A quantitative investment model based on multi-fractal theory and support vector machine

Abstract

Quantitative investment which combines financial data with mathematics and computer technology has become a new rising method of the international investment community in recent ten years. This paper proposes a quantitative investment prediction model based on the latest mathematical theory and data analysis method. Firstly, we construct the whole quantitative investment system. Then we do qualitative analysis of financial market with multi-fractal method to see whether there exist fractal characteristics. Finally, we use support vector machine (SVM) to do quantitative analysis to predict changes in financial assets. We choose Shanghai Composite Index (000001.ss) as research target, test the model with five years of data and do error analysis on the output of the model. Our model can be used as quantitative investment strategies and is also useful for asset allocation in the future.