本文關(guān)鍵詞：基于譜聚類的股市結(jié)構(gòu)研究　出處：《華中科技大學》2012年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 譜聚類 社會網(wǎng)絡(luò)分析 中心性分析 板塊指數(shù) 板塊劃分

【摘要】：隨著經(jīng)濟體制改革的不斷深化，我國的股票市場也在逐步完善和發(fā)展，股票市場已經(jīng)成為我國證券業(yè)乃至是整個金融業(yè)至關(guān)重要的組成部分。上市公司急速增加，投資者要想了解每一種股票是極不容易的，也不勝其煩。股票價格指數(shù)是一些金融機構(gòu)為了適應(yīng)這種情況和需要，利用自己的業(yè)務(wù)知識和熟悉市場的優(yōu)勢編制出來的。然而股票價格指數(shù)并不能完全反映市場，因此，本文通過板塊分析，希望從宏觀的角度更全面地了解股市。 近年來，隨著數(shù)據(jù)挖掘技術(shù)的發(fā)展，利用數(shù)據(jù)挖掘技術(shù)分析股票成為研究的熱點。在板塊研究中，大都利用傳統(tǒng)的聚類方法，本文以2008年12月—2012年3月33個板塊指數(shù)周收盤價為研究對象，利用數(shù)據(jù)挖掘中的譜聚類算法將33個板塊進行聚類，計算每類板塊間的相關(guān)性，比較每一類的收益率及漲幅。進而利用k-近鄰選取出每個板塊的1-近鄰，構(gòu)造一個1-近鄰網(wǎng)絡(luò)，并計算網(wǎng)絡(luò)的中間中心性，研究網(wǎng)絡(luò)的拓撲結(jié)構(gòu)。從聯(lián)系的角度去考察股票，而非孤立的角度去考察股票之間的關(guān)系，揭示出股市的結(jié)構(gòu)，，進而對股市的有一個宏觀的認識。 本文利用譜聚類方法和網(wǎng)絡(luò)的中間中心性對板塊指數(shù)進行了分析。結(jié)果表明，可以通過了解幾個核心板塊進而了解整個股市。在本文所研究的時間段內(nèi)，上證指數(shù)、紡織服裝、工程建筑、電子信息、商業(yè)連鎖、深證成指是每一類的核心板塊，在同類中具有代表性，可以通過了解某一類的核心板塊了解同類中的板塊。這些研究成果對投資者了解整個股市結(jié)構(gòu)起到有益的幫助作用，有利于投資者更好地從宏觀上把握整個股市。
[Abstract]:With the deepening of economic system reform, China's stock market is gradually improving and developing. The stock market has become a vital part of the securities industry and even the whole financial industry in China. The rapid growth of listed companies makes it extremely difficult for investors to understand every stock. The stock price index is a number of financial institutions in order to adapt to this situation and needs. Using their own business knowledge and familiar with the advantages of the market out of. However, the stock price index can not fully reflect the market, therefore, this paper through plate analysis. I hope to understand the stock market more comprehensively from the macro point of view. In recent years, with the development of data mining technology, the use of data mining technology to analyze stocks has become a research hotspot. This paper takes the closing price of 33 plate indices from December 2008 to March 2012 as the research object and uses the spectral clustering algorithm in data mining to cluster 33 plates. The correlation of each plate is calculated, and the yield and increase of each class are compared. Then the 1-nearest neighbor of each plate is selected by using k-nearest neighbor, and a 1-nearest neighbor network is constructed, and the middle center of the network is calculated. This paper studies the topological structure of the network, examines the relationship between stocks from the angle of connection, but not from an isolated angle, reveals the structure of the stock market, and then has a macroscopic understanding of the stock market. In this paper, the spectral clustering method and the meso-centrality of the network are used to analyze the plate index. The results show that we can understand the whole stock market by understanding several core plates. Shanghai index, textile and clothing, engineering construction, electronic information, business chain, Shenzhen stock index is the core of each type of plate, representative in the same class. We can learn about the same kind of plates by understanding the core sectors of a certain class. These research results can help investors to understand the whole stock market structure. It is good for investors to better grasp the whole stock market from the macro perspective.
【學位授予單位】：華中科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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