统计在证券组合分析和技术分析中的应用

发布时间：2018-01-25 11:41

本文关键词： 证券投资组合模型股票池条件风险价值（CVaR）平滑估计方法图形技术分析　出处：《广州大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国证券市场的不断发展，规模的不断壮大，人们越来越倾向于选用证券投资的方式进行投资理财．面对证券市场上各种各样的证券以及投资回报的不确定性，投资分析方法就为投资者提供了有效的决策工具．同时，随着统计学在社会和经济领域的不断渗透，运用统计方法来描述证券市场中股价、收益率和风险等各种运动、变化规律，将统计分析与证券投资分析结合在一起，有助于提高投资决策的科学性．现代证券组合理论作为证券投资分析的一个重要组成部分，它是以经典的马柯维茨证券投资组合理论为基石的．这个理论研究的是在面临各种相互联系的不确定的条件下，投资者怎样做出最佳投资选择把一定数量的资金按合适的比例，分散投资在不同的资产上，得到一个有效组合，实现在一定收益水平上，其风险最小，，或者在一定风险水平上，其收益最高．在已有研究的基础上，本文从组合的股票池选择策略、收益率和风险三大角度进行了证券组合投资理论研究．本文首先采用一个综合了基本分析、技术分析及股票投资价值分析的选股策略构造组合投资的股票池．然后基于CVaR是一致性风险度量的优点将其引入投资组合模型构建了均值-CVaR模型，同时提出利用统计中的核平滑估计方法从预测股票价格和收益率的角度进行投资组合模型的改进，得到使预测收益率最大化的预测值-CVaR模型，并采用实证分析证明了本文提出的股票池策略和改进的组合投资模型的有效性和相较于常用组合投资模型的优越性．此外，技术分析作为投资者常用的分析方法之一，其利用技术形态进行股票趋势判断的方法因主观性较强而备受质疑，因此本文利用统计和数学的方法刻画技术形态从而实现其计算机的自动识别，还通过实证分析证明了图形技术分析的有效性．最后，结合本文的不足之处给出后续工作的建议．
[Abstract]:With the continuous development of China's securities market, the scale of the continuous expansion. People are more and more inclined to choose the way of securities investment, facing the uncertainty of various securities and investment returns in the securities market. The investment analysis method provides an effective decision-making tool for investors. At the same time, with the continuous penetration of statistics in the social and economic fields, the statistical method is used to describe the stock price in the stock market. The combination of statistical analysis and securities investment analysis will help to improve the scientific nature of investment decision. Modern portfolio theory is an important part of securities investment analysis. It is based on the classic Markowitz portfolio theory, which is based on a variety of interrelated uncertainties. How to make the best investment choice for investors to diversify a certain amount of funds into different assets and get an effective portfolio to achieve a certain level of return, its risk is the least. Or in a certain level of risk, the highest return. On the basis of existing research, this paper from the portfolio of stock pool selection strategy. This paper studies the theory of portfolio investment from the three angles of return and risk. Firstly, this paper uses a comprehensive basic analysis. The stock pool of portfolio investment is constructed based on the stock selection strategy of technical analysis and stock value analysis. Then, based on the advantage of consistent risk measurement of CVaR, the average Cvar model is constructed by introducing it into the portfolio model. . At the same time, the kernel smoothing estimation method in statistics is proposed to improve the portfolio model from the perspective of predicting stock price and return, and the predictive value-CVaR model is obtained to maximize the predicted return rate. Empirical analysis is used to prove the effectiveness of the stock pool strategy and the improved portfolio investment model, as well as the advantages compared with the common portfolio investment model. As one of the commonly used analysis methods for investors, the method of using technology to judge stock trend has been questioned because of its strong subjectivity. Therefore, this paper uses the statistical and mathematical methods to describe the technical form to realize the automatic recognition of the computer, and through the empirical analysis to prove the effectiveness of the graphical technical analysis. Finally. Combined with the shortcomings of this paper, some suggestions for follow-up work are given.
【学位授予单位】：广州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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