The main quantitative investment strategy-quantitative investment

Reproduced from: http://www.dataguru.cn/article-5412-1.html

The technology of quantitative investment covers the whole process of investment, including quantitative stock selection, quantitative timing, stock index futures arbitrage, Commodity futures arbitrage, statistical arbitrage, algorithm transaction, asset allocation, risk control and so on.

1 • Quantitative Stock selection
Quantitative stock selection is a quantitative method to determine whether a company is worth buying behavior. According to a method, if the company satisfies the condition of the method, it is placed in a stock pool and, if not satisfied, is removed from the stock pool. There are many ways to quantify stock selection, which can be divided into three categories: corporate valuation, trend and capital law.

2. Quantification Timing
The predictability of stock market is closely related to the efficient market hypothesis. If the effective market theory or the effective market hypothesis is established, the stock price fully reflects all the relevant information, the price change obeys the random walk, and the prediction of the stock price is meaningless. Many studies have found that China's stock market in the index income, there exists nonlinear correlation outside the classical linear correlation, thus rejecting the assumption of random walk, pointing out that the fluctuation of stock price is not completely random, it seems random and messy, but it hides the deterministic mechanism behind its complex surface, so there is a predictable component.

3 • stock index futures arbitrage
Stock index futures arbitrage refers to the unreasonable price existing in the stock index futures market, at the same time participate in stock index futures and stock spot market transactions, or at the same time for different periods, different (but similar) categories of stock index contract transactions, in order to earn the difference in behavior, stock index futures arbitrage is mainly divided into two types of arbitrage and arbitrage. The research of stock index futures arbitrage mainly includes spot construction, arbitrage pricing, margin management, impact cost, component stock adjustment and so on.

4 • Commodity Futures Arbitrage
The logic principle of commodity futures arbitrage profit is based on the following aspects: (1) The related goods have a reasonable price difference in different places and different time. (2) Because of the volatility of prices, price spreads often appear unreasonable. (3) Unreasonable must return to reasonable. (4) Unreasonable return to the reasonable part of the price range is the profit interval.

5 • Statistical arbitrage
Different from risk-free arbitrage, the statistical arbitrage is a risk arbitrage, which uses the historical statistic law of the securities price, and the risk lies in whether the historical statistic law will continue to exist in the future for some time. Statistical arbitrage can be divided into two kinds of methods, one is to use the stock yield sequence modeling, the goal is to combine the beta value is equal to zero of the premise to achieve alpha return, we call the beta neutral strategy, and the other is to use the stock price sequence of the cointegration relationship modeling, we call the cointegration strategy.

6 • Option Arbitrage
Option arbitrage refers to a trading that buys and sells the same related futures but different hammered prices or different due months, in the hope of hedging the trading position or profiting from the performance at a later date. Option arbitrage is a variety of trading strategies and methods, it is a combination of various related options, including: Horizontal arbitrage, vertical arbitrage, conversion arbitrage, reverse conversion arbitrage, cross arbitrage, butterfly arbitrage, eagle-style arbitrage and so on.

7 • Algorithmic Trading
Algorithmic trading is also known as automatic trading, black box trading, or machine trading, which refers to the use of computer programs to issue trading instructions. In a transaction, the scope of the procedure can be determined by the choice of the time of the transaction, the price of the transaction, or even the number of securities to be concluded. According to the different active degree of algorithm in each algorithm transaction, different algorithms can be divided into three categories: Passive algorithm transaction, active algorithm transaction and comprehensive algorithm transaction.

8 • Asset allocation
Asset allocation refers to the choice of asset classes, the proper allocation of various assets in the portfolio and the real-time management of these mixed assets. Quantitative Investment Management combines traditional portfolio theory with quantitative analysis technology, which enriches the connotation of asset allocation and forms the basic frame of modern asset allocation theory. It breaks through the limitation of the traditional positive investment and the index type investment, establishes the investment method on the statistic analysis of the public data of various asset stocks, compares the statistic characteristics of different asset classes, establishes the mathematic model, and then determines the allocation target and proportion of the portfolio assets.