摘 要
随着中国资本市场的快速发展和金融工具的日益丰富，量化投资作为一种基于数据驱动和系统化决策的投资方式，逐渐受到学术界与实务界的广泛关注。然而，由于中国市场具有独特的制度背景、投资者结构以及市场特征，国外成熟的量化投资策略在本土化应用中面临诸多挑战。本研究旨在探讨量化投资策略在中国市场的适应性及其优化路径，以期为投资者提供更具针对性的决策支持。研究采用实证分析方法，结合机器学习算法与传统统计模型，选取2010年至2022年间A股市场的高频交易数据进行建模与验证。结果表明，部分经典量化策略（如动量效应和价值因子）在中国市场表现出显著的时间依赖性和非线性特征，这要求策略设计需充分考虑市场微观结构和政策环境的影响。此外，通过引入深度学习技术对因子交互作用进行建模，研究发现其能够有效提升策略的稳定性和收益表现。
关键词：量化投资 中国市场适应性 机器学习
Abstract
With the rapid development of China's capital market and the increasing enrichment of financial instruments, quantitative investment, as a data-driven and systematic decision-making investment method, has gradually attracted wide attention from the academic and practical circles. However, due to the unique institutional background, investor structure and market characteristics of the Chinese market, the mature foreign quantitative investment strategies face many challenges in the localized application. The purpose of this study is to explore the adaptability of quantitative investment strategies in the Chinese market in order to provide more targeted decision support for investors. The study adopts empirical analysis method, combines machine learning algorithm and traditional statistical model, and selects the high-frequency trading data of A-share market from 2010 to 2022 for modeling and verification. The results show that some classical quantitative strategies (such as momentum effect and value factor) show significant time dependence and non-linear characteristics in the Chinese market, which requires the strategy design to fully consider the impact of market microstructure and policy environment. In addition, by introducing deep learning technology to model the factor interaction, it is found that it can effectively improve the stability and revenue performance of the strategy.
Keyword:Quantitative Investment China Market Adaptability Machine Learning
目 录
1绪论 1
1.1量化投资策略的背景与意义 1
1.2国内外研究现状分析 1
1.3本文研究方法概述 2
2中国市场特性对量化策略的影响 2
2.1中国市场的特殊性分析 2
2.2数据质量与可用性评估 3
2.3高频交易在中国的适用性 3
2.4波动率特征与策略调整 4
3量化投资策略的本土化设计 4
3.1策略模型的选择与优化 4
3.2因子有效性在中国市场的验证 5
3.3风险管理的本土化考量 5
3.4成本控制与交易效率提升 6
4实证研究与案例分析 6
4.1数据选取与样本设定 6
4.2不同策略的实证对比分析 7
4.3本土化策略的绩效评估 7
4.4案例研究：成功与失败的经验总结 8
结论 8
参考文献 10
致谢 11
