本文關(guān)鍵詞：基于破產(chǎn)傳染的智能投資決策支持：概念建模與模型開發(fā)　出處：《中國(guó)科學(xué)技術(shù)大學(xué)》2012年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 破產(chǎn)傳染 概念建模 本體 語義規(guī)則 多智能代理系統(tǒng) 智能代理 投資決策支持

【摘要】：近些年來,在全球經(jīng)濟(jì)一體化愈演愈烈的整體環(huán)境下,經(jīng)濟(jì)和金融系統(tǒng)表現(xiàn)出更加相互依賴和緊密聯(lián)系的趨勢(shì)。正是這種“牽一發(fā)而動(dòng)全身”的特性,成為2008年美國(guó)次貸危機(jī)爆發(fā)的直接導(dǎo)火索。大西洋彼岸刮起的這場(chǎng)始料未及的“金融颶風(fēng)”,以美國(guó)著名的住房抵押貸款公司新世紀(jì)金融公司為代表的貸款機(jī)構(gòu),以美林公司為代表的投資銀行,以及以花旗集團(tuán)為代表的金融超市和以全球財(cái)富管理著稱的瑞銀集團(tuán)都成為這場(chǎng)“金融颶風(fēng)”的直接風(fēng)眼,同時(shí),受這場(chǎng)“金融颶風(fēng)”的影響,大大小小的對(duì)沖基金,海外投資者都收到了颶風(fēng)的波及,眾多金融機(jī)構(gòu)披露出巨額虧損并宣布破產(chǎn)。 我們認(rèn)為這種危機(jī)傳染現(xiàn)象在供應(yīng)鏈網(wǎng)絡(luò)中也是存在的。隨著全球經(jīng)濟(jì)競(jìng)爭(zhēng)的加劇,供應(yīng)網(wǎng)絡(luò)企業(yè)成員之間比以往任何時(shí)候都更加重視交流和合作。通常說來,當(dāng)一個(gè)經(jīng)濟(jì)體因?yàn)殚L(zhǎng)期的,惡性盈利虧損而導(dǎo)致資不抵債的情況下,會(huì)申請(qǐng)破產(chǎn)保護(hù)。破產(chǎn)的原因有很多種,例如企業(yè)陳舊而不愿意打破傳統(tǒng)的管理模式和獨(dú)裁統(tǒng)治致使信息傳遞低效而不能應(yīng)對(duì)快速變化的消費(fèi)者市場(chǎng)。然而,在當(dāng)今供應(yīng)鏈中愈來愈加強(qiáng)合作和交流的情境下,一個(gè)個(gè)體企業(yè)作為供應(yīng)鏈的一員,它的生死存亡不僅僅決定于自己的盈利情況和管理模式,還與供應(yīng)鏈中其他成員的經(jīng)營(yíng)狀況息息相關(guān)。位于供應(yīng)鏈中的某個(gè)企業(yè)的虧損或者破產(chǎn)可能導(dǎo)致與其有合作關(guān)系(通過商業(yè)信用渠道)的其他企業(yè)的經(jīng)營(yíng)和運(yùn)行受阻,從而將這種窘迫的經(jīng)營(yíng)狀況傳染給其他企業(yè),產(chǎn)生流動(dòng)性危機(jī),瀕臨破產(chǎn)處境。在網(wǎng)絡(luò)經(jīng)濟(jì)時(shí)代,這種現(xiàn)象稱為破產(chǎn)傳染或者金融危機(jī)蔓延。對(duì)于這種破產(chǎn)危機(jī)現(xiàn)象,一個(gè)非常重要并且合乎邏輯的解釋就是通過商業(yè)信貸債務(wù)鏈的傳播而導(dǎo)致的流動(dòng)性不足。美國(guó)次貸危機(jī)的發(fā)生就是這種現(xiàn)象的一個(gè)典型例證。 而正是由于現(xiàn)代供應(yīng)鏈網(wǎng)絡(luò)中的復(fù)雜結(jié)構(gòu)和動(dòng)態(tài)因素,使得目前研究供應(yīng)鏈網(wǎng)絡(luò)的企業(yè)財(cái)務(wù)狀況以及對(duì)應(yīng)股票價(jià)格表現(xiàn)所使用的分析模型和方法存在一些明顯的不足,尤其表現(xiàn)在對(duì)一些重大事件發(fā)生對(duì)整個(gè)供應(yīng)鏈企業(yè)以及投資市場(chǎng)波動(dòng)產(chǎn)生影響的預(yù)測(cè)力不足上。傳統(tǒng)的數(shù)學(xué)建模和運(yùn)籌分析方法往往從眾多與實(shí)際情況并不完全符合的假設(shè)開始,對(duì)于這類包含眾多實(shí)體,關(guān)系,屬性,參數(shù)和約束的復(fù)雜系統(tǒng)并不能提供一個(gè)有效的解決方案。例如,傳統(tǒng)的金融數(shù)據(jù)分析方法往往只著重于大量結(jié)構(gòu)性數(shù)據(jù)和歷史事件序列的收集和分析,而忽略了網(wǎng)絡(luò)上些及時(shí)事件和信息(往往是文本類信息)對(duì)企業(yè)的財(cái)務(wù)狀況造成的影響。這類模型因?yàn)椴荒苋婧蜕钊氲姆治黾皶r(shí)消息對(duì)供應(yīng)鏈個(gè)體的財(cái)務(wù)狀況的沖擊,從而不能有效預(yù)測(cè)在金融投資市場(chǎng)中相應(yīng)供應(yīng)鏈企業(yè)的股票表現(xiàn)情況。股票價(jià)格瞬間萬變,錯(cuò)過這類信息會(huì)使投資面臨風(fēng)險(xiǎn)甚至蒙受巨大損失。毫無疑問,如果能夠?qū)⿷?yīng)鏈網(wǎng)絡(luò)中不同個(gè)體的財(cái)務(wù)狀況給予及時(shí)有效的監(jiān)控,例如,當(dāng)某企業(yè)發(fā)生破產(chǎn)宣告時(shí),通過評(píng)估與該企業(yè)上下游緊密相連企業(yè)的商業(yè)貸款風(fēng)險(xiǎn)值,可以有效的預(yù)測(cè)有可能受到?jīng)_擊的企業(yè)財(cái)務(wù)狀況以及其市場(chǎng)表現(xiàn)�；谛刨J傳染的財(cái)務(wù)監(jiān)控將會(huì)在眾多領(lǐng)域具有廣泛的應(yīng)用前景,例如投資組合管理中的風(fēng)險(xiǎn)監(jiān)控。 鑒于此,本文在投資領(lǐng)域的應(yīng)用背景下,對(duì)由于破產(chǎn)危機(jī)傳染而產(chǎn)生的股票價(jià)格波動(dòng)問題進(jìn)行了深入的探討。主要研究?jī)?nèi)容如下： 首先,對(duì)破產(chǎn)危機(jī)傳染的顯現(xiàn)進(jìn)行概念建模。概念建模為后一階段的原型系統(tǒng)分析,設(shè)計(jì)和開發(fā)打下了堅(jiān)實(shí)的基礎(chǔ)。這部分的概念建模包括兩個(gè)部分：1).用來表達(dá)和實(shí)施由某個(gè)破產(chǎn)事件而導(dǎo)致的破產(chǎn)危機(jī)傳染的領(lǐng)域知識(shí)的形式本體以及2).在這個(gè)形式本體的基礎(chǔ)上構(gòu)建的語義規(guī)則。語義規(guī)則能夠加強(qiáng)推理能力和問題的自動(dòng)化求解。 其次,在建立的關(guān)于破產(chǎn)危機(jī)傳染的本體模型基礎(chǔ)上,構(gòu)建了基于多智能代理的金融決策系統(tǒng)原型,用來幫助相應(yīng)的投資者,政策制定者以及相關(guān)管理人員及時(shí)有效的發(fā)現(xiàn)潛在被傳染的供應(yīng)鏈企業(yè)以及在投資市場(chǎng)上的股票價(jià)格波動(dòng)�；诟拍罱Ｉ系亩嘀悄艽頉Q策系統(tǒng)能夠不斷的處理在網(wǎng)絡(luò)上發(fā)現(xiàn)的及時(shí)文本類型的新聞信息并且根據(jù)語義規(guī)則和知識(shí)庫(kù),對(duì)可能出現(xiàn)的大幅股價(jià)波動(dòng)情況提出預(yù)警。在識(shí)別出可能股票價(jià)格出現(xiàn)大幅波動(dòng)的企業(yè)后,無線推送信息服務(wù)會(huì)將信息快速的傳達(dá)給投資者。 最后,本研究通過對(duì)通用汽車破產(chǎn)的案例結(jié)合概念建模和原型發(fā)展對(duì)本文所有的研究方法進(jìn)行初步的驗(yàn)證。通用汽車的案例說明本研究的方法能夠有效的管理供應(yīng)鏈網(wǎng)絡(luò)中復(fù)雜動(dòng)態(tài)的傳染效應(yīng),并且為相關(guān)投資者,分析人員以及管理者提供積極有效的建設(shè)性意見來指導(dǎo)對(duì)快速變化的投資市場(chǎng)做出敏捷的反應(yīng)。
[Abstract]:In recent years, in the overall environment of global economic integration intensified, economic and financial system showed more dependence and mutual connection trend. It is characteristic of this "domino", become the direct cause of the U.S. subprime mortgage crisis in 2008. The other side of the Atlantic when the unexpected financial hurricane "loan to the famous American mortgage company as the representative of the New Century Financial Corporation, with Merrill Lynch as the representative of the investment bank, and Citigroup as the representative of the financial supermarket and the global wealth management for UBS has become a" financial hurricane "of the eye, at the same time, affected by the this" financial hurricane ", large and small hedge funds, overseas investors have received the hurricane affected, many financial institutions revealed huge losses and declared bankruptcy.
We believe that this crisis contagion also exist in the supply chain network. With the global economic competition between enterprises in supply network members more than ever to pay attention to communication and cooperation. Generally speaking, when an economy because of long-term earnings losses as a result of malignancy, in the case of insolvency, will filed for bankruptcy protection. There are many reasons such as corporate bankruptcy, old and do not want to break the traditional management mode and the transmission of information and inefficient dictatorship cannot cope with the rapidly changing consumer market. However, in today's supply chain more and more strengthen exchanges and cooperation in the context of an individual enterprise, as a member of the supply chain it is of vital importance, not only depends on their profitability and management mode, but also is closely related to operating conditions and other members of the supply chain. The supply chain is in a Business losses or bankruptcy may lead to its partnership (via credit channel) blocked the management and operation of other enterprises, which will be the distress of the operating conditions of transmission to other enterprises, liquidity crisis, on the verge of bankruptcy situation. In the era of network economy, this phenomenon is called bankruptcy infection or the spread of financial crisis. The bankruptcy crisis phenomenon, lack of liquidity in a very important and logical explanation is that through the spread of commercial credit debt chain caused. A typical example of the subprime crisis is such a phenomenon.
It is due to the complex structure of modern supply chain network and dynamic factors, the current financial situation of enterprise supply chain network research and the use of the corresponding stock price model and analysis method has some obvious shortcomings, especially in the lack of predictive power affect the entire supply chain and market volatility on investment some of the major events. The mathematical modeling and operation analysis of traditional methods are from many with the actual situation is not entirely consistent with the hypothesis, for this class contains numerous entities, relations, properties, parameters and constraints of complex systems do not provide an effective solution. For example, analysis of financial data, conventional methods usually focus only in a lot of structural data and historical event sequences were collected and analyzed, while ignoring some information and timely network events (often text class letter Interest) impact on the financial situation of the enterprise. This kind of model because not comprehensive and in-depth analysis and timely news for supply chain of individual financial situation impact, which can not effectively predict the corresponding supply chain enterprise performance of the stock in the financial markets. The stock price changing moment, miss this kind of information will make investment faces the risk even suffered huge losses. There is no doubt that if we can give a timely and effective monitoring of individual financial status in the supply chain network for example, when an enterprise bankruptcy, through the evaluation and the enterprise is closely linked upstream and downstream enterprises of commercial loan risk value, the financial situation of enterprises can be effectively predicted the impact and its market performance. The financial monitoring will credit contagion has wide application prospect in many fields such as portfolio management based on the wind Risk monitoring.
In view of this, this paper discusses the stock price volatility caused by the infection of bankruptcy crisis in the context of investment application.
First of all, the bankruptcy crisis appeared to spread. Conceptual modeling for conceptual modeling prototype system of later stage of design and development to lay a solid foundation. The concept of modeling this part consists of two parts: 1). Used to express and implement bankruptcy crisis contagion by a bankruptcy caused by the domain knowledge the form of ontology and semantic rules. 2) based on the form of ontology. The automatic computation of semantic rules to strengthen the reasoning and problem.
Secondly, in the ontology model based on bankruptcy crisis contagion based on construction of a prototype of financial decision making system based on multi agents, to help the investors, policy makers and relevant management personnel can effectively detect the potential infection of supply chain enterprises in the investment market and the stock price fluctuation based on can. Multi agent decision making system for conceptual modeling in the timely text type news information processing continuously found on the web and based on semantic rules and knowledge base, warning of possible sharp price fluctuations situation. In may identify the stock price volatility of the enterprise after the wireless information push service information will be quickly communicated to investors.
Finally, through the research of bankruptcy case combined with the conceptual modeling and prototype development to validate the method in this paper. All of GM's case illustrates the research method to the contagion effect of complex and dynamic management of supply chain network efficiently, and for investors, analysts and managers to provide guidance the rapid changes in the investment market to make quick reaction positive and constructive comments.

【學(xué)位授予單位】：中國(guó)科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F837.12;F224

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本文編號(hào)：1429952