基于破产传染的智能投资决策支持：概念建模与模型开发

发布时间：2018-01-15 20:30

本文关键词：基于破产传染的智能投资决策支持：概念建模与模型开发　出处：《中国科学技术大学》2012年博士论文　论文类型：学位论文

【摘要】：近些年来,在全球经济一体化愈演愈烈的整体环境下,经济和金融系统表现出更加相互依赖和紧密联系的趋势。正是这种“牵一发而动全身”的特性,成为2008年美国次贷危机爆发的直接导火索。大西洋彼岸刮起的这场始料未及的“金融飓风”,以美国著名的住房抵押贷款公司新世纪金融公司为代表的贷款机构,以美林公司为代表的投资银行,以及以花旗集团为代表的金融超市和以全球财富管理著称的瑞银集团都成为这场“金融飓风”的直接风眼,同时,受这场“金融飓风”的影响,大大小小的对冲基金,海外投资者都收到了飓风的波及,众多金融机构披露出巨额亏损并宣布破产。我们认为这种危机传染现象在供应链网络中也是存在的。随着全球经济竞争的加剧,供应网络企业成员之间比以往任何时候都更加重视交流和合作。通常说来,当一个经济体因为长期的,恶性盈利亏损而导致资不抵债的情况下,会申请破产保护。破产的原因有很多种,例如企业陈旧而不愿意打破传统的管理模式和独裁统治致使信息传递低效而不能应对快速变化的消费者市场。然而,在当今供应链中愈来愈加强合作和交流的情境下,一个个体企业作为供应链的一员,它的生死存亡不仅仅决定于自己的盈利情况和管理模式,还与供应链中其他成员的经营状况息息相关。位于供应链中的某个企业的亏损或者破产可能导致与其有合作关系(通过商业信用渠道)的其他企业的经营和运行受阻,从而将这种窘迫的经营状况传染给其他企业,产生流动性危机,濒临破产处境。在网络经济时代,这种现象称为破产传染或者金融危机蔓延。对于这种破产危机现象,一个非常重要并且合乎逻辑的解释就是通过商业信贷债务链的传播而导致的流动性不足。美国次贷危机的发生就是这种现象的一个典型例证。而正是由于现代供应链网络中的复杂结构和动态因素,使得目前研究供应链网络的企业财务状况以及对应股票价格表现所使用的分析模型和方法存在一些明显的不足,尤其表现在对一些重大事件发生对整个供应链企业以及投资市场波动产生影响的预测力不足上。传统的数学建模和运筹分析方法往往从众多与实际情况并不完全符合的假设开始,对于这类包含众多实体,关系,属性,参数和约束的复杂系统并不能提供一个有效的解决方案。例如,传统的金融数据分析方法往往只着重于大量结构性数据和历史事件序列的收集和分析,而忽略了网络上些及时事件和信息(往往是文本类信息)对企业的财务状况造成的影响。这类模型因为不能全面和深入的分析及时消息对供应链个体的财务状况的冲击,从而不能有效预测在金融投资市场中相应供应链企业的股票表现情况。股票价格瞬间万变,错过这类信息会使投资面临风险甚至蒙受巨大损失。毫无疑问,如果能够对供应链网络中不同个体的财务状况给予及时有效的监控,例如,当某企业发生破产宣告时,通过评估与该企业上下游紧密相连企业的商业贷款风险值,可以有效的预测有可能受到冲击的企业财务状况以及其市场表现。基于信贷传染的财务监控将会在众多领域具有广泛的应用前景,例如投资组合管理中的风险监控。鉴于此,本文在投资领域的应用背景下,对由于破产危机传染而产生的股票价格波动问题进行了深入的探讨。主要研究内容如下：首先,对破产危机传染的显现进行概念建模。概念建模为后一阶段的原型系统分析,设计和开发打下了坚实的基础。这部分的概念建模包括两个部分：1).用来表达和实施由某个破产事件而导致的破产危机传染的领域知识的形式本体以及2).在这个形式本体的基础上构建的语义规则。语义规则能够加强推理能力和问题的自动化求解。其次,在建立的关于破产危机传染的本体模型基础上,构建了基于多智能代理的金融决策系统原型,用来帮助相应的投资者,政策制定者以及相关管理人员及时有效的发现潜在被传染的供应链企业以及在投资市场上的股票价格波动。基于概念建模上的多智能代理决策系统能够不断的处理在网络上发现的及时文本类型的新闻信息并且根据语义规则和知识库,对可能出现的大幅股价波动情况提出预警。在识别出可能股票价格出现大幅波动的企业后,无线推送信息服务会将信息快速的传达给投资者。最后,本研究通过对通用汽车破产的案例结合概念建模和原型发展对本文所有的研究方法进行初步的验证。通用汽车的案例说明本研究的方法能够有效的管理供应链网络中复杂动态的传染效应,并且为相关投资者,分析人员以及管理者提供积极有效的建设性意见来指导对快速变化的投资市场做出敏捷的反应。
[Abstract]:In recent years, in the overall environment of global economic integration intensified, economic and financial system showed more dependence and mutual connection trend. It is characteristic of this "domino", become the direct cause of the U.S. subprime mortgage crisis in 2008. The other side of the Atlantic when the unexpected financial hurricane "loan to the famous American mortgage company as the representative of the New Century Financial Corporation, with Merrill Lynch as the representative of the investment bank, and Citigroup as the representative of the financial supermarket and the global wealth management for UBS has become a" financial hurricane "of the eye, at the same time, affected by the this" financial hurricane ", large and small hedge funds, overseas investors have received the hurricane affected, many financial institutions revealed huge losses and declared bankruptcy.
We believe that this crisis contagion also exist in the supply chain network. With the global economic competition between enterprises in supply network members more than ever to pay attention to communication and cooperation. Generally speaking, when an economy because of long-term earnings losses as a result of malignancy, in the case of insolvency, will filed for bankruptcy protection. There are many reasons such as corporate bankruptcy, old and do not want to break the traditional management mode and the transmission of information and inefficient dictatorship cannot cope with the rapidly changing consumer market. However, in today's supply chain more and more strengthen exchanges and cooperation in the context of an individual enterprise, as a member of the supply chain it is of vital importance, not only depends on their profitability and management mode, but also is closely related to operating conditions and other members of the supply chain. The supply chain is in a Business losses or bankruptcy may lead to its partnership (via credit channel) blocked the management and operation of other enterprises, which will be the distress of the operating conditions of transmission to other enterprises, liquidity crisis, on the verge of bankruptcy situation. In the era of network economy, this phenomenon is called bankruptcy infection or the spread of financial crisis. The bankruptcy crisis phenomenon, lack of liquidity in a very important and logical explanation is that through the spread of commercial credit debt chain caused. A typical example of the subprime crisis is such a phenomenon.
It is due to the complex structure of modern supply chain network and dynamic factors, the current financial situation of enterprise supply chain network research and the use of the corresponding stock price model and analysis method has some obvious shortcomings, especially in the lack of predictive power affect the entire supply chain and market volatility on investment some of the major events. The mathematical modeling and operation analysis of traditional methods are from many with the actual situation is not entirely consistent with the hypothesis, for this class contains numerous entities, relations, properties, parameters and constraints of complex systems do not provide an effective solution. For example, analysis of financial data, conventional methods usually focus only in a lot of structural data and historical event sequences were collected and analyzed, while ignoring some information and timely network events (often text class letter Interest) impact on the financial situation of the enterprise. This kind of model because not comprehensive and in-depth analysis and timely news for supply chain of individual financial situation impact, which can not effectively predict the corresponding supply chain enterprise performance of the stock in the financial markets. The stock price changing moment, miss this kind of information will make investment faces the risk even suffered huge losses. There is no doubt that if we can give a timely and effective monitoring of individual financial status in the supply chain network for example, when an enterprise bankruptcy, through the evaluation and the enterprise is closely linked upstream and downstream enterprises of commercial loan risk value, the financial situation of enterprises can be effectively predicted the impact and its market performance. The financial monitoring will credit contagion has wide application prospect in many fields such as portfolio management based on the wind Risk monitoring.
In view of this, this paper discusses the stock price volatility caused by the infection of bankruptcy crisis in the context of investment application.
First of all, the bankruptcy crisis appeared to spread. Conceptual modeling for conceptual modeling prototype system of later stage of design and development to lay a solid foundation. The concept of modeling this part consists of two parts: 1). Used to express and implement bankruptcy crisis contagion by a bankruptcy caused by the domain knowledge the form of ontology and semantic rules. 2) based on the form of ontology. The automatic computation of semantic rules to strengthen the reasoning and problem.
Secondly, in the ontology model based on bankruptcy crisis contagion based on construction of a prototype of financial decision making system based on multi agents, to help the investors, policy makers and relevant management personnel can effectively detect the potential infection of supply chain enterprises in the investment market and the stock price fluctuation based on can. Multi agent decision making system for conceptual modeling in the timely text type news information processing continuously found on the web and based on semantic rules and knowledge base, warning of possible sharp price fluctuations situation. In may identify the stock price volatility of the enterprise after the wireless information push service information will be quickly communicated to investors.
Finally, through the research of bankruptcy case combined with the conceptual modeling and prototype development to validate the method in this paper. All of GM's case illustrates the research method to the contagion effect of complex and dynamic management of supply chain network efficiently, and for investors, analysts and managers to provide guidance the rapid changes in the investment market to make quick reaction positive and constructive comments.

【学位授予单位】：中国科学技术大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F837.12;F224

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