發(fā)布時(shí)間：2018-01-12 04:38

  本文關(guān)鍵詞：基于重現(xiàn)周期的股票指數(shù)研究　出處：《華中科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 重現(xiàn)周期 復(fù)雜網(wǎng)絡(luò) 伸縮指數(shù)分布 無尺度 波動(dòng)率

【摘要】：隨著我國金融改革的不斷推進(jìn)，股票市場已成為證券業(yè)和金融業(yè)必不可少的組成部分，為此許多學(xué)者提出了各種不同的方法研究股票市場規(guī)律。本文結(jié)合風(fēng)險(xiǎn)重現(xiàn)周期分布函數(shù)與復(fù)雜網(wǎng)絡(luò)的方法對上證指數(shù)進(jìn)行分析，研究了上證指數(shù)的風(fēng)險(xiǎn)重現(xiàn)周期的平均時(shí)長與閾值的關(guān)系和重現(xiàn)周期序列的網(wǎng)絡(luò)特征。之后，比對了上證指數(shù)熊牛市階段的重現(xiàn)周期分布，提取了分布特征，定義了象征股市繁榮程度的指標(biāo)，并將其應(yīng)用于創(chuàng)業(yè)板指數(shù)和上證指數(shù)的對比和29個(gè)行業(yè)板塊指數(shù)的分類中，使得對股票市場波動(dòng)的理解更加深入。 本文先將上證指數(shù)等股票指數(shù)日收盤價(jià)序列轉(zhuǎn)化為風(fēng)險(xiǎn)（對數(shù)收益率絕對值超過某一閾值）重現(xiàn)時(shí)間的序列，并通過去尺度的方法將不同閾值的分布統(tǒng)一于一個(gè)伸縮指數(shù)分布，視為無尺度的重現(xiàn)周期分布函數(shù)。并研究了上證指數(shù)風(fēng)險(xiǎn)重現(xiàn)周期的兩個(gè)性質(zhì)：閾值q與平均重現(xiàn)周期呈線性關(guān)系；風(fēng)險(xiǎn)重現(xiàn)周期序列中，，短風(fēng)險(xiǎn)重現(xiàn)周期間轉(zhuǎn)換頻繁，長重現(xiàn)周期間需短重現(xiàn)周期過渡。 之后，通過分析上證指數(shù)的熊牛市時(shí)期的重現(xiàn)周期分布特征并定義繁榮指數(shù)，將其應(yīng)用于創(chuàng)業(yè)板對比和29個(gè)行業(yè)板塊指數(shù)的分類上，對得到以下結(jié)論： （1）上證指數(shù)的大牛市、小牛市、動(dòng)蕩期和大熊市時(shí)期，重現(xiàn)周期分布呈現(xiàn)出股市越繁榮，短距重現(xiàn)周期發(fā)生概率越高的，通過短距重現(xiàn)周期與中距重現(xiàn)周期概率比可以定義繁榮指數(shù)，區(qū)分股市的繁榮程度； （2）創(chuàng)業(yè)板指數(shù)與上證指數(shù)相比，創(chuàng)業(yè)板有更高的短距重現(xiàn)周期發(fā)生概率，股指波動(dòng)更加劇烈； （3）29個(gè)行業(yè)板塊指數(shù)的重現(xiàn)周期中存在和大盤指數(shù)同類分布但繁榮程度不同的三類行業(yè)，以及根據(jù)大盤分布相異程度的兩類，細(xì)化了我國股票市場中不同行業(yè)的市場化程度和發(fā)展?fàn)顩r。
[Abstract]:With the development of China's financial reform, the stock market has become an indispensable part of the securities industry and the financial industry. For this reason, many scholars have put forward different methods to study the law of stock market. This paper combines the risk recurrence cycle distribution function and the complex network method to analyze the index of Shanghai stock market. The relationship between the average duration of the risk recurrence cycle and the threshold and the network characteristics of the recurrence cycle sequence of the Shanghai stock index are studied. Then, the distribution of the recurrence period in the bull market stage of the Shanghai stock index is compared, and the distribution characteristics are extracted. The index which symbolizes the prosperity of stock market is defined and applied to the comparison between gem index and Shanghai Stock Exchange index and the classification of 29 industry sector indexes, which makes a deeper understanding of stock market volatility. In this paper, the daily closing price sequence of Shanghai stock index is transformed into a series of risk (the absolute value of logarithmic yield exceeds a certain threshold). The distribution of different thresholds is unified into a telescopic exponential distribution by de-scaling method. As a scale-free recurrence cycle distribution function, two properties of risk recurrence cycle of Shanghai stock index are studied: the linear relationship between threshold Q and average recurrence period; In the series of risk recurrence cycles, short risk recurrence cycles are frequently converted, and short recurrence cycles are needed during long recurrence cycles. Then, by analyzing the distribution characteristics of the recurrence cycle in the Xiong bull period of the Shanghai stock index and defining the prosperity index, the paper applies it to the comparison of the gem and the classification of 29 industry sector indices, and draws the following conclusions: 1) in the big bull market, small bull market, turbulent period and big bear period of Shanghai stock index, the distribution of recurrence cycle shows that the more prosperous the stock market is, the higher the probability of short recurrence cycle is. The prosperity index can be defined by the probability ratio of short and middle interval recurrence period, and the prosperity degree of stock market can be distinguished. (2) the gem index has a higher probability of short interval recurrence cycle than the Shanghai Stock Exchange Index, and the volatility of the gem index is more intense; There are three types of industries with the same distribution but different degrees of prosperity in the recurrence cycle of 29 industry sector indices, and two kinds of industries with different degrees of distribution according to the market distribution. The degree of marketization and development of different industries in China's stock market are refined.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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相關(guān)碩士學(xué)位論文 前1條

1 徐世民;基于重現(xiàn)周期的股票指數(shù)研究[D];華中科技大學(xué);2014年

本文編號：1412754