本文選題：股票　切入點(diǎn)：熵模型　出處：《北方工業(yè)大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：2001年隨著我國(guó)成功加入世界貿(mào)易組織,我國(guó)的社會(huì)經(jīng)濟(jì)借助于這次機(jī)會(huì)取得了快速的發(fā)展,與此同時(shí),證券市場(chǎng)也借助于社會(huì)經(jīng)濟(jì)的發(fā)展不斷完善。證券市場(chǎng)是我國(guó)社會(huì)主義市場(chǎng)經(jīng)濟(jì)的重要組成部分,對(duì)我國(guó)市場(chǎng)經(jīng)濟(jì)的整體運(yùn)行起著重要的影響作用,證券市場(chǎng)能否有序健康運(yùn)行直接關(guān)系到我國(guó)市場(chǎng)經(jīng)濟(jì)體系能否良好健康地發(fā)展,因此,整個(gè)社會(huì)對(duì)證券市場(chǎng)能否良好運(yùn)行給予了高度重視。但是,由于自身發(fā)展的局限性,盡管我國(guó)證券市場(chǎng)得到了全面快速的發(fā)展,但同時(shí)也呈現(xiàn)出了較大的波動(dòng)性,例如股票在交易日突然異常上漲或下跌,這些異常現(xiàn)象會(huì)影響投資者的投資行為,最終擴(kuò)大投資者投資活動(dòng)的不確定性。因此,為了對(duì)證券市場(chǎng)中的這種波動(dòng)性進(jìn)行更好地了解和控制,我們有必要對(duì)我國(guó)證券市場(chǎng)的投資風(fēng)險(xiǎn)進(jìn)行度量,了解各個(gè)股票間的風(fēng)險(xiǎn)差異狀況,為投資者進(jìn)行證券投資提供幫助。本文首先介紹了當(dāng)前學(xué)術(shù)領(lǐng)域?qū)︼L(fēng)險(xiǎn)及證券風(fēng)險(xiǎn)的相關(guān)研究,并從風(fēng)險(xiǎn)度量理論的產(chǎn)生與發(fā)展角度展開(kāi),從國(guó)內(nèi)、國(guó)際兩個(gè)方向介紹了當(dāng)前風(fēng)險(xiǎn)研究領(lǐng)域的相關(guān)研究工作;其次通過(guò)介紹熵理論的產(chǎn)生以及熵的定義與性質(zhì),引出熵理論在現(xiàn)代證券市場(chǎng)風(fēng)險(xiǎn)度量領(lǐng)域的研究現(xiàn)狀,闡明構(gòu)建熵模型的思想,將該思想應(yīng)用于我國(guó)的證券風(fēng)險(xiǎn)度量領(lǐng)域,針對(duì)當(dāng)前該模型存在的缺點(diǎn),考慮熵模型的修正及投資者在投資活動(dòng)中的風(fēng)險(xiǎn)厭惡程度,構(gòu)建風(fēng)險(xiǎn)度量熵模型,以2006年1月到2017年3月之間創(chuàng)業(yè)板495只股票的每日收盤(pán)價(jià)為實(shí)證數(shù)據(jù),利用風(fēng)險(xiǎn)度量熵模型得到創(chuàng)業(yè)板495只股票的風(fēng)險(xiǎn)排名;最后選取若干只風(fēng)險(xiǎn)較低的股票,構(gòu)建投資組合模型,計(jì)算得到相應(yīng)投資比重,為投資者的證券投資行為提供參考。
[Abstract]:In 2001, with China's successful accession to the World Trade Organization (WTO), China's social economy made rapid progress with the help of this opportunity, while at the same time, The securities market is an important part of our socialist market economy and plays an important role in the overall operation of our country's market economy. The orderly and healthy operation of the securities market is directly related to the sound and healthy development of the market economy system of our country. Therefore, the whole society attaches great importance to the good operation of the securities market. However, due to the limitations of its own development, Although the securities market in our country has developed rapidly and comprehensively, it has also shown great volatility, such as the sudden and abnormal rise or fall of stocks on the trading day, which will affect the investment behavior of investors. Therefore, in order to better understand and control the volatility in the securities market, it is necessary to measure the investment risk in China's securities market. This paper first introduces the current research on risk and securities risk in the academic field, and starts with the emergence and development of risk measurement theory. This paper introduces the current research work in the field of risk research from domestic and international perspectives. Secondly, by introducing the emergence of entropy theory and the definition and nature of entropy, the present situation of research on entropy theory in the field of risk measurement in modern securities market is introduced. This paper expounds the idea of constructing entropy model and applies it to the field of securities risk measurement in China. In view of the shortcomings of the present model, the modification of entropy model and the risk aversion of investors in investment activities are considered. Based on the daily closing price of 495 gem stocks from January 2006 to March 2017, the risk measurement entropy model is used to obtain the risk ranking of gem 495 stocks. Finally, some stocks with lower risk are selected, and the portfolio model is constructed, and the corresponding investment proportion is calculated, which provides a reference for investors' securities investment behavior.
【學(xué)位授予單位】：北方工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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