本文關(guān)鍵詞： 藍籌股 灰色系統(tǒng)理論 最優(yōu)控制算法 決策　出處：《陜西科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：我國的股票市場從誕生至今，已經(jīng)在風(fēng)風(fēng)雨雨中走過了20多年。如今，股票市場已經(jīng)成為中國市場經(jīng)濟不可或缺的重要組成部分，且在整體經(jīng)濟份額中所占比例大。中國股市在經(jīng)過20多年持續(xù)不斷的逐步發(fā)展后，現(xiàn)已成為全球第二大市值市場。進入21世紀(jì)，股市在發(fā)展中走向成熟，國家在政策層面會減少對市場的干預(yù)和調(diào)節(jié)，這讓經(jīng)濟市場在自由而正常發(fā)展的同時，股票投資者在進行股票投資時有了更多的選擇，，但同時也增加了投資者在面對眾多選擇時做出決策的困難。 對于藍籌股來說，所涉資金巨大，投資人數(shù)眾多，大盤藍籌股的走勢會直接影響大盤走勢，同時，股票投資者在某一板塊內(nèi)選擇股票進行投資時，會給予該板塊內(nèi)的藍籌股更多關(guān)注，因而對于藍籌股的研究是重中之重。 本文的主要研究工作如下： （1）從股票的基礎(chǔ)知識出發(fā)，對股價的影響因素進行闡述，分析上市公司的主要財務(wù)數(shù)據(jù)指標(biāo)，為股票的灰色關(guān)聯(lián)評價選取財務(wù)數(shù)據(jù)指標(biāo)和股票的最優(yōu)控制算法分析奠定理論基礎(chǔ)。 （2）立足灰色系統(tǒng)理論，從上市公司所公布的財務(wù)報表中選擇具有共識的數(shù)據(jù)指標(biāo)，應(yīng)用多目標(biāo)灰色關(guān)聯(lián)決策原理對選擇出的具有代表性的藍籌個股進行分析，計算出每一只個股的綜合評價值，以實現(xiàn)對個股的評價和排序，比較個股的優(yōu)劣，并將評價結(jié)果與所選股票的實際情況進行對比，以給投資者在選擇股票時一定的決策支持。在選擇財務(wù)數(shù)據(jù)指標(biāo)時，由于存在選擇偏好上的差異性，因而對于相同股票的綜合評價結(jié)果也不盡相同。同時，由于時間段的選擇不同，所選股票的實際漲跌幅度排序與綜合評價結(jié)果排序的吻合度也可能不同。 （3）運用股票的價格模型和最優(yōu)控制算法原理，對股價建立數(shù)學(xué)模型，在對股價模型進行求解過程中，通過對目標(biāo)函數(shù)的確立，引入哈密頓函數(shù)，結(jié)合變分法和最小值原理，求出了最優(yōu)控制的數(shù)學(xué)表達式。并對股價的波動序列進行檢驗和分析，用最優(yōu)控制算法分析處理股價模型。針對股價波動序列的隨機性和不確定性等特點，提出了比較理想的增量序列與實際漲跌序列去認識和評判股票的方法，并在評判結(jié)果差異較大時給出了該差異的合理解釋。 （4）最后，以華夏幸福為例進行了實證驗證，實證結(jié)果表明：通過最優(yōu)控制算法求解出的股價增長序列與實際股價波動序列存在一定偏差，但總體來說，股價增長序列與實際股價波動序列兩者的吻合度還是較高，是比較理想的，這說明本文給出的以控制算法求解股價波動序列理想值的方法具有一定的實用性和有效性。
[Abstract]:The stock market in China has been through the ups and downs for more than 20 years since it was born. Today, the stock market has become an indispensable and important part of China's market economy. After more than 20 years of continuous and progressive development, the Chinese stock market has now become the second largest market value market in the world. In 21th century, the stock market has matured in the process of development. At the policy level, the state will reduce its intervention and regulation of the market, which will allow the economic market to develop freely and normally, at the same time, stock investors will have more choices when they invest in stocks. But it also makes it harder for investors to make decisions in the face of many choices. For blue-chip stocks, the amount of money involved is huge and the number of people invested is large. The trend of large-cap blue chips will directly affect the trend of the larger market. At the same time, when stock investors choose stocks within a certain sector to invest, Will give more attention to blue-chip stocks in the plate, so blue-chip research is the top priority. The main work of this paper is as follows:. Based on the basic knowledge of stock, this paper expounds the influencing factors of stock price, and analyzes the main financial data indexes of listed companies. It lays a theoretical foundation for the selection of financial data index and the analysis of optimal control algorithm for stock grey correlation evaluation. Based on the grey system theory, selecting the common data index from the financial statements published by the listed company, and applying the multi-objective grey relational decision principle to analyze the representative blue-chip stocks selected. The comprehensive evaluation value of each stock is calculated to realize the evaluation and ranking of each stock, to compare the merits and demerits of each stock, and to compare the evaluation results with the actual situation of the selected stock. In order to give investors some decision support in selecting stock. When selecting financial data index, the comprehensive evaluation results for the same stock are different because of the difference of choice preference. Because of the different time periods, the order of the actual range of stock price and the order of the comprehensive evaluation results may be different. Using the stock price model and the principle of optimal control algorithm, the mathematical model of stock price is established. In the course of solving the stock price model, the Hamiltonian function is introduced through the establishment of the objective function, and the variational method and the principle of minimum value are combined. The mathematical expression of optimal control is obtained, and the stock price volatility series is tested and analyzed. The optimal control algorithm is used to analyze and process the stock price model. In this paper, an ideal incremental sequence and a real rise and fall series are proposed to recognize and judge the stock, and a reasonable explanation of the difference is given when the result of the judgment is quite different. Finally, taking Huaxia happiness as an example, the empirical results show that there is a deviation between the stock price growth sequence and the actual stock price fluctuation sequence, but generally speaking, The degree of agreement between the stock price growth series and the real stock price fluctuation series is still high, which shows that the method of solving the ideal value of the stock price volatility series by the control algorithm presented in this paper is practical and effective.
【學(xué)位授予單位】：陜西科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;O232

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