Stocks Selection Strategy in Hong Kong Market Based on Stock Price Dynamics

摘要

In recent years, the increase in computing power and the decrease in the cost of storage equipment have enabled more scholars to conduct quantitative big data analysis. At the same time, excellent stock price dynamics models have been proposed by researchers and reasonably explained the change of stock prices. We used the stock price list on the Hang Seng Index and dropped the stocks which suspended or whose time to market is less than three months from January 1, 2018 to June 7, 2019 and toke the stock daily close as sample. Then the stock price dynamics model was built based on the uncertainty of investors and expected prices to predict the return rate of stocks in the next period and the possibility of price reversal. According to the model and daily closing price, we calculated the comprehensive uncertainty of each stock, and constructed a trading strategy. If the uncertainty is increasing too fast, we will buy the stock at the next trading day and hold it until the uncertainty decrease or hold for 14 days. The overall return rate of the strategy reaches 138.68%, the annualized return rate is 80.87% and the maximum drawdown is 23.49%. This paper established a comprehensive uncertainty parameter and constructed a stock price dynamics model. It analyzes the reasons for stock volatility, changes from a theoretical perspective and empirical perspective. It will help us have a deeper understanding of the stock market and can provide a new investment technique for investors and professional investment funds to obtain excess returns.