本文關(guān)鍵詞：基于Copula函數(shù)股票相關(guān)性分析系統(tǒng)的設(shè)計(jì)與實(shí)現(xiàn)　出處：《太原科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：隨著近年來金融市場的發(fā)展，金融風(fēng)險(xiǎn)的管理已經(jīng)變得尤為突出，所以全面、準(zhǔn)確的刻畫金融市場之間的相關(guān)結(jié)構(gòu)成為金融市場管理的重點(diǎn)。由于Copula函數(shù)導(dǎo)出的一致性和相關(guān)性測度可以反映變量之間非線性的相關(guān)關(guān)系，因此Copula函數(shù)作為一種靈活的非線性相關(guān)性研究工具已經(jīng)在金融風(fēng)險(xiǎn)的建模中得到了廣泛的應(yīng)用。基于Copula函數(shù)的廣泛應(yīng)用，本文以Copula函數(shù)為分析資產(chǎn)收益率相關(guān)性的依據(jù)，使用MATLAB與VC混合編程的方法，設(shè)計(jì)并實(shí)現(xiàn)了基于Copula函數(shù)的股票相關(guān)性分析系統(tǒng)。本文的主要工作如下： 首先，論文系統(tǒng)的回顧了Copula函數(shù)的發(fā)展歷史背景和理論基礎(chǔ)，簡要的介紹了基于Copula函數(shù)的幾種相關(guān)性測度指標(biāo)以及用于構(gòu)建Copula模型邊緣分布函數(shù)的金融時(shí)間序列模型。 然后，論文介紹了該系統(tǒng)的詳細(xì)設(shè)計(jì)過程。簡單的介紹了本文的總體研究思路，系統(tǒng)開發(fā)過程中所采用的數(shù)據(jù)庫，重點(diǎn)介紹了Copula函數(shù)在MATLAB軟件中的算法設(shè)計(jì)過程，將算法過程供VC調(diào)用來解決本系統(tǒng)中用到的計(jì)算問題。 再次，論文重點(diǎn)介紹了該系統(tǒng)主要功能模塊的設(shè)計(jì)與實(shí)現(xiàn)。該系統(tǒng)從兩個(gè)角度來設(shè)計(jì)系統(tǒng)功能的，一方面該系統(tǒng)可以使用二維Copula函數(shù)計(jì)算兩支股票的常相關(guān)系數(shù)也能計(jì)算兩支股票的動(dòng)態(tài)相關(guān)系數(shù)，另一方面，既能使用二維Copula函數(shù)計(jì)算兩支股票之間的相關(guān)性，也能使用多維Copula函數(shù)計(jì)算多支股票之間的相關(guān)性。該系統(tǒng)能根據(jù)股票收益率自動(dòng)選擇較優(yōu)的金融時(shí)間序列模型，并且可以根據(jù)不同Copula函數(shù)的特點(diǎn)，自動(dòng)選擇與股票間相關(guān)性擬合較好的Copula函數(shù)，從而定量地計(jì)算股票間相關(guān)性系數(shù)。 最后，論文使用該系統(tǒng)以分析兩支股票的相關(guān)性為例，簡單介紹了該系統(tǒng)的使用過程。該系統(tǒng)操作簡單、方便，可以為風(fēng)險(xiǎn)投資決策者提供很好的決策支持。
[Abstract]:With the development of the financial market in recent years, the financial risk management has become particularly prominent, so overall, the correlation structure between the accurate characterization of the financial market has become the focus of financial market management. Because of the relationship between Copula function to derive the consistency and correlation measure can reflect the nonlinear variable, so the Copula function as a flexible non linearcorrelation tools have been widely used in the modeling of financial risk. Applications based on the Copula function, the Copula function for the analysis of asset return correlation based method using mixed programming of MATLAB and VC, the design and implementation of the system of stock correlation analysis based on Copula function. The main work is as follows:
First, the paper systematically reviews the development history and theoretical basis of Copula function, and briefly introduces several correlation measure indexes based on Copula function and the financial time series model for building Copula model edge distribution function.
Then, the paper introduces the detailed design process of the system. Briefly introduces the general idea of this paper, the system development process in the database, introduces the algorithm design process of Copula function in MATLAB software, the algorithm for the VC to solve the problem of calculation used in this system.
Again, this paper mainly introduces the design and Realization of the main functional modules of the system. The system from two aspects to the design of system function, on the one hand, the system can often use two-dimensional Copula function to calculate the correlation coefficient of the two stocks two stocks also calculate the dynamic correlation coefficient, on the other hand, can be used two dimensional Copula function to calculate the correlation between the two stocks, can also use the Copula function to calculate the multidimensional correlation between multiple stocks. The system can automatically select according to the stock returns of financial time series model is better, and can according to the different characteristics of Copula function, Copula function and automatic selection of good correlation between the stock fitting. In order to quantitatively calculate the coefficient of correlation between stocks.
Finally, the paper uses the system to analyze the correlation between two stocks as an example, and briefly introduces the application process of the system. The system is simple and convenient, and it can provide good decision support for venture capital decision-makers.

【學(xué)位授予單位】：太原科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F830.91

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本文編號(hào)：1359809