Research on Nonspecific Time Dynamic VaRModel Based on Simple Moving Average Trading System

Operations Research and Management Science ›› 2013, Vol. 22 ›› Issue (6): 177-183.

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Research on Nonspecific Time Dynamic VaRModel Based on Simple Moving Average Trading System

WU Ya-jun, HUI Xiao-feng

School of Management, Harbin Institute of Technology, Harbin 150001, China

Received:2012-01-04 Online:2013-12-25

基于均线交易系统的非特定时间动态VaR研究

吴亚军, 惠晓峰

哈尔滨工业大学经济与管理学院,黑龙江哈尔滨 150001

作者简介:吴亚军(1975-),男,博士,副研究员。主要从事程序化交易,金融风险控制方面研究;惠晓峰(1957-),男, 教授,博士生导师。主要从事汇率、金融风险控制、高科技产业发展及高科技企业融资方面研究。
基金资助:
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)

Abstract

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.

Key words: risk management, average trading system, nonspecific time dynamic VaR model, strategy optimization

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。

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

CLC Number:

F830.91

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.

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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Research on Nonspecific Time Dynamic VaRModel Based on Simple Moving Average Trading System

基于均线交易系统的非特定时间动态VaR研究

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