發(fā)布時(shí)間：2018-01-03 18:35

  本文關(guān)鍵詞：基于小波方法的系統(tǒng)風(fēng)險(xiǎn)多尺度分析　出處：《蘭州商學(xué)院》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：金融市場(chǎng)的交易者關(guān)心的問(wèn)題之一是風(fēng)險(xiǎn)的測(cè)度，由于這些交易者有著不同的投資時(shí)間尺度和風(fēng)險(xiǎn)偏好，這使得單一尺度上的風(fēng)險(xiǎn)度量無(wú)法滿足這些交易者的需求，因此對(duì)金融市場(chǎng)的系統(tǒng)風(fēng)險(xiǎn)進(jìn)行多尺度分析就變得很有必要了。傳統(tǒng)方法雖可以通過(guò)多建幾個(gè)模型來(lái)進(jìn)行多尺度分析，但在多尺度分析上小波分析顯然更有優(yōu)勢(shì)。本文旨在將小波分析和傳統(tǒng)的市場(chǎng)模型相結(jié)合對(duì)金融市場(chǎng)的系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行多尺度分析，，期待所得的結(jié)論能夠?yàn)橥顿Y者做出投資決策提供更具有針對(duì)性的信息。 本文所采用的小波分析使用MATLAB軟件完成。首先運(yùn)用小波分析研究了上海證券市場(chǎng)中所選個(gè)股及所選股票組成的投資組合的系統(tǒng)風(fēng)險(xiǎn)在不同時(shí)間尺度上的影響。接下來(lái)使用小波方差研究了股票收益率的時(shí)間尺度屬性，發(fā)現(xiàn)小波方差和時(shí)間尺度之間表現(xiàn)出近似線性的關(guān)系。通過(guò)使用小波交叉相關(guān)分析上證180指數(shù)和所選投資組合收益率之間在不同時(shí)間尺度上的關(guān)系則表明它們之間的聯(lián)系隨著小波尺度的變化而變化，而且時(shí)間尺度越長(zhǎng)，交叉相關(guān)性越強(qiáng)。對(duì)系統(tǒng)性風(fēng)險(xiǎn)的小波分析說(shuō)明，單個(gè)股票和多樣化的股票投資組合都具有多尺度性，這也表明通過(guò)市場(chǎng)模型度量的β系數(shù)即系統(tǒng)性風(fēng)險(xiǎn)隨著時(shí)間尺度的變化而變化。對(duì)于在險(xiǎn)價(jià)值在不同時(shí)間尺度上的分析表明，風(fēng)險(xiǎn)更加集中于數(shù)據(jù)的高頻部分即低的時(shí)間尺度上。最后對(duì)前述分析進(jìn)行了擴(kuò)展，通過(guò)計(jì)算夏普比率和修正后的夏普比率評(píng)估了所選投資組合在不同的時(shí)間尺度上的表現(xiàn)。 雖然本文所得的結(jié)論對(duì)于市場(chǎng)中的交易者進(jìn)行投資決策具有一定的參考價(jià)值，但對(duì)于系統(tǒng)風(fēng)險(xiǎn)進(jìn)行多尺度分析的方法仍有改進(jìn)的余地。這一改進(jìn)可以從數(shù)學(xué)方法的角度出發(fā)：如使用小波包變換或者提升小波變換，也可以從經(jīng)濟(jì)理論的角度出發(fā)：如依據(jù)相關(guān)經(jīng)濟(jì)理論對(duì)市場(chǎng)模型進(jìn)行改進(jìn)，等等。這些都是今后進(jìn)一步研究的方向。
[Abstract]:One of the concerns of traders in financial markets is the measurement of risk, because these traders have different investment time scales and risk preferences. This makes the risk measurement on a single scale unable to meet the needs of these traders. Therefore, it is necessary to carry on the multi-scale analysis to the system risk of the financial market. Although the traditional method can carry on the multi-scale analysis by building several more models. However, wavelet analysis is obviously more advantageous in multi-scale analysis. This paper aims to combine wavelet analysis with traditional market model to analyze the systemic risk of financial market. Expected conclusions can provide investors with more targeted information to make investment decisions. The wavelet analysis used in this paper is completed by MATLAB software. Firstly, the systematic risk of the selected stocks and the selected stocks in the Shanghai stock market is studied at different time scales by using the wavelet analysis. Then we use wavelet variance to study the time scale attribute of stock return. It is found that there is an approximate linear relationship between wavelet variance and time scale. By using wavelet cross-correlation analysis, the relationship between Shanghai Stock Exchange 180 index and the return rate of selected portfolio on different time scales is shown. The relationship between us changes with the change of wavelet scale. And the longer the time scale, the stronger the cross-correlation. The wavelet analysis of systemic risk shows that single stock and diversified stock portfolio are multi-scale. This also indicates that the 尾 coefficient measured by the market model, namely, the systemic risk changes with the change of the time scale, and the analysis of the value at risk at different time scales shows that. The risk is more concentrated on the high frequency part of the data, that is, the low time scale. Finally, the analysis is extended. The performance of the selected portfolio on different time scales is evaluated by calculating the Sharp ratio and the modified Sharp ratio. Although the conclusions obtained in this paper have certain reference value for traders in the market to make investment decisions. However, there is still room for improvement in the method of multi-scale analysis of system risk, which can be improved from the point of view of mathematical methods, such as using wavelet packet transform or lifting wavelet transform. We can also proceed from the angle of economic theory, such as improving the market model according to the relevant economic theory, and so on.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F830.91

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