课程详述

COURSE SPECIFICATION

以下课程信息可能根据实际授课需要或在课程检讨之后产生变动。如对课程有任何疑问，请联

系授课教师。

The course information as follows may be subject to change, either during the session because of unforeseen

circumstances, or following review of the course at the end of the session. Queries about the course should be

directed to the course instructor.

课程名称 Course Title

量化投资分析 Quantitative Investment Analysis

授课院系

Originating Department

金融系 Department of Finance

课程编号

Course Code

FIN413

课程学分 Credit Value

课程类别

Course Type

专业基础课 Major Foundational Courses

授课学期

Semester

秋季 Fall

授课语言

Teaching Language

中英双语 English & Chinese

授课教师、所属学系、联系方

式（如属团队授课，请列明其

他授课教师）

Instructor(s), Affiliation&

Contact

（For team teaching, please list

all instructors）

周倜 ,助理教授,金融系

ZHOU Ti, Assistant Professor, Department of Finance,

邮箱/Email:zhout@sustech.edu.cn

办公室/office:慧园 3 栋 323, Wisdom Valley 3#323

实验员/助教、所属学系、联系

方式

Tutor/TA(s), Contact

待公布 To be announced

10.

选课人数限额(可不填)

Maximum Enrolment

（Optional）

授课方式

Delivery Method

讲授

Lectures

习题/辅导/讨论

Tutorials

实验/实习

Lab/Practical

其它(请具体注明)

Other（Please specify）

总学时

Total

11.

学时数

Credit Hours

12.

先修课程、其它学习要求

Pre-requisites or Other

Academic Requirements

计量经济学 Econometrics FIN303

金融与投资概论 Financial Investments FIN301

13.

后续课程、其它学习规划

Courses for which this course

is a pre-requisite

无

None

14.

其它要求修读本课程的学系

Cross-listing Dept.

无

None

教学大纲及教学日历 SYLLABUS

15.

教学目标 Course Objectives

本课程有两个目标：

介绍量化投资的基本框架和理论以及相关的数量工具

熟悉金融市场数据并且应用所学理论进行量化投资

There are two goals for this course:

1. Provide you with an introduction to the fundamental framework and theory of quantitative investment as well as

required quantitative tools used in investment analysis.

2. Expose you to real data on financial securities, and learn how to apply the theory to do quantitative investment.

16.

预达学习成果 Learning Outcomes

During this course, you will learn the basic framework of quantitative investment, including portfolio choice theory; linear

factor models and their testing methods; CAPM anomalies; event driven strategies; Barra model; performance evaluation

and attribution; asset allocation (Black-Litterman); fixed income and option investment.

In addition, you will be familiar with commonly used financial database such as WIND (China) and WRDS (US data), and

master some statistical packages such as SAS, Matlab or R. You will also apply the theory to do real data analysis and

design active quantitative investment strategies.

1.掌握量化投资的基本框架: 投资组合理论，因子模型和检验方法；CAPM 异像；事件驱动策略；BARRA 模型；业绩评估

和业绩归因；大类资产配置模式；固定收益和衍生品投资。

2.熟悉常见的金融数据库(WIND/WRDS)和统计软件(SAS/Matlab/R)，应用所学理论对实际金融资产数据进行数据分析，构

建量化投资组合。

17.

课程内容及教学日历（如授课语言以英文为主，则课程内容介绍可以用英文；如团队教学或模块教学，教学日历须注明

主讲人）

Course Contents (in Parts/Chapters/Sections/Weeks. Please notify name of instructor for course section(s), if

this is a team teaching or module course.)

1. Course overview (1 Lecture) 课程综述 (1 学时)

2. Portfolio Choice and mean-variance mathematics (8 Lectures) 投资组合和均值方差分析 (8 学时)

3. Linear factor model and their testing methods (8 Lectures) 线性因子模型和检验方法(8 学时)

4. CAPM anomalies and behavioral finance: factors V.S characteristics (6 Lectures) 资本资产定价模型异像和行为

金融学：因子 VS 特征 (6 学时)

5. Barra model for quantitative equity investment (6 Lectures) BARRA 量化股票投资模型 (6 学时)

6. Performance evaluation and attribution (3 Lectures) 业绩评估和业绩归因 (3 学时)

7. Asset allocation: Black-Litterman model (4 Lectures) 资产配置：Black-Litterman 模型 (3 学时)

8. Event driven strategies (3 Lectures) 事件驱动策略 (3 学时)

9. Option-implied information (5 Lectures) 期权隐含信息 (5 学时)

10. Volatility forecasting and trading (3 Lectures) 波动率预测与交易 (3 学时)

11. Fixed income investment (2 Lectures) 固定收益投资 (2 学时)

18.

教材及其它参考资料 Textbook and Supplementary Readings

Textbook: 投资学(英文版•原书第 9 版) 滋维•博迪 (Zvi Bodie), 亚历克斯•凯恩 (Alex Kane), 艾伦 J .马库斯 (Alan

J.Marcus) , 汪昌云 (注译), 张永冀 (注译)

其他参考书 Other reference:

1. Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann, 2011, Modern Portfolio Theory

and Investment Analysis (8th edition). (A good reference for more math-oriented undergraduate students.)

2. Edward E. Qian Ronald H. Hua Eric H. Sorensen, 2007, Quantitative Equity Portfolio Management: Modern

Techniques and Applications. (Quantities equity investment in theory and practice)

3. John C. Cochrane, 2005, Asset Pricing (Revised Edition). (Graduate-level textbook in asset pricing.)

4. John Y. Campbell, Andrew Lo, and A. Craig MacKinlay,1996,The Econometrics of Financial Markets.(Graduate-

level textbook in empirical asset pricing)

5. Journal Articles

6. MSCI Barra Handbook

课程评估 ASSESSMENT

19.

评估形式

Type of

Assessment

评估时间

Time

占考试总成绩百分比

% of final

score

违纪处罚

Penalty

备注

Notes

出勤 Attendance

课堂表现

Class

Performance

小测验

Quiz

20 (X2)

课程项目 Projects

平时作业

Assignments

40 (X4)

期中考试

Mid-Term Test

期末考试

Final Exam

期末报告

Final

Presentation

其它（可根据需要

改写以上评估方

式）

Others (The

above may be

modified as

necessary)

20.

记分方式 GRADING SYSTEM

X A. 十三级等级制 Letter Grading

 B. 二级记分制（通过/不通过） Pass/Fail Grading

课程审批 REVIEW AND APPROVAL

21.

本课程设置已经过以下责任人/委员会审议通过

This Course has been approved by the following person or committee of authority

金融系课程规划与审核委员会

Curriculum Planning and Review Committee, Dept. of Finance