The Research of Advanced Equity Portfolio Quantitative Trading Strategy

This study is based on cutting edge technical methodologies to conduct research on quantitative stock selection and investment timing on equity assets. The research includes two parts: portfolio and arbitrage. Portfolio research combines fundamental analysis and technical analysis; arbitrage research is a combination of index arbitrage and individual stock statistical arbitrage. The methodologies applied in this study including GARCH, genetic algorithm, Copula function etc. The expected results include a number of behavioral rules of China's capital market, investment and arbitrage algorithms, algorithmic trading programming code, computer graphical user interface applications, trading strategy analysis report etc.

Implications:
The study is expected to deliver following impacts in China, including
- Introducing cutting-edge technical methodologies to conduct quantitative investment 
- Emphasizing multi--oriented information integration to obtain diverse synergy 
- Applying mutual-sector tools to utilize cross-sector knowledge integration
- Exploring the rules of market trends to deepen behavioral finance