基于Alpha策略的量化投资研究

Quantitative Investment Research Based on Alpha Strategy

量化投资是在市场非有效或弱有效的理论基础上,通过构建数学模型来进行交易的理性投资方法,通过定量方法进行技术整合,从而增加收益的稳定性。Alpha策略是典型的对冲策略,运用指数期货或期权等风险管理工具来对冲系统性风险,进而超越指数收益。本文论述了基于Al pha策略下的量化投资实践方法,以此获得超额收益。

Quantitative investment is a rational investment method based on the theory of market inefficiency or weak efficiency.It can increase the stability of returns by building mathematical models and integrating technology through quantitative methods.Alpha strategy is a typical hedging strategy,which uses risk management tools such as index futures or options to hedge systemic risks and surpass index returns.This paper discusses the quantitative investment practice method based on Alpha strategy,in order to obtain excess returns.