关键词: 机器学习, 支持向量机, 沪深300股指期货, 量化交易

Abstract: Based on the theory of support vector machine,aquantitative trading model of Shanghai and Shenzhen 300 stock index futures is established.Differing from the regression forecasting method,the model firstly makes use of the advantage of support vector machine in classification in nonlinear systems to transform a complex time series regression prediction problem into a two classification problem by converting the price evolution trend into a transaction signal,and then takes the price information and technical indicators as the input vector,introduces the stop-loss mechanism and obtains the quantitative trading strategy upon the dynamic forecasting model.Empirical results show that the price information transaction strategy has better performance than the technical index trading strategy,and overall,the quantitative trading model has achieved good profit effect.

Key words:

"> Machine learning, Support vector machine, Shanghai and Shenzhen 300stock index futures, Quantitative trading