Research Article
Research on Stock Quantification Strategy of Fund Flow Factor Based on Data Analysis
@INPROCEEDINGS{10.4108/eai.2-12-2022.2328750, author={Lingwei Zhang and Xiaolei Ding and Biyuan Yang}, title={Research on Stock Quantification Strategy of Fund Flow Factor Based on Data Analysis}, proceedings={Proceedings of the 3rd International Conference on Big Data Economy and Information Management, BDEIM 2022, December 2-3, 2022, Zhengzhou, China}, publisher={EAI}, proceedings_a={BDEIM}, year={2023}, month={6}, keywords={chinese stock market; fund flow; quantitative strategy; median absolute deviation method; scientific calculation expansion library; backtest analysis}, doi={10.4108/eai.2-12-2022.2328750} }- Lingwei Zhang
Xiaolei Ding
Biyuan Yang
Year: 2023
Research on Stock Quantification Strategy of Fund Flow Factor Based on Data Analysis
BDEIM
EAI
DOI: 10.4108/eai.2-12-2022.2328750
Abstract
At present, the portraits of the participants in the China stock market present relatively significant differences, which makes the capital market involves different types of capital inflows and outflows, thus causing fluctuations in the stock price. In recent years, the gradual rise of quantitative trading has promoted the continuous development and maturity of quantitative trading strategies. Within this context, how to combine the fund flow factor with the quantitative strategy to realize the accurate prediction of a future stock price increase and decrease further evolved into a difficult problem to that numerous scholars have devoted themselves. Based on Python, this paper firstly uses the median absolute deviation method to carry out data cleaning and effectiveness testing on various fund flow factors, applying the factors with higher effectiveness to the quantitative stock-selection strategy for stock screening. Furthermore, aiming at the investment portfolio formed under different factors, this paper applies the scientific calculation expansion libraries including NumPy, Pandas, and Matplotlib in Python to carry out backtest analysis to test the practical effect of different strategies, thereby exploring the feasibility and practicability of the stock quantitative strategy based on fund flow factor. Lastly, this paper proposes a host of pertinent recommendations on the application of the fund flow factor in stock quantitative strategy.
