基于移动平均的交易策略在中国市场的盈利能力分析

《基于移动平均的交易策略在中国市场的盈利能力分析》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、上海高级金融学院金融学硕士学位论文论文题目：基于移动平均的交易策略在中国市场的盈利能力分析姓名：惠博闻学号：1123809014指导教授：郭明上海高级金融学院制表2014年4月20日万方数据硕士学位论文基于移动平均的交易策略在中国市场的盈利能力分析THEPROFITABILITYOFTHETRADINGSTRATEGYINCHINESEMARKET—BASEDONMOVINGAVERAGE作者：惠博闻导师：郭明教授上海交通大学上海高级金融学院二○一四年五月万方数据TheProfitabilityoftheTradingStrategyinChinese

2、Market—BasedonMovingAverageByHuiBowenUndertheSupervisionofProfessorGuoMingSubmittedinPartialFulfillmentoftheRequirementsFortheDegreeofMasterofFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaoTongUniversityMay2014万方数据万方数据万方数据ContentsAbstract...................................

3、................................................................................i摘要........................................................................................................................iiIntroduction..............................................................

4、..............................................11.ChapterOne—MATimingStrategy.............................................................42.ChapterTwo—ProfitabilityoftheMAStrategy..........................................62.1ProfitabilityforOverallMarketIndex....................

5、..............................62.1.1ProfitabilityConsideringSizeandvaluefactors..........................82.2MAStrategyforIndividualStocks......................................................102.2.1RiskAdjustedProfitabilityforIndividualStocks......................122.3Profitabi

6、lityforVolatilityDecilePortfolios........................................132.4ExplanationfortheProfitabilityofMATimingStrategy...................163.Chapter3—SensitivityAnalysis................................................................173.1SensitivityAnalysisforOverallMark

7、etIndex....................................173.1.1SensitivityAnalysisforSub-periods..........................................173.1.2SensitivityAnalysisforDifferentTimeLags.............................203.1.3SensitivityAnalysisforTradingCost.......................................

8、..213.3SensitivityAnalysisforMAonDecilePortfoli