本文關(guān)鍵詞：證券市場(chǎng)指標(biāo)對(duì)股災(zāi)優(yōu)化預(yù)警仿真研究　出處：《計(jì)算機(jī)仿真》2017年05期 　論文類型：期刊論文

  更多相關(guān)文章： 牛熊指標(biāo) 極端事件 分布 股災(zāi)預(yù)警

【摘要】：對(duì)證券市場(chǎng)指標(biāo)中股災(zāi)進(jìn)行準(zhǔn)確預(yù)警,可以提高證券市場(chǎng)的安全系數(shù)。進(jìn)行券市場(chǎng)指標(biāo)中股災(zāi)預(yù)警時(shí),需要對(duì)證券市場(chǎng)指標(biāo)進(jìn)行分類,構(gòu)建極限定理,根據(jù)極限定理對(duì)金融市場(chǎng)極端情形之下"牛熊性"進(jìn)行判斷,完成股災(zāi)預(yù)警,但是傳統(tǒng)方法是通過(guò)構(gòu)建GM(1,1)灰色模型,根據(jù)選取的指標(biāo)完成股災(zāi)優(yōu)化預(yù)警,但缺少證券市場(chǎng)指標(biāo)分類環(huán)節(jié),不能構(gòu)建相對(duì)應(yīng)的極限定理,在大幅波動(dòng)的條件下,存在股災(zāi)預(yù)警準(zhǔn)確性差,可操作性差的問(wèn)題。提出一種新的證券市場(chǎng)指標(biāo)對(duì)股災(zāi)優(yōu)化預(yù)警方法,建立了一個(gè)反映金融市場(chǎng)極端情形之下"牛熊性"的新指標(biāo),首先獲取Quantile第一類分布族,利用第一類分布族中的rlp1,rlp2構(gòu)建一個(gè)極限定理,利用極限定理構(gòu)建證券市場(chǎng)牛熊性的指標(biāo),之后還將這一指標(biāo)應(yīng)用于2015年6月15日開(kāi)始的股災(zāi)的預(yù)警分析,仿真結(jié)果表明,提出的新指標(biāo)較好的反映了隨著股災(zāi)爆發(fā)的臨近,預(yù)估準(zhǔn)確性強(qiáng)。
[Abstract]:The crash of stock market index accurately warning, can improve the safety coefficient of the securities market. Securities market index in stock market crash warning, it is necessary to classify the stock market index, construct the limit theorem under "limit theorem for financial market extremes of bull and bear" to judge, to complete the crash warning, but the traditional method is through the construction of GM (1,1) grey model, according to early warning indicators to optimize the stock market crash, but the lack of link classification of securities market index, cannot build corresponding limit theorem, a sharp fluctuations in the stock market crash, there are early warning accuracy, poor operability problems. Put forward a new index of securities market optimization of crash warning method, set up a financial market reflect the extreme situation of "bull" of the new index, first get Quantile first class of distributions, the first distribution group The rlp1 and rlp2 to construct a limit theorem, constructing CBBC securities market by using the limit theorem index, after analysis of the index will be used in June 15, 2015 start of the crash warning, the simulation results show that the new index is proposed to reflect with the stock market crash is approaching, prediction accuracy.

【作者單位】： 海南師范大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院;
【分類號(hào)】：F830.91;O213
【正文快照】： 1引言 牛市,熊市及盤整是股市的三種基本狀態(tài)+3],尋找一種狀態(tài)向另外一種狀態(tài)轉(zhuǎn)換的拐點(diǎn)是投資者最為關(guān)心的問(wèn)題。與“牛”“熊”直接相關(guān)的是股市投資的收益和損失,作為度量未來(lái)可能損失和收益的兩個(gè)常用指標(biāo),VaR(Value atRisk)和VaB(Valueat Best)在金融機(jī)構(gòu)的風(fēng)險(xiǎn)管理之中,，

本文編號(hào)：1393528