基于最小生成树的股市板块趋势分析

发布时间：2018-01-10 10:01

本文关键词：基于最小生成树的股市板块趋势分析　出处：《华中科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国股市发展至今，股价的波动呈现出了非常大的波动性、不确定性和随机性。市场投资者从投资决策层面，以及各类学者从学术研究层面，都对股票价格的波动，，及各股间的关联性结构进行了多方面的研究。但正是由于股市的变幻莫测，往往难以用常规的方法去分析和解释。因此，从动态时间的角度对股价的波动特性及各股间的关联结构进行深入分析具有重要的意义。本文基于最小生成树的理论，从最小生成树的结构特性出发，将树的结点分为中心点、次中心点和边缘点；将这个思路应用于股市行业板块数据，将行业板块分成中心板块、次中心板块和边缘板块，并分析了这三类板块的市场表现特性；基于动态的时间窗口，构造了一组板块间的动态最小生成树；从各时间窗的最小生成树提取三类板块，结合三类板块的市场表现特征，分析描述市场总行情。结果表明，基于最小生成树的结构特性对板块进行分类具有重要的现实意义。中心板块反映了市场绝大多数板块的波动趋势，边缘板块则反映了市场中的异动行情；中心板块的价格波动具有很好稳定性，边缘板块的市场活跃性较大；边缘的异动行情会在一定程度上对市场趋势起着引领和信号的作用，具有较大的投机性和赢利性；多数情况下，中心边缘板块的波动结构对市场行情有一定的预测作用。利用三类板块描述市场的总行情，体现了市场的趋势性和变异性，信息包含全面；板块数量减少，消除了市场冗余信息，清晰简明的特性更有利于投资者分析研判市场行情发展。
[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.

【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224;O157.5

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