本文選題：量價分布 + 狀態(tài)躍遷�。� 參考：《暨南大學(xué)》2014年碩士論文

【摘要】：隨著計算機(jī)處理能力的提高和大數(shù)據(jù)時代的到來，數(shù)學(xué)、物理以及數(shù)據(jù)挖掘的計算機(jī)方法正逐漸廣泛應(yīng)用于經(jīng)濟(jì)學(xué)和金融學(xué)的研究，在一定程度上解決了傳統(tǒng)經(jīng)濟(jì)學(xué)和金融學(xué)定性研究和定量研究方法不足，以及不符合社會實際的理性人假設(shè)與有效市場假說的缺陷，給經(jīng)濟(jì)學(xué)和金融學(xué)點亮了新的研究視野和方向。 本文結(jié)合數(shù)理方法和數(shù)據(jù)挖掘的技術(shù)，探討了中國股市交易的量價分布的近似正態(tài)分布形態(tài)，研究了中國股市交易量價分布不同時間跨度的近似正態(tài)分布形態(tài)結(jié)構(gòu)，并在此基礎(chǔ)上進(jìn)一步提出了中國股市交易量價分布的預(yù)測模型。 本文的工作主要包括三個部分：首先，驗證了中國股市日交易量價分布拒絕服從正態(tài)分布的假設(shè)，同時指出，中國股市日交易量價分布由于局部成交量較大，破壞了正態(tài)分布的形態(tài)，但是展現(xiàn)出“尖峰厚尾”的近似正態(tài)分布形態(tài)。然后，經(jīng)過對量價分布的平滑處理，得到了股市交易量價分布的無標(biāo)度微觀形態(tài)——不同時間跨度的近似正態(tài)分布形態(tài)結(jié)構(gòu)。最后，，在前兩個研究的基礎(chǔ)上，提出了股市量價分布的狀態(tài)躍遷模型。使用聚類分析，建立基于概率的狀態(tài)躍遷表，預(yù)測未來可能出現(xiàn)的近似正態(tài)分布形態(tài)微觀結(jié)構(gòu)。 本文所建立的量價分布狀態(tài)躍遷模型可以適當(dāng)?shù)拿枋鲋袊墒薪灰字辛績r分布狀態(tài)之間的躍遷網(wǎng)絡(luò)，并在一定概率上預(yù)測未來可能出現(xiàn)的量價分布狀態(tài)，為具體的股市投資提供一個具體量化的指標(biāo)。
[Abstract]:With the improvement of computer processing ability and the arrival of big data era, computer methods of mathematics, physics and data mining are being widely used in the research of economics and finance. To some extent, the defects of the traditional qualitative and quantitative research methods in economics and finance are solved, and the rational man hypothesis and the efficient market hypothesis, which do not conform to the social reality, have been solved. To economics and finance to light up a new perspective and direction of research. Combined with mathematical methods and data mining techniques, this paper discusses the approximate normal distribution of volume and price distribution in Chinese stock market, and studies the approximate normal distribution structure of trading volume price distribution in China stock market with different time span. On the basis of this, a forecasting model of the price distribution of trading volume in Chinese stock market is put forward. The work of this paper mainly includes three parts: firstly, it verifies the hypothesis that the daily transaction price distribution of Chinese stock market is based on the normal distribution, and points out that the price distribution of daily trading volume in Chinese stock market is due to the large local volume. The shape of normal distribution is destroyed, but the shape of "peak thick tail" is shown. Then, by smoothing the volume price distribution, the scale-free microscopic morphology of the price distribution of the stock market is obtained, which is the approximate normal distribution structure with different time span. Finally, on the basis of the first two studies, the state transition model of stock price distribution is proposed. Using clustering analysis, a probabilistic state transition table is established to predict the morphology of approximate normal distribution in the future. The model can describe the transition network between the volume and price distribution states in the Chinese stock market, and predict the potential price distribution in the future in a certain probability. For the specific stock market investment to provide a specific quantitative indicators.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 李雙成;邢志安;任彪;;基于MDH假說的中國滬深股市量價關(guān)系實證研究[J];系統(tǒng)工程;2006年04期

2 陳怡玲,宋逢明;中國股市價格變動與交易量關(guān)系的實證研究[J];管理科學(xué)學(xué)報;2000年02期

3 李夢玄;周義;;基于高頻數(shù)據(jù)的中國股市量價關(guān)系研究[J];統(tǒng)計與決策;2009年03期

4 吳沖鋒,吳文鋒;基于成交量的股價序列分析[J];系統(tǒng)工程理論方法應(yīng)用;2001年01期

5 張永冀;汪昌云;華晨;;歷史價量信息在價格發(fā)現(xiàn)中更有效嗎?——基于中國證券市場的數(shù)據(jù)分析[J];中國管理科學(xué);2013年S1期

本文編號：1884843