多因子及AI量化选股框架

2025329 1 2 多因子投资模型迭代 3 4 i 0 5 1 6 数据清洗与标准化 7 8 2 9 5 KMeansDBSCAN 10 11 12 ForwardFill BackwardFill LinearInterpolation ARIMA 单因子研究 13 14 2 CAPM FF3 FF3 ROEROAROTC 15 16 17 18 5 RangeFactorWAdjCI 336 Wind 19 20 21 t1 22 n di i IC 11 IC1 IC1 IC0 IC Wind EPSFY0NumIC EPSFY0NumIC的移动平均 23 5000 3000 10 IC 1000 1000 3000 IC t EPSFY0Num 232 1769 4700 4636 13 312 5000 201618201818202018 202218 24 12 IC BPLR 1212 TTM TTMTTM 20 1200 120180 CapexSales 3 EPS1EPS3 EPS1 EPDeductedTTM FCFPTTMOCFPTTM AmountMean20D AssetLn EmployeeNumRevenuesLnAssetChg1YCurrentAssetChg1YCurrentDebtChg1YCurrentRatioPriceChg1200D PriceChg120DPriceChg180D Capex2SalesNetIncomeChg1YNetIncomeChg3YEPSFTTMChg1MEPSFTTMChg3M EPSFY0Chg1M 线性多因子模型 25 30 AI与另类选股模型 31 32 33 34 35 1 1 2 3 ROE RSI PCA 2 1 2 3 4 XGBoostLightGBM Kmeans CNN tSNE RNNLSTM Transformer OpenFE CatBoost CategoricalFeatures Boosting 36 XGBoost GBDT LightGBM CatBoost XGBoost GBDT L1L2 LightGBMHistogramLeafwise 37 GRU NN TCN Transformer 38 39 LLM 1 2 3 LLM LLM FinBERT 40 41 1000 ChatGPT4 FinGPT BERT TextCNN 1395 156 股评情感分类 千万别再跌了啊，再跌我就要赔一百元了啊消极 底仓涨停了积极 此股在过年之前应该会稳定在35左右，基本不会有长进，慎入中性 ChatGPT ChatGPT 2020202120222023 47742637 202410 13582003 929 42 GPT4o ChatGPT 风险模型框架 43 44 K riikfkk1 i 45 ik 0 corrj BBTD 46 47 投资组合管理 48 UMVwifi 1AwTw ii 2 49 50 51 52 53