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Web of Proceedings - Francis Academic Press

Establishment and Optimization of Multi-factor Model

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DOI: 10.25236/icbdem.2020.014


Pan Xu, Mengtian Wang, and Jun Liu

Corresponding Author

Jun Liu


Compared with the traditional investment method, quantitative investment has the advantages of fast data acquisition, rigorous processing method and free transaction logic. Quantitative investment in China is still in its infancy, so the research on quantitative model and quantitative investment strategy suitable for Chinese stock market has great development space and investment value. On the basis of capital asset pricing theory, quantitative trading develops from single factor to multi-factor model. Multi-factor stock selection strategy has become one of the most widely used strategies in the field of quantitative investment in China due to its advantages such as flexibility and strong ability to adapt to the market. With the development of big data and machine learning algorithms, scholars continue to combine artificial intelligence with multi-factor stock selection to build portfolios to obtain excess returns. Based on the capital asset pricing model and Fama-French five-factor model, this paper explores the future development direction of the multi-factor model. With the development of new theories, new methods, new data collection and new problems, new impact factors and new algorithms will be constantly discovered.


Asset pricing model; Five-factor model; Multi-factor model