上证50指数成分股价量关系研究

发布时间：2018-01-06 01:03

本文关键词：上证50指数成分股价量关系研究　出处：《首都经济贸易大学》2013年硕士论文　论文类型：学位论文

【摘要】：市场自身行为是技术分析的焦点,而市场自身行为最基本的表现就是价格和成交量,价量关系表现如何直接影响着技术分析的有效性。因此,价量关系的研究,具有重要的理论和实践意义。函数型数据分析方法是近年来发展迅速的一个新的研究领域。它是把观测数据yi=(yi1,…,yiTi)′看成一个整体,表示为光滑曲线或连续函数yi=(yil,…,yiTi)′,然后从函数视角对其进行分析。与传统的分析方法相比,函数性数据分析具有其自身的优越性。本文将基于函数型数据分析方法和上证50指数及其成分股对价量关系进行研究,从全新的角度讨论价量关系问题。价量关系研究的目的是要说明交易量与价格之间的相互作用,而其中主要是交易量对价格的影响以及价格对这种作用的反馈,从而交易量能够为分析资产价值提供有用的信息。因此,本文将沿着以下思路对这个问题进行逐步展开式的研究：价量之间是否存在关系?如果存在,是什么样的关系?这种关系的表现形式是什么?这种关系能否通过直观感受得到确定确认? 根据以上思路,本文从理论,技术方法以及实证等方面对价量关系运用函数性数据分析方法进行研究。论文的创新之处主要体现在以下几个方面： (1)将函数型数据分析方法应用于价量关系的研究。函数型数据分析方法作为新兴的统计方法用以解决价量关系这一投资领域的经典课题,为价量关系的研究开辟了一个新的角度,也使得这种统计方法的使用领域得到了拓展,方法的优越性得到了发扬。 (2)函数型数据分析方法中的回归分析和聚类分析相互印证.函数型数据分析方法的回归分析量化地描述了价量关系寻在的形式,而聚类方法以直观、属性的方法把这种关系表现出来。这就从“质”与“量”的角度同时说明了一个问题,使得文章的结论更具有说服力。
[Abstract]:Market behavior is the focus of technological analysis, and the most basic expression of market behavior is price and volume. The performance of price volume directly affects the effectiveness of technology analysis. Therefore, the study of price volume relationship has important theoretical and practical significance.
The functional data analysis method is a new research field that has developed rapidly in recent years. It is the observation data yi= (Yi1,... YiTi 'is considered as a whole and is represented as a smooth curve or a continuous function yi= (yil,... , yiTi) ', and then analyzed from the perspective of function. Compared with the traditional analysis method, analysis has its own advantages of functional data. In this paper, the functional data analysis method and the SSE 50 index and the index of price volume relationship based on study, discuss the relation between volume and price problems from a new perspective.
Study on the relationship between price and volume of the purpose is to illustrate the interaction between trading volume and price, which is mainly a trading volume effect on the price and price feedback effect on it, so the trading volume can provide useful information for analyzing the value of assets. Therefore, this article will follow the following ideas on this issue of research gradually start: if there is a relationship between price and volume? If there is, what kind of relationship? What is the manifestation of this relationship? This relationship can be determined through intuitive confirmation?
According to the above ideas, this paper uses functional data analysis method to study the relation of price from the aspects of theory, technical method and empirical and other aspects.
The innovation of this paper is mainly reflected in the following aspects:
(1) the study of functional data analysis method is applied to the price volume relationship. Methods of functional data analysis as a statistical method is used to solve the emerging classical topics in this field of investment price volume relationship, opens up a new perspective for the research of the relation between volume and price, also makes this system use field meter method has been expanding, the superiority of the method had been developed.
(2) functional data regression analysis and cluster analysis method in the analysis of the mutual corroboration. Functional data regression analysis method quantitative analysis to describe the relation between volume and price in the form of search, and the clustering method to intuitive method of attribute to this relationship. It is shown from the "quality" and "quantity". At the same time point illustrates a problem, the article makes the conclusion more convincing.

【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】