Research on Quantitative Investment Strategy Based on Multi-factor Stock Selection Model

Fangfei Li ()
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Fangfei Li: Hohai University, Business School

A chapter in Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023), 2024, pp 187-193 from Springer

Abstract: Abstract Multi-factor stock selection is an important part of quantitative investment. The research on multi-factor stock selection is conducive to rational investment transactions. This paper selects the data of Shanghai 50 Index constituent stocks from April 2018 to March 2023 and relevant stock factors. PCA principal component analysis model, equal weight model and comprehensive scoring model are respectively used for stock selection. On this basis, it is found that compared with the other two stock selection models, the equal weight stock selection model has stronger stock selection ability. The IC value and IC_IR value of the factor are used to test the effectiveness of the factor in the back test. It is found that the two stock factors of PB and TR have stronger stock selection ability. Finally, this paper analyzes and compares the stock selection conditions under the three stock selection models, and draws relevant conclusions. The study presented in this paper has some theoretical importance as well as application to the creation of a quantitative investment strategy.

Keywords: Multi-Factor Stock Selection; Quantitative Investment; Principal Component Analysis; Equal-weight Model; Scoring Method (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-246-0_22

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DOI: 10.2991/978-94-6463-246-0_22

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