本文利用定義的“距離”概念,對中國A股市場的行業(yè)相互間關(guān)系進(jìn)行了量化分析,并通過這一量化關(guān)系構(gòu)建了中國A股市場的行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)。在全連通行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)的基礎(chǔ)上,并結(jié)合圖論中最小生成樹(minimum spanning tree)的方法與實(shí)現(xiàn)手段,在保留有效信息的基礎(chǔ)上,化簡了較為復(fù)雜的行業(yè)關(guān)聯(lián)網(wǎng)絡(luò),并利用化簡后的行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)劃分了具有共同聚集屬性的行業(yè)集群。 利用構(gòu)建的全連通行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)與化簡后行業(yè)關(guān)聯(lián)網(wǎng)絡(luò),設(shè)計(jì)了基于行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)的兩種不同思想的投資策略,并進(jìn)行了市場實(shí)際的實(shí)證驗(yàn)證,從一個(gè)方面說明了中國A股市場中,可以通過行業(yè)間距離關(guān)系進(jìn)行投資預(yù)測,并能夠設(shè)計(jì)適當(dāng)?shù)耐顿Y策略以獲取超額收益。 本文主要分為五個(gè)部分——文獻(xiàn)綜述,行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)模型與衍生策略的理論構(gòu)建過程,行業(yè)關(guān)聯(lián)網(wǎng)絡(luò)的實(shí)證研究與結(jié)果,衍生投資策略的實(shí)證過程與結(jié)果,總結(jié)與結(jié)論。

【文章頁數(shù)】：56 頁

【學(xué)位級(jí)別】：碩士

【文章目錄】：
Abstract(English)
Abstract(Chinese)
Introduction
1 Literature review
2 Theoretical model
    2.1 Economic application for the complex network analysis
    2.2 Concepts and defination in the complex network
    2.3 The quantification of industries association network
        2.3.1 The industries correlation matrix
        2.3.2 The complete industry association network derived from distance matrix
        2.3.3 The simplified industries association network by MST
    2.4 The sustainability analysis on industries association network
    2.5 The investing strategies derived from industries association network
        2.5.1 Industry clustering strategy based on simplified industry association network
        2.5.2 Hot industry forecasting strategy on complete industry association network
3 Empirical study of indstries assocation network
    3.1 The data source
        3.1.1 The SWS Sector Indices
        3.1.2 The constituent stocks of CSI 300 Index
    3.2 The empirical generation of industries association network
        3.2.1 The industries correlation matrix
        3.2.2 The complete industry association network derived from distance matrix
        3.2.3 The simplified industries association network by MST
    3.3 The empirical study of sustainability on industries association network
        3.3.1 The data source
        3.3.2 The algorithm
        3.3.3 The empirical results
4 Emprical study of forecasting & strategies
    4.1 Industry clustering strategy based on simplified industry association network
        4.1.1 The data source
        4.1.2 The algorithm
        4.1.3 The empirical results
    4.2 Hot industry forecasting strategy on complete industry association network
        4.2.1 The direct-related methodology
        4.2.2 The weighted-related methodology
    4.3 Forecasting industries based on complete industry association network
        4.3.1 Forecasting industries with the idea of the direct-related methodology
        4.3.2 Forecasting industries with the idea of the weighted-related methodology
    4.4 The quantitative evaluation on the investment strategies
    4.5 The comprehensive investment strategy
        4.5.1 Pondering on the characteristics of investment strategies
        4.5.2 Comprehensive strategy combined with traditional position-control technology
5 Conclusion
Acknowledgments
Bibliography
附件



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