Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)

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

Authors
Fangfei Li1, *
1Business School, Hohai University, Nanjing, 211100, China
*Corresponding author. Email: 13851286242@stu.sqxy.edu.cn
Corresponding Author
Fangfei Li
Available Online 26 September 2023.
DOI
10.2991/978-94-6463-246-0_22How to use a DOI?
Keywords
Multi-Factor Stock Selection; Quantitative Investment; Principal Component Analysis; Equal-weight Model; Scoring Method
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.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
26 September 2023
ISBN
10.2991/978-94-6463-246-0_22
ISSN
2352-5428
DOI
10.2991/978-94-6463-246-0_22How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Fangfei Li
PY  - 2023
DA  - 2023/09/26
TI  - Research on Quantitative Investment Strategy Based on Multi-factor Stock Selection Model
BT  - Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
PB  - Atlantis Press
SP  - 187
EP  - 193
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-246-0_22
DO  - 10.2991/978-94-6463-246-0_22
ID  - Li2023
ER  -