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Changsheng China Securities 100 Index securities investment fund managers, financial engineering and quantitative investment Baizhong Guang, Director of Information Network in the guest and the "China quants" the analysis, quantitative investment both domestic or international, quantitative investment, the focus of attention is of market behavior. Especially in China, there is a big speculative market, so the last two years, especially in the future, hope to the traditional factor model to add some more changes in response to market behavior factors, in order to better describe the market with models running track, and earn money. Moderator: Mr. Xie Xieping, now there is a question to ask is your white teacher for so many years in the financial markets, the most concerned about the type of market changes, and have been or are now trying to use financial engineering to help find possible solutions. Bai Zhongguang: I then have to discuss this topic Xiao Feng, from this point of financial engineering, or we from the investment point of view, since it is a variety of investments and other investment, based on the fundamentals, a bottom-up approach investment patterns, and investment philosophy based on the model are not very different. The basic concept of investment to investment income for ordinary people is nothing less than an intuitive understanding of two ways, first, how to buy undervalued stocks, wait for the market value of the return, and the second is the use of market volatility for this buy low and sell high trade practices, access to certain benefits. And now our domestic model, have also introduced students to the rain, in most cases, a class of fundamental factors, such a class model, so that the work of a class of factors in common is we want to build a portfolio, the relative value of the market to buy undervalued stock, for better future earnings, or income other than the market portfolio, which is based on fundamentals, or based on a combination of factors such as macroeconomic factors built. But beyond this, there is now in the Chinese market, we use the model of the process also found the Chinese market is very speculative, such a speculative market behavior changes so soon. So we built the model from the perspective of the past two years may be placed on more energy, especially in the future, called the study of financial behavior, hoping to factor model in the traditional response to the market to add some more behavioral change factors. Because the market either long or short term, the market is always a cycle process, from the so-called pessimism, fear and then to recover again in the market frenzy, in fact, relatively small fluctuations in economic fundamentals, and any such securities are magnified a class of volatility. If we can better understand some rules of market operation, it may make sense in terms of investment. So from now quantify the investment, whether domestic or from international point of view, we are now a hot spot is actually on the market behavior. Hope that through some use of computer, using mathematical modeling tools to better characterize the basis of the market trajectory, make a profit. Moderator: You are most concerned about market behavior, including what factors? Feng Yusheng: behavioral responses of the market encounter every day, for example, in certain situations happen, you will sell small-cap stocks, if you are concerned about a recent case, PetroChina (601857, shares) rose suddenly in the last week, so caused many people to sell small-cap stocks, this kind of thing one might be a coincidence, but we tune out the historical data, and then counted, I found that when the oil boom, there crazy selling other small stock market, 70% probability will happen, this is a typical behavior of the reaction, a pattern of behavior. Moderator: When the model for future research may encounter more problems, a lot of assumptions can not be achieved in the real world, especially in the Chinese market which, for those assumptions that must be taken into account? Feng Yusheng: The key question is to see what you think you would do different issues to consider different abstraction, the model will be built in a different way, do you think the modeling process is to take into account the key variables, some not very critical, not affected large variables to give up. Moderator: compare foreign, international, what are the assumptions are different. Feng Yusheng: a lot of value if the valuation of foreign factors, emotional factors, some domestic often able to better predict short-term effect. Bai Zhongguang: The problem is that, since it is an investment process, regardless of investment in any one market, foreign market or the domestic market or from the concept itself is not much difference in terms of, buy low and sell high, buy valuation undervalued stocks. But the specific terms of the investment process, or the number of models from the point of view, any market, any model in any market have a certain use of the so-called applicability. So I think this market in China will definitely be more responsive to the Chinese market behavior of such a class of models. If such models and compared in terms of other markets, perhaps the same concept, perhaps the same form, but actually inside the specific parameters, or specific changes in a matter of fact there are still some big differences.

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