單指標模型在證券投資風險預(yù)測中的應(yīng)用
發(fā)布時間：2018-07-26 19:33
【摘要】：單指標模型是一種廣義的回歸模型－半?yún)?shù)回歸模型，該模型能夠?qū)⒍嗑S變量降到一維指標，解決了多元非參數(shù)回歸無法克服的維數(shù)問題，具有良好的統(tǒng)計性質(zhì)并且在生物醫(yī)學和金融經(jīng)濟等領(lǐng)域都有廣泛的應(yīng)用。 隨著我國經(jīng)濟和證券市場的不斷發(fā)展，，企業(yè)證券投資受到人們的極大關(guān)注，且有越來越多人參與到企業(yè)證券投資的市場中。企業(yè)證券投資在一個國家的金融領(lǐng)域扮演著至關(guān)重要的角色，而證券投資風險控制是投資者進行財務(wù)管理的一項重要內(nèi)容。由于市場存在著許多不定因素，如何對證券投資風險進行預(yù)測、控制，這給投資者做出正確投資決策造成了一定困難，因此人們渴望能夠?qū)ζ髽I(yè)的現(xiàn)狀進行科學分析與預(yù)測。為此相關(guān)領(lǐng)域的許多學者作了大量的探索工作，并取得了一些行之有效的辦法。 基于單指標模型的靈活性，針對企業(yè)證券投資這一熱點研究問題，本文考慮從上市公司公布的財務(wù)數(shù)據(jù)出發(fā)，利用單指標模型預(yù)測企業(yè)證券投資風險與財務(wù)指標之間的關(guān)系，進而對未來投資風險進行預(yù)測，并與普遍被大家所接受的Logistic回歸模型預(yù)測方法進行比較。本文工作安排如下： 第一，本文介紹了證券投資風險的相關(guān)概念及知識，包括風險的主要特征，證券投資風險的影響因素，影響證券投資風險的財務(wù)指標等。其中，對財務(wù)指標的介紹有助于選擇合適的財務(wù)變量進行模型應(yīng)用及證券風險預(yù)測。在此基礎(chǔ)上，介紹了一些現(xiàn)有的關(guān)于證券投資風險預(yù)測的方法，并對每種方法的特點、優(yōu)勢、不足等進行了描述。 第二，闡述了單指標模型的發(fā)展，概況，研究現(xiàn)狀等，此外給出了模型中的未知參數(shù)和未知函數(shù)的估計值。 第三，實證分析。首先對所選財務(wù)指標進行降維處理，簡化模型。然后應(yīng)用單指標模型預(yù)測出降維后財務(wù)指標與證券投資風險之間的函數(shù)關(guān)系，并且與Logistic回歸模型的預(yù)測結(jié)果進行對比，發(fā)現(xiàn)單指標模型的預(yù)測結(jié)果優(yōu)于Logistic回歸模型，因此本文提出的方法具有一定的應(yīng)用價值。
[Abstract]:The single index model is a generalized regression model-semi-parametric regression model. The model can reduce the multidimensional variables to one dimension index, and solve the dimension problem that can not be overcome by multivariate non-parametric regression. It has good statistical properties and is widely used in biomedical, financial and economic fields. With the development of our country's economy and securities market, people pay more and more attention to the enterprise's securities investment, and more people participate in the market of enterprise's securities investment. Corporate securities investment plays an important role in the financial field of a country, and the risk control of securities investment is an important part of the financial management of investors. Because there are many uncertain factors in the market, how to predict and control the risk of securities investment makes it difficult for investors to make the right investment decision, so people are eager to be able to scientifically analyze and predict the present situation of enterprises. For this reason, many scholars in related fields have done a lot of exploration and made some effective methods. Based on the flexibility of single index model and the hot research problem of enterprise securities investment, this paper considers the relationship between securities investment risk and financial index by using single index model from the financial data published by listed companies. Then the future investment risk is forecasted and compared with the commonly accepted Logistic regression model. The work of this paper is as follows: first, this paper introduces the related concepts and knowledge of securities investment risk, including the main characteristics of the risk, the influence factors of the securities investment risk, the financial index that affects the securities investment risk, and so on. Among them, the introduction of financial indicators is helpful to select suitable financial variables for model application and securities risk prediction. On this basis, some existing methods of risk prediction of securities investment are introduced, and the characteristics, advantages and disadvantages of each method are described. Secondly, the development, general situation and research status of single index model are described. In addition, the estimated values of unknown parameters and unknown functions in the model are given. Third, empirical analysis. First of all, the selected financial indicators are reduced to simplify the model. Then the single index model is used to predict the functional relationship between the financial index and the risk of securities investment after dimensionality reduction, and compared with the prediction results of the Logistic regression model, it is found that the prediction result of the single index model is better than that of the Logistic regression model. Therefore, the method proposed in this paper has certain application value.
【學位授予單位】：遼寧師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F830.91
本文編號：2147069
[Abstract]:The single index model is a generalized regression model-semi-parametric regression model. The model can reduce the multidimensional variables to one dimension index, and solve the dimension problem that can not be overcome by multivariate non-parametric regression. It has good statistical properties and is widely used in biomedical, financial and economic fields. With the development of our country's economy and securities market, people pay more and more attention to the enterprise's securities investment, and more people participate in the market of enterprise's securities investment. Corporate securities investment plays an important role in the financial field of a country, and the risk control of securities investment is an important part of the financial management of investors. Because there are many uncertain factors in the market, how to predict and control the risk of securities investment makes it difficult for investors to make the right investment decision, so people are eager to be able to scientifically analyze and predict the present situation of enterprises. For this reason, many scholars in related fields have done a lot of exploration and made some effective methods. Based on the flexibility of single index model and the hot research problem of enterprise securities investment, this paper considers the relationship between securities investment risk and financial index by using single index model from the financial data published by listed companies. Then the future investment risk is forecasted and compared with the commonly accepted Logistic regression model. The work of this paper is as follows: first, this paper introduces the related concepts and knowledge of securities investment risk, including the main characteristics of the risk, the influence factors of the securities investment risk, the financial index that affects the securities investment risk, and so on. Among them, the introduction of financial indicators is helpful to select suitable financial variables for model application and securities risk prediction. On this basis, some existing methods of risk prediction of securities investment are introduced, and the characteristics, advantages and disadvantages of each method are described. Secondly, the development, general situation and research status of single index model are described. In addition, the estimated values of unknown parameters and unknown functions in the model are given. Third, empirical analysis. First of all, the selected financial indicators are reduced to simplify the model. Then the single index model is used to predict the functional relationship between the financial index and the risk of securities investment after dimensionality reduction, and compared with the prediction results of the Logistic regression model, it is found that the prediction result of the single index model is better than that of the Logistic regression model. Therefore, the method proposed in this paper has certain application value.
【學位授予單位】：遼寧師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F830.91
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