基于基本面分析的量化投资——以券商行业为例

Quantitative Investment Based on Fundamental Analysis—Taking Securities Industry as Examples

摘要: 本文先是对基本面分析以及量化投资的背景进行介绍，然后对基本面分析以及量化投资的概念模型进行阐述。在分析层面先是对我国券商行业的几个宏观指标做出了研究。通过基本面分析的量化投资理论，找取了A股市场的所有50支券商股票，先通过数据预处理选出38只券商股票，然后借助R、SPSS、MATLAB和LINGO软件对券商2020年1月1日至2021年12月31日的所有真实数据先进行月平均处理，并对下个月的数据进行预测，之后对预测值先进行基于熵权法的Topsis算法，得出其中综合得分较好的5支股票。再通过均值–方差模型画出有效边界图，并给出其中一种最优的投资权重组合及收益。

Abstract: This paper first introduces the background of fundamental analysis and quantitative investment, and then expounds the conceptual model of fundamental analysis and quantitative investment. At the level of analysis, several macro indicators of China’s securities industry are studied. Based on the quantitative investment theory of fundamental analysis, all 50 securities stocks in the A-share market are selected, and 38 securities stocks are selected through data preprocessing. Then, all re-al data of securities companies from January 1, 2020 to December 31, 2021 are processed on a monthly average basis with the help of R, SPSS, MATLAB and LINGO software. Then, Topsis algo-rithm based on entropy weight method is used to predict the predicted value, and 5 stocks with good comprehensive scores are obtained. Then the effective boundary graph is drawn by means of mean-variance model, and one of the optimal investment weight portfolios and returns are given.