厦门大学学报（自然科学版）2018，Vol.57Issue(3)：404-412,9.DOI:10.6043/j.issn.0438-0479.201710011
基于隐马尔科夫模型的市场指数量化择时研究
Research of Market Index Quantitative Timing Based on Hidden Markov Model
傅中杰 1吴清强1
作者信息
- 1. 厦门大学软件学院,福建 厦门 361005
- 折叠
摘要
Abstract
Quantitative market timing constitutes an important part of quantitative investment to choose the best trading opportuni-ty.To verify the feasibility of applying hidden markov model (HMM)to quantitative market timing,we creatively calculate candidate features set based on raw data,use HMM to test performance on each single feature,and train a comprehensive model using selected features to predict the market state of the next trading day.Experimental results show that HMM-based strategy enjoys better stabil-ity and profitability compared with strategies based on moving average or k-means.Finally,HMM can skillfully identify market states,avoid systematic risk and obtain excess return.关键词
隐马尔科夫模型/市场择时/交易策略Key words
hidden Markov model(HMM)/market timing/trading strategy分类
信息技术与安全科学引用本文复制引用
傅中杰,吴清强..基于隐马尔科夫模型的市场指数量化择时研究[J].厦门大学学报（自然科学版）,2018,57(3):404-412,9.
