%0 Journal Article
%T 考虑股市网络因子的多因子选股策略研究<br>Research on Multi-Factor Stock Selection Strategy Considering Network Factors in the Stock Market
%A 戴云飞
%A 朱宗元
%J Statistics and Applications
%P 1033-1046
%@ 2325-226X
%D 2024
%I Hans Publishing
%R 10.12677/sa.2024.134105
%X 本文基于中国A股市场数据&#65292;选取四个节点网络指标构建了网络因子&#65292;将其与传统的Fama-French三因子模型相结合&#65292;提出了新的四因子选股模型。实证研究表明&#65292;该模型比三因子模型更能解释收益率的变动。基于四因子模型进行的选股策略的回测结果显示&#65292;网络因子构建的投资组合在收益率、风险和最大回撤率等方面均优于上证A股指数。<br>This paper, based on data from China&#8217;s A-share market, constructs a network factor using four network indicators and combines it with the traditional Fama-French three-factor model to propose a new four-factor stock selection model. Empirical research shows that this model can better explain variations in returns compared to the three-factor model. Back-testing results of the stock selection strategy based on the four-factor model indicate that the investment portfolio constructed with the network factor outperforms the Shanghai A-share index in terms of returns, risk, and maximum drawdown rate.
%K Fama-French三因子模型&#65292
%K 复杂网络&#65292
%K 因子分析&#65292
%K 量化选股<br>Fama-French Three-Factor Model
%K Complex Networks
%K Factor Analysis
%K Quantitative Stock Selection
%U http://www.hanspub.org/journal/PaperInformation.aspx?PaperID=93322