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论文编号：	4858
作者编号：	2120102446
上传时间：	2012/12/12 21:43:35
中文题目：	K线形态识别效果在中国股票市场的实证检验
英文题目：	An Empirical Research of K-Line Pattern Recognition on the China Stock Market
指导老师：	齐岳
中文关键字：	K线理论;量化投资;量化模型
英文关键字：	K-line theory;Quantitative Investment;Quantization Model
中文摘要：	随着中国经济的不断发展，中国资本市场规模不断扩大，发展速度之快令人惊叹，相关法律法规以及市场监管体系也在同步建立，中国资本市场成为社会主义市场经济体系的重要组成部分，起到了不可替代的作用。然而融资市的市场本质，上市公司缺乏道德诚信等问题，使中国资本市场大起大落，严重损害了广大中小投资者的利益。本文的研究目的是通过K线形态识别效果在中国股票市场的实证，从而了解K线理论在实际投资中的投资效果，进而为投资者在投资策略的制定方面提出指导建议。 本文系统地介绍了K线理论和量化投资的相关理论知识，研究了国内外学者在两个研究领域的相关成果，确定了文章的研究思路和方法。详细地研究了如何将K线理论和量化投资进行有机的结合，通过excel vba编程的方式严格构建37种经典K线形态识别模型，选取上证综指、深证成指、中小板指、沪深300指数及其具有代表性的成份股作为研究对象，对K线形态在中国股票市场的识别效果进行了实证检验。 结果表明，K线形态识别量化模型在几组样本数据的测试中识别频率并不是很高，且预测后期走势的成功率总体上也维持在一个较低的水平，但一些经典K线组合对于投资者仍然具有借鉴意义，根据这些表现优异的K线形态发出的信号执行操作往往会获得不错的收益。
英文摘要：	Along with rapid development of Chinese economy and improvement of Chinese capital markets, relevant laws and regulations also upgrade and establish in the market supervision system synchronously. The Chinese capital market has become an important part of the socialist market economy system and plays an important role in the economic and social development. However, the nature of financing City market, the problem of lacking moral integrity of Listed companies make serious damage to the interests of medium and small investors. The purpose of this research is to verify the effect of k line theory in the stock market of China, provide guidance for the choice of the investor's investment. This paper systematically introduces K-line theory and quantitative investment theory of knowledge, study the related outcomes in the two study areas, determine research ideas and methods of the article，use the way of excel vba programming strict building 37 K-line form of identification model, select Shanghai Composite Index, Shenzhen Component Index, SMEs board index, the CSI 300 index and its constituent stocks as a representative study take an empirical test to identify the effect of the K-line form in the Chinese stock market. The results show that using K-line theory to identify quantitative model recognition rate is not very high, and the predictive success rate is also maintained at a lower level. But some classic K-line still have tips and reference to the investors, operate according to these outstanding signal usually gets a good income.
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