导　　师： 杨立洪

学科专业： 070103

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 金融市场的交易不间断的进行着，价格始终以高频更新着，传统的时间序列分析方法在解决金融数据的时候往往效果较差，原因是金融价格产生的随机过程一般是非平稳的。函数型数据分析把观测数据看成一个整体，即将价格变化过程视为一个连续的随机过程，其样本也就是一系列的曲线，进而从函数的角度进行分析。因此，将函数型数据分析应用在量化投资中，构建基于函数型数据分析的期货价格形态识别模型，是本文研究的重点。 首先，建立基于函数型数据分析的价格曲线形态识别模型。通过函数型数据主成分分析对期货价格曲线进行特征分析，选取特征值最大的第一主成分函数作为输入端进行K-Means聚类分析，聚类结果表明归属20个不同质心函数的样本呈现显著的差异性。 然后，进行期货价格曲线形态识别的实证分析，构建期货交易系统。设计了交易系统的研究框架，包括评价指标，回溯外推检验设计以及最优化设计。进而，根据期货价格曲线形态识别模型设计交易系统的核心部分——交易策略。 最后，针对交易系统外推检验的结果进行评价分析，在外推检验报告中表明，该模型具有年化收益10/%，日亏损超过1/%的交易日仅占2/%的总交易日的良好表现，不足之处在于最大回撤率为8/%。仍存在有一定的长期风险。 Continuously trading in market always updates the price with high frequency. Thetraditional time series analysis method often performs poor when solving financial data, thereason is mainly because the stochastic process of financial data is generally unstable.Functional data analysis treats the observation as a whole, and the samples can be treated as aseries of curves, so that we can analyze it as function. Therefore, apply functional dataanalysis to quantitative investment and build up a trading system based on the price curverecognition of functional data analysis model, is the key of this paper. First, we establish a price curve recognition model based on functional data analysis. Useprincipal components analysis for functional data of price curve to explain the differenceeigenvalue among each curve. And then choose the first principal component function asinput for K-Means cluster analysis. After clustering, we found that20different centroidfunctions showed significant differences. Second, we built a future trading system, design the framework, including the selectionof evaluation indexes, the design of extrapolation testing and optimization design. And thenwe design the trading strategies based on the price curve recognition model of functional dataanalysis. Finally, we evaluate the result of extrapolation test. The report shows that the model has10/%annualized returns and only2/%trading days encounter more than1/%losses in one day.But the maximum retracement up to8/%, which means there exists some long term risks.

关 键 词： 函数型数据分析 量化投资 期货交易系统

分 类 号： [F224 F830.9]

领　　域： [经济管理] [经济管理]