本文關(guān)鍵詞：基于大數(shù)據(jù)策略的股市波動(dòng)指數(shù)設(shè)計(jì)與應(yīng)用　出處：《廣東財(cái)經(jīng)大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股市情緒 大數(shù)據(jù) 股市波動(dòng)指數(shù) 社交網(wǎng)絡(luò)情緒 風(fēng)險(xiǎn)防范

【摘要】：本文主要對(duì)股市的投資者情緒的量化進(jìn)行創(chuàng)新性研究,并在充分借鑒國(guó)內(nèi)外以往市場(chǎng)情緒量化方法的基礎(chǔ)上,設(shè)計(jì)并編制了基于股市情緒指標(biāo)的股市波動(dòng)指數(shù)(BDVI),并基于該指數(shù)開(kāi)展其與眾多反映股市投資者情緒的股市波動(dòng)指數(shù)(BDVI)與上證綜指、上證A股交易量、中國(guó)波指i VIX等股票、金融市場(chǎng)指標(biāo)之間的相關(guān)性和因果關(guān)系分析,檢測(cè)股市波動(dòng)指數(shù)(BDVI)對(duì)上證綜指、上證A股交易量、中國(guó)波指i VIX等的預(yù)測(cè)能力,并對(duì)預(yù)測(cè)效果加以評(píng)價(jià)。本文立足于投資者在互聯(lián)網(wǎng)上產(chǎn)生的反映股市情緒的網(wǎng)絡(luò)搜索及社交平臺(tái)數(shù)據(jù),避開(kāi)我國(guó)股票期權(quán)市場(chǎng)結(jié)構(gòu)單一、不活躍這一薄弱點(diǎn),另辟蹊徑,構(gòu)建股市情緒互聯(lián)網(wǎng)關(guān)鍵詞搜索頻次指標(biāo)(EBS)、股市情緒社交網(wǎng)絡(luò)情緒指標(biāo)(SNES)、股市情緒社交網(wǎng)絡(luò)熱度指標(biāo)(ESNS),通過(guò)對(duì)各指標(biāo)與上證綜指、上證A股交易量、中國(guó)波指i VIX等股票、金融市場(chǎng)指標(biāo)之間的關(guān)系進(jìn)行相關(guān)分析和格蘭杰因果檢驗(yàn)后,將投資者對(duì)于股市的消極情緒量化,并基于該三個(gè)指標(biāo)編制反映股市波動(dòng)幅度的基于投資者互聯(lián)網(wǎng)社交網(wǎng)絡(luò)行為數(shù)據(jù)的股市波動(dòng)指數(shù)(BDVI),應(yīng)用于股市波動(dòng)風(fēng)險(xiǎn)性的度量和股市走向的預(yù)測(cè),為投資者提供風(fēng)險(xiǎn)識(shí)別和預(yù)警指標(biāo),該指數(shù)設(shè)計(jì)意在配合上證綜指等股票指數(shù)使用,從而基于對(duì)整體股市大盤(pán)的基本面分析和技術(shù)面分析,輔助顯示當(dāng)前并預(yù)判、警示短期未來(lái)的波動(dòng)風(fēng)險(xiǎn)情況,構(gòu)成上證綜指等股票指數(shù)的輔助風(fēng)險(xiǎn)識(shí)別指標(biāo)。經(jīng)過(guò)實(shí)證,發(fā)現(xiàn)由股市情緒指標(biāo)合成的股市波動(dòng)指數(shù)BDVI對(duì)于較大動(dòng)蕩局勢(shì)中的股市波動(dòng)轉(zhuǎn)折,尤其對(duì)提前1到2天下跌轉(zhuǎn)折具有較強(qiáng)的預(yù)測(cè)能力,對(duì)于證券市場(chǎng)波動(dòng)預(yù)判和金融市場(chǎng)風(fēng)險(xiǎn)規(guī)避具有很強(qiáng)的實(shí)際應(yīng)用作用。
[Abstract]:In this paper, the main innovative research to quantify investor sentiment on the stock market, and based on full reference of previous market sentiment quantitative methods on the design and preparation of the stock market volatility index based on stock market sentiment index (BDVI), and based on the index and carry out the many reflect the stock market volatility index stock market investor sentiment (BDVI) and Shanghai, Shanghai A stock trading volume, China wave refers to the analysis between I VIX, the financial market stock index correlation and causality detection, stock market volatility index (BDVI) of Shanghai, Shanghai A stock trading volume, China wave refers to the prediction ability of I VIX, and to evaluate the prediction effect. Internet search and social data platform based on the Internet of investors in the stock market reflects the mood, avoid the market structure of stock option in China, not a single active weak point, another way to construct the stock market sentiment internet keyword search frequency index (EBS), the stock market sentiment social network sentiment index (SNES), the stock market sentiment of social networks the heat index (ESNS), were analyzed and tested by Glenn Jain fruit of each index and Shanghai Composite Index, Shanghai A stock trading volume, Chinese wave refers to the relationship between the I VIX stock market and financial market indicators, the investors in the stock market to quantify the negative emotions, and based on the three indicators reflect the volatility of the stock market index for investors the Internet social network behavior based on the data of stock market volatility (BDVI), applied to the measurement of risk and the stock market volatility in the stock market to forecast for Investors with risk identification and early-warning index, the index is designed to use with the Shanghai stock index, and fundamental analysis and technical analysis of the overall stock market based on the current, the auxiliary display and to predict future risk warning, short-term fluctuations, the auxiliary risk identification index into Shanghai Stock index. After the empirical analysis, found that the synthesis by the stock market sentiment index stock market volatility index BDVI for the volatility of stock market turmoil in the big turning point, especially for at least 1 to 2 days down turning the predictive ability for the fluctuation of stock market anticipation and financial market risk aversion has a strong role in the practical application.
【學(xué)位授予單位】：廣東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.51

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