分形特征约束下股票市场动量和反转效应的转换研究

Study on Conversion between Momentum and Contrarian Effect under Fractal Fluctuations

识别股市动量和反转效应的转换对投资获利至关重要。本文基于分形理论构建了移动阴线和阳线Hurst指数识别动量和反转效应的转换,并在移动阴线和阳线Hurst指数识别动量和反转效应转换的基础上构建了投资策略,通过分析投资策略的收益,检验了移动阴线和阳线Hurst指数识别动量和反转效应转换的效果。结果表明,移动阴线和阳线Hurst指数可以识别股票市场动量和反转效应的转换,有益于为投资管理提供决策参考。

It is important to investment management that identify the conversion between stock market momentum and contrari- an effect. This paper builds the mobile negative and positive line Hurst index to identify the conversion between momentum and contrarian effect based on the basis of the fractal market theory. And construct the investment strategies, analyzes the per- formance of the investment strategy. The results show that the conversion between momentum and contrarian effect can be accurately identified with mobile negative and positive line Hurst index, which can be used in investment management.