Multi-Factor Stock Selection Strategies Based on Different Securities Markets

Abstract

In the context of the transformation stage of the epidemic and the 20th National Congress, we selected factors such as Market Capitalization, ROE, EPS, P / E, and Turnover to analyze the trading data of stock markets such as Shanghai and Shenzhen 300 and Shanghai Securities last year. Use quantitative methods to construct multi-factor stock selection strategies. In terms of factor selection, 8 different types of factors were selected with reference to research literature in related fields and research reports of securities companies. Next, the validity of the factors in the factor pool is tested, and then the correlation analysis is carried out on the effective factors that have been screened out. Finally, the method of equal-weight synthesis is used to synthesize a large class of factors for the highly correlated factors for subsequent preparations. strategy. Three effective factors were screened out through IC test and hierarchical method test, and redundant factors were eliminated. Finally, based on the research process and conclusions, this paper puts forward relevant suggestions for quantitative investment.