天堂国产午夜亚洲专区-少妇人妻综合久久蜜臀-国产成人户外露出视频在线-国产91传媒一区二区三区

當(dāng)前位置:主頁 > 管理論文 > 證券論文 >

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)

發(fā)布時(shí)間:2017-12-31 12:31

  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


  更多相關(guān)文章: 相關(guān)性 Copula函數(shù) 股票分析系統(tǒng) Visual C++與MATLAB混合編程 時(shí)變Copula Pair-Copula


【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

【參考文獻(xiàn)】

相關(guān)期刊論文 前3條

1 任仙玲;張世英;;基于Copula函數(shù)的金融市場尾部相關(guān)性分析[J];統(tǒng)計(jì)與信息論壇;2008年06期

2 韋艷華,張世英,郭焱;金融市場相關(guān)程度與相關(guān)模式的研究[J];系統(tǒng)工程學(xué)報(bào);2004年04期

3 韋艷華;張世英;;金融市場動(dòng)態(tài)相關(guān)結(jié)構(gòu)的研究[J];系統(tǒng)工程學(xué)報(bào);2006年03期

相關(guān)博士學(xué)位論文 前1條

1 韋艷華;Copula理論及其在多變量金融時(shí)間序列分析上的應(yīng)用研究[D];天津大學(xué);2004年



本文編號(hào):1359809

資料下載
論文發(fā)表

本文鏈接:http://sikaile.net/guanlilunwen/zhqtouz/1359809.html


Copyright(c)文論論文網(wǎng)All Rights Reserved | 網(wǎng)站地圖 |

版權(quán)申明:資料由用戶bdf85***提供,本站僅收錄摘要或目錄,作者需要?jiǎng)h除請(qǐng)E-mail郵箱bigeng88@qq.com
麻豆看片麻豆免费视频| 欧美一级内射一色桃子| 男人大臿蕉香蕉大视频| 精品偷拍一区二区三区| 国产成人精品午夜福利| 五月综合婷婷在线伊人| 熟妇久久人妻中文字幕| 国产精品蜜桃久久一区二区| 久久天堂夜夜一本婷婷| 国语对白刺激高潮在线视频| 午夜福利国产精品不卡| 国产精品久久香蕉国产线| 国产成人午夜av一区二区| 国产一区二区三中文字幕 | 国产午夜福利在线观看精品| 欧美国产日本高清在线| 一二区中文字幕在线观看| 日本av一区二区不卡| 丰满的人妻一区二区三区| 女人高潮被爽到呻吟在线观看| 国产成人免费激情视频| 久久99热成人网不卡| 国产亚洲精品久久久优势| 婷婷一区二区三区四区| 91久久精品中文内射| 国产免费黄片一区二区| 亚洲深夜精品福利一区| 亚洲一区二区三区三州| 日韩成人动画在线观看| 91精品视频免费播放| 好吊日成人免费视频公开| 99热九九热这里只有精品| 我的性感妹妹在线观看| 亚洲精品中文字幕熟女| 亚洲成人黄色一级大片| 99国产一区在线播放| 国产精品亚洲一级av第二区| 精品欧美日韩一二三区| 激情综合五月开心久久| 免费观看潮喷到高潮大叫| 青青操在线视频精品视频|