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Quantitative Stock Selection Strategy Analysis Based on Multi-factor Model Under the Epidemic Situation

التفاصيل البيبلوغرافية
العنوان: Quantitative Stock Selection Strategy Analysis Based on Multi-factor Model Under the Epidemic Situation
المؤلفون: Hu Senhan, Kong Yujin, Tong Fan
المصدر: SHS Web of Conferences, Vol 181, p 02001 (2024)
بيانات النشر: EDP Sciences, 2024.
سنة النشر: 2024
المجموعة: LCC:Social Sciences
مصطلحات موضوعية: Social Sciences
الوصف: Contemporarily, COVID-19 undoubtedly had a profound impact on the current Chinese economy, as well as presented various challenges and opportunities for different industries in China. As a matter of fact, these changes may profoundly affect the future development trends and competitive landscape of industries. In recent years, the number of stock investors had continued to increase, surpassing 200 million in 2022. In a highly competitive market, the ability to select high-quality stocks often determines the final returns. This study selected the constituent stocks of the “CSI 500” as the “stock pool” for stock selection between 2020 and 2023. By analysing the degree of factor exposure, the correlation between factors, and IC values of factors, suitable and effective factor combinations were selected, and an evaluation model was established using multiple regression analysis to obtain a trading strategy. To ensure its feasibility and rationality, the strategy was simulated using backtesting before actual trading, ultimately aiming to achieve excess alpha returns.
نوع الوثيقة: article
وصف الملف: electronic resource
اللغة: English
French
تدمد: 2261-2424
Relation: https://www.shs-conferences.org/articles/shsconf/pdf/2024/01/shsconf_icdeba2023_02001.pdf; https://doaj.org/toc/2261-2424
DOI: 10.1051/shsconf/202418102001
URL الوصول: https://doaj.org/article/670662bf889143d091505942a6972ee7
رقم الأكسشن: edsdoj.670662bf889143d091505942a6972ee7
قاعدة البيانات: Directory of Open Access Journals
الوصف
تدمد:22612424
DOI:10.1051/shsconf/202418102001