摘要
为了准确把握我国股市行业轮动规律,应用关联规则Aprior算法对我国股票市场行业轮动现象进行探索性的研究,在日、周、月三个周期维度上从我国股市强大的交易数据中挖掘出行业间稳健的联动规则和轮动规则。基于强关联规则构建简单的投资策略,明显跑赢了沪深300指数和全行业基准。所得关联规则可以帮助市场投资者发现行业轮动的规则模式,判断行业投资机会,进行有效的行业组合配置,规避市场风险。
In order to accurately grasp the sector rotation rules of China＇s stock market,the sector rotation phenomenon is explored by using the Aprior algorithm of association rules,to get strong association rules among stock exchange data from daily,weekly and monthly time dimensions. The investment strategy based on the association rules has clearly outperformed the market level. The association rules can help investors to find industry rules and investment opportunities,carry out the industry portfolio allocation and avoid market risks.
出处
《北京邮电大学学报（社会科学版）》
CSSCI
2016年第1期66-71,共6页
Journal of Beijing University of Posts and Telecommunications(Social Sciences Edition)
关键词
关联规则
行业联动
行业轮动
投资策略
association rules
sector linkage
sector rotation
investment strategy
