本文關鍵詞：基于大數(shù)據(jù)策略的股市波動指數(shù)設計與應用　出處：《廣東財經大學》2015年碩士論文　論文類型：學位論文

  更多相關文章： 股市情緒 大數(shù)據(jù) 股市波動指數(shù) 社交網絡情緒 風險防范

【摘要】：本文主要對股市的投資者情緒的量化進行創(chuàng)新性研究,并在充分借鑒國內外以往市場情緒量化方法的基礎上,設計并編制了基于股市情緒指標的股市波動指數(shù)(BDVI),并基于該指數(shù)開展其與眾多反映股市投資者情緒的股市波動指數(shù)(BDVI)與上證綜指、上證A股交易量、中國波指i VIX等股票、金融市場指標之間的相關性和因果關系分析,檢測股市波動指數(shù)(BDVI)對上證綜指、上證A股交易量、中國波指i VIX等的預測能力,并對預測效果加以評價。本文立足于投資者在互聯(lián)網上產生的反映股市情緒的網絡搜索及社交平臺數(shù)據(jù),避開我國股票期權市場結構單一、不活躍這一薄弱點,另辟蹊徑,構建股市情緒互聯(lián)網關鍵詞搜索頻次指標(EBS)、股市情緒社交網絡情緒指標(SNES)、股市情緒社交網絡熱度指標(ESNS),通過對各指標與上證綜指、上證A股交易量、中國波指i VIX等股票、金融市場指標之間的關系進行相關分析和格蘭杰因果檢驗后,將投資者對于股市的消極情緒量化,并基于該三個指標編制反映股市波動幅度的基于投資者互聯(lián)網社交網絡行為數(shù)據(jù)的股市波動指數(shù)(BDVI),應用于股市波動風險性的度量和股市走向的預測,為投資者提供風險識別和預警指標,該指數(shù)設計意在配合上證綜指等股票指數(shù)使用,從而基于對整體股市大盤的基本面分析和技術面分析,輔助顯示當前并預判、警示短期未來的波動風險情況,構成上證綜指等股票指數(shù)的輔助風險識別指標。經過實證,發(fā)現(xiàn)由股市情緒指標合成的股市波動指數(shù)BDVI對于較大動蕩局勢中的股市波動轉折,尤其對提前1到2天下跌轉折具有較強的預測能力,對于證券市場波動預判和金融市場風險規(guī)避具有很強的實際應用作用。
[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.
【學位授予單位】：廣東財經大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.51

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