| 基于均线交易系统的非特定时间动态VaR研究 |
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| 引用本文： | 吴亚军,惠晓峰.基于均线交易系统的非特定时间动态VaR研究[J].运筹与管理,2013,22(6):177-183. |
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| 作者姓名： | 吴亚军 惠晓峰 |
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| 作者单位： | 哈尔滨工业大学 经济与管理学院,黑龙江 哈尔滨 150001 |
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| 基金项目： | 国家自然科学基金资助项目(71173060);国家自然科学基金项目重点项目(71031003) |
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| 摘 要： | 为使交易产生稳定持续的收益, 使用基于一定交易规则的交易系统进行交易成为越来越多的投资者和投资机构使用的方法。如能把VaR引入交易系统,进行风险管理,将具有重要的意义。本文以5-60日均线交易系统为研究对象,建立了非特定时间动态VaR模型。经过检验,验证了模型的准确性。在基于模型进行交易策略优化后,得出了有意义的结果。本文使VaR在非特定时间度量方面实现了应用,研究结果对交易系统的风险控制,具有较大的应用价值。
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| 关 键 词： | 风险管理 均线交易系统 非特定时间动态VaR模型 策略优化 |
| 收稿时间： | 2012-01-04 |
Research on Nonspecific Time Dynamic VaRModel Based on Simple Moving Average Trading System |
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| WU Ya-jun,HUI Xiao-feng.Research on Nonspecific Time Dynamic VaRModel Based on Simple Moving Average Trading System[J].Operations Research and Management Science,2013,22(6):177-183. |
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| Authors: | WU Ya-jun HUI Xiao-feng |
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| Institution: | School of Management, Harbin Institute of Technology, Harbin 150001, China |
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| Abstract: | In order to obtain stable and continual return, more and more investors and institutions choose trading system based on certain trading rules. In this context, it is of great importance to import VaR method for risk management. In this paper, simultaneous equations and nonspecific time dynamic VaR model are built to research on 5~60 daily line of Shanghai stock market index, while the test results show that the accuracy of the model is good. Meanwhile, the trading strategies have been optimized and the results obtained is also meaningful. |
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| Keywords: | risk management average trading system nonspecific time dynamic VaR model strategy optimization |
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