基于大数据策略的股市波动指数设计与应用

发布时间：2017-12-28 09:17

本文关键词：基于大数据策略的股市波动指数设计与应用　出处：《广东财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：本文主要对股市的投资者情绪的量化进行创新性研究,并在充分借鉴国内外以往市场情绪量化方法的基础上,设计并编制了基于股市情绪指标的股市波动指数(BDVI),并基于该指数开展其与众多反映股市投资者情绪的股市波动指数(BDVI)与上证综指、上证A股交易量、中国波指i VIX等股票、金融市场指标之间的相关性和因果关系分析,检测股市波动指数(BDVI)对上证综指、上证A股交易量、中国波指i VIX等的预测能力,并对预测效果加以评价。本文立足于投资者在互联网上产生的反映股市情绪的网络搜索及社交平台数据,避开我国股票期权市场结构单一、不活跃这一薄弱点,另辟蹊径,构建股市情绪互联网关键词搜索频次指标(EBS)、股市情绪社交网络情绪指标(SNES)、股市情绪社交网络热度指标(ESNS),通过对各指标与上证综指、上证A股交易量、中国波指i VIX等股票、金融市场指标之间的关系进行相关分析和格兰杰因果检验后,将投资者对于股市的消极情绪量化,并基于该三个指标编制反映股市波动幅度的基于投资者互联网社交网络行为数据的股市波动指数(BDVI),应用于股市波动风险性的度量和股市走向的预测,为投资者提供风险识别和预警指标,该指数设计意在配合上证综指等股票指数使用,从而基于对整体股市大盘的基本面分析和技术面分析,辅助显示当前并预判、警示短期未来的波动风险情况,构成上证综指等股票指数的辅助风险识别指标。经过实证,发现由股市情绪指标合成的股市波动指数BDVI对于较大动荡局势中的股市波动转折,尤其对提前1到2天下跌转折具有较强的预测能力,对于证券市场波动预判和金融市场风险规避具有很强的实际应用作用。
[Abstract]:In this paper, the main innovative research to quantify investor sentiment on the stock market, and based on full reference of previous market sentiment quantitative methods on the design and preparation of the stock market volatility index based on stock market sentiment index (BDVI), and based on the index and carry out the many reflect the stock market volatility index stock market investor sentiment (BDVI) and Shanghai, Shanghai A stock trading volume, China wave refers to the analysis between I VIX, the financial market stock index correlation and causality detection, stock market volatility index (BDVI) of Shanghai, Shanghai A stock trading volume, China wave refers to the prediction ability of I VIX, and to evaluate the prediction effect. Internet search and social data platform based on the Internet of investors in the stock market reflects the mood, avoid the market structure of stock option in China, not a single active weak point, another way to construct the stock market sentiment internet keyword search frequency index (EBS), the stock market sentiment social network sentiment index (SNES), the stock market sentiment of social networks the heat index (ESNS), were analyzed and tested by Glenn Jain fruit of each index and Shanghai Composite Index, Shanghai A stock trading volume, Chinese wave refers to the relationship between the I VIX stock market and financial market indicators, the investors in the stock market to quantify the negative emotions, and based on the three indicators reflect the volatility of the stock market index for investors the Internet social network behavior based on the data of stock market volatility (BDVI), applied to the measurement of risk and the stock market volatility in the stock market to forecast for Investors with risk identification and early-warning index, the index is designed to use with the Shanghai stock index, and fundamental analysis and technical analysis of the overall stock market based on the current, the auxiliary display and to predict future risk warning, short-term fluctuations, the auxiliary risk identification index into Shanghai Stock index. After the empirical analysis, found that the synthesis by the stock market sentiment index stock market volatility index BDVI for the volatility of stock market turmoil in the big turning point, especially for at least 1 to 2 days down turning the predictive ability for the fluctuation of stock market anticipation and financial market risk aversion has a strong role in the practical application.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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