基于沪深300指数的多因子选股模型研究

Research on Multi-Factor Stock Selection Model Based on HS 300 Index

摘要: 量化投资的方法在国外已被广泛使用，依数学模型投资的优势可以避免个人投资情绪影响，这使得量化投资在国内有良好的发展势头。本文以沪深300指数各成分股为研究对象，通过爬虫抓取研究对象的各金融指标，建立基于回归法的多因子量化选股模型，根据得到模型计算收益率挑选成分股，建立证券组合，最后根据投资组合的平均收益率评价量化投资选股模型。通过研究得出：基于多因子模型进行量化选股可取得超过基准市场收益，这说明量化投资在一定条件的有效性，可以给投资者提供更加有效的投资组合和建议。

Abstract: Quantitative investment method has been widely used in foreign countries. The advantage of investment based on mathematical model can avoid the influence of individual investment emotions, which makes quantitative investment have a good momentum of development in China. This paper takes the constituent stocks of HS 300 index as the research object, constructs a multi-factor quantitative stock selection model based on regression method by crawling various financial indicators of the research object, and selects constituent stocks according to the obtained model to calculate the return rate, establishes a securities portfolio, and finally evaluates the quantitative investment stock selection model according to the average return rate of the portfolio. The result shows that quantitative stock selection based on multi-factor model can achieve more returns than the benchmark market, which shows the effectiveness of quantitative investment under certain conditions, and can provide investors with more effective investment portfolios and suggestions.