MCA.Finally,a quantitative investment strategy based on the MCA absorption ratios is constructed in stock market.This new method is illustrated with 52 component stocks of the CSI300 Index.The empirical study shows that the investment strategies based on the MCA absorption ratios can make effective predictions for the rise-fall of the stock market,particularly sensitive to systematic risks of the stock market,while also have good performance in the bear market.The investment strategy of the single factor absorption ratios,the Herfindahl absorption ratios and the accumulated three factor absorption ratios all have better performance than the investment strategy of the PCA absorption ratios,and the single factor absorption ratio of third order co-moment has the best performance.In addition,the weight based on element values outperformsthan the weight based on the number of elements.The robust analysis shows that the investment strategies have parameter-robustness and the investment performance can be improved by optimizing the time-varying structure of higher-order co-moments.To a large extent,the empirical results of this paper demonstrate the advantages of the Time-Varying MCA methods,which can predict the rise-fall of the stock market more efficiently rather than PCA,and give investors a better reference for asset allocation.