摘 要
随着金融市场复杂性的提升和数据技术的快速发展，多因子量化投资策略逐渐成为资产管理领域的重要研究方向。本研究旨在构建一种基于多因子模型的量化投资策略，并通过实证分析验证其在实际市场中的有效性。研究选取了中国市场作为研究对象，综合考虑了价值、动量、规模、波动性和质量等经典因子，并引入了反映市场情绪和技术特征的创新性因子，以增强模型的预测能力和适应性。方法上，采用分层回归和主成分分析对因子进行降维处理，同时结合机器学习算法优化因子权重分配，从而实现更精准的投资组合构建。实证结果表明，所构建的多因子策略在中国A股市场中表现出显著的超额收益能力，且在不同市场环境下的稳健性较强。与传统单因子策略相比，该策略有效降低了回撤风险并提升了夏普比率。
关键词：多因子量化投资 机器学习优化 市场情绪因子
Abstract
With the increasing development of the financial market complexity and the rapid development of data technology, the multi-factor quantitative investment strategy has gradually become an important research direction in the field of asset management. This study aims to construct a quantitative investment strategy based on a multi-factor model and to verify its effectiveness in the real market through empirical analysis. The study selected the Chinese market as the research ob ject, and the classical factors such as value, momentum, scale, volatility and quality were considered comprehensively, and the innovative factors reflecting the market sentiment and technical characteristics were introduced to enhance the predictive ability and adaptability of the model. In terms of methods, hierarchical regression and principal component analysis are used to reduce factors, and optimize factor weight allocation is combined with machine learning algorithm, so as to achieve more accurate portfolio construction. The empirical results show that the constructed multi-factor strategy shows significant excess return ability in China's A-share market, and has strong robustness in different market environments. Compared with the traditional single-factor strategy, this strategy effectively reduces the retracting risk and improves the Sharpe ratio.
Keyword:Multi-Factor Quantitative Investment Machine Learning Optimization Market Sentiment Factor
目 录
1绪论 1
1.1研究背景与意义 1
1.2国内外研究现状综述 1
1.3本文研究方法与技术路线 2
2多因子量化投资策略的理论基础 2
2.1量化投资的基本概念与框架 2
2.2多因子模型的核心原理 3
2.3常见因子分类与特性分析 3
2.4因子有效性评估方法 4
3多因子量化投资策略的构建过程 4
3.1数据收集与预处理方法 4
3.2因子选择与组合优化策略 5
3.3风险控制与收益预测模型 5
3.4策略回测体系的设计与实现 5
4多因子量化投资策略的实证研究 6
4.1实证研究样本与数据说明 6
4.2因子表现的实证检验结果 7
4.3投资组合绩效评估与分析 7
4.4策略稳健性测试与改进方向 8
结论 8
参考文献 10
致谢 11
