本文關(guān)鍵詞：基于最小生成樹的股市板塊趨勢(shì)分析　出處：《華中科技大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股市波動(dòng) 最小生成樹 趨勢(shì)性 變異性

【摘要】：我國(guó)股市發(fā)展至今，股價(jià)的波動(dòng)呈現(xiàn)出了非常大的波動(dòng)性、不確定性和隨機(jī)性。市場(chǎng)投資者從投資決策層面，以及各類學(xué)者從學(xué)術(shù)研究層面，都對(duì)股票價(jià)格的波動(dòng)，，及各股間的關(guān)聯(lián)性結(jié)構(gòu)進(jìn)行了多方面的研究。但正是由于股市的變幻莫測(cè)，往往難以用常規(guī)的方法去分析和解釋。因此，從動(dòng)態(tài)時(shí)間的角度對(duì)股價(jià)的波動(dòng)特性及各股間的關(guān)聯(lián)結(jié)構(gòu)進(jìn)行深入分析具有重要的意義。 本文基于最小生成樹的理論，從最小生成樹的結(jié)構(gòu)特性出發(fā)，將樹的結(jié)點(diǎn)分為中心點(diǎn)、次中心點(diǎn)和邊緣點(diǎn)；將這個(gè)思路應(yīng)用于股市行業(yè)板塊數(shù)據(jù)，將行業(yè)板塊分成中心板塊、次中心板塊和邊緣板塊，并分析了這三類板塊的市場(chǎng)表現(xiàn)特性；基于動(dòng)態(tài)的時(shí)間窗口，構(gòu)造了一組板塊間的動(dòng)態(tài)最小生成樹；從各時(shí)間窗的最小生成樹提取三類板塊，結(jié)合三類板塊的市場(chǎng)表現(xiàn)特征，分析描述市場(chǎng)總行情。 結(jié)果表明，基于最小生成樹的結(jié)構(gòu)特性對(duì)板塊進(jìn)行分類具有重要的現(xiàn)實(shí)意義。中心板塊反映了市場(chǎng)絕大多數(shù)板塊的波動(dòng)趨勢(shì)，邊緣板塊則反映了市場(chǎng)中的異動(dòng)行情；中心板塊的價(jià)格波動(dòng)具有很好穩(wěn)定性，邊緣板塊的市場(chǎng)活躍性較大；邊緣的異動(dòng)行情會(huì)在一定程度上對(duì)市場(chǎng)趨勢(shì)起著引領(lǐng)和信號(hào)的作用，具有較大的投機(jī)性和贏利性；多數(shù)情況下，中心邊緣板塊的波動(dòng)結(jié)構(gòu)對(duì)市場(chǎng)行情有一定的預(yù)測(cè)作用。利用三類板塊描述市場(chǎng)的總行情，體現(xiàn)了市場(chǎng)的趨勢(shì)性和變異性，信息包含全面；板塊數(shù)量減少，消除了市場(chǎng)冗余信息，清晰簡(jiǎn)明的特性更有利于投資者分析研判市場(chǎng)行情發(fā)展。
[Abstract]:The development of China's stock market has been showing the volatility of stock price fluctuation is very big, the uncertainty and randomness. Market investors from the investment decision-making level, and various scholars from the academic research level, the fluctuation of stock price, and the shares of the association between structure was studied in many aspects. But it is because the stock market is often difficult to explain to change unpredictably, and analyzed by conventional methods. Therefore, in-depth analysis has important significance on the stock price fluctuation characteristics and the relationship between stock structure from dynamic time perspective.
This paper based on the theory of minimum spanning tree, starting from the structural characteristics of the minimum spanning tree, the tree node is divided into the center point, the center points and edge points; this method is applied to the stock market data industry sector, industry sector will be divided into the center of the plate, the center plate and the edge plate, and analyzes the market performance characteristics these three types of plate; dynamic time window based on structural dynamic minimum spanning tree of a set of plates; extraction of three types of plates from the minimum spanning tree in each time window, with the market features of three types of plates, the description and analysis of the total market prices.
The results show that the structure has important practical significance to the minimum spanning tree to classify the plate. Based on the center of the plate reflects the vast majority of the market fluctuation trend plate, edge of the plate reflects the changes in the market; price fluctuation of center plate has good stability, the edge of the plate Market liquidity is relatively large; transaction market edge the will to a certain extent to the market trend and plays a leading role in the signal has a large, speculative and profitable; in most cases, the fluctuation of structure center edge of the plate have a predictive effect on the market. The total market by three types of plates to describe the market, reflects the market trend and variability. The information contains a comprehensive; plate to reduce the number of redundant information to eliminate the market characteristics, more clear and concise analysis for investors market development.

【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224;O157.5

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