基于三角直觉模糊数的股票投资决策研究

发布时间：2018-04-23 21:39

本文选题：三角直觉模糊数 + 可能性均值　；参考：《江西财经大学》2013年硕士论文

【摘要】：目前,中小投资者占据了我国证券市场投资主体地位,他们在资金规模、研发实力、信息收集等方面都与机构投资者无法比拟,属于市场上的弱势方。所以市场上长期盛行着盲目跟风、追涨杀跌等非理性投资行为。针对投机氛围异常浓厚这一现状,前证监会主席郭树清自上任以来,曾六次发话倡导中小投资者建立价值投资、理性投资、长期投资的投资理念。国内外关于证券投资价值的研究比比皆是,然而,适用于中小投资者的投资策略却寥寥无几。若要引导证券市场真正回归理性,为中小投资者提供一种简单易行的投资策略就必不可少。本文首先结合公司战略理论中的PEST分析、行业分析、公司基本面分析,先是定性分析影响企业发展的潜在因素。其次,针对三角直觉模糊数能够很好地刻画证券市场的复杂性、人类思维的模糊性,选择以三角直觉模糊数形式表示决策信息,从而提出行业分析中的多属性决策方法,以及个股选择中的群决策方法。最后,选取三个常用的技术指标分析证券目前股价水平,以及未来可能的趋势走向。技术分析为投资者择时提供了一种分析途径,补充了基本面分析的不足。本文结合基本面分析和技术分析,全方位研究了上市公司的投资价值。具体研究成果可以概括为以下几方面：根据人们实际投资的决策流程,将投资分析分为三个层次：行业分析、个股分析、技术分析。首先,针对行业的外部环境进行全面分析,确定五个主要影响指标：政治与法律因素、经济因素、行业经济周期、行业生命周期以及行业竞争力,利用这五个指标构建一级评价指标体系,再通过一级评价指标的综合评价值确定表现最优的行业。其次,研究构成公司内部环境的主要因素,筛选出评估企业发展潜力的指标：公司管理层能力、企业竞争力、盈利能力、成长能力、偿债能力,基于这些指标构建二级评价指标体系,从而确定最具投资价值的公司。最后,利用技术指标分析上市公司目前以及未来可能的价格走势,以帮助投资者确定最佳的入市时机,保证投资收益最大化。将可能性理论引入三角直觉模糊数中,发展了三角直觉模糊数的可能性均值、可能性均方差的概念。并在可能性均值的基础上,给出了三角直觉模糊数距离的新定义。研究了属性权重已知,且属性值以三角直觉模糊数给出的多属性决策问题。在实际决策问题中,定义了方案的三角模糊数正理想点和负理想点。最后利用TOPSIS的三角直觉模糊数多属性决策方法进行行业分析,最终结果表明在医疗保健、金融、基础材料这三个行业当中,医疗保健行业最具投资价值。研究了属性值为三角直觉模糊数、属性权重完全未知且决策者的权重以语言变量形式给出的多属性群决策问题。首先针对以语言变量形式给出的专家重要性,可利用直觉模糊集投票模型计算各专家的权重。其次,通过三角直觉模糊数的Minkowski距离信息熵方法,确定方案的属性权重。再基于三角直觉模糊数理论和可能性理论,根据三角直觉模糊数的可能性均值、可能性标准差,给出了一种新的排序方法。最后,集结各专家权重和属性权重向量,提出了一种基于可能性均值与标准差的群决策方法,并将它应用于个股选择案例中。实例分析结果表明,相对于九九久、南京医药和同仁堂,爱尔眼科可能更具投资潜力。本文从多达上百种的技术指标中,选取了三个较为常用的MACD指标、RSI指标和能量潮指标OBV。分别介绍了它们的设计原理、运用法则以及适用的情况。实践证明,这三个指标在一定程度上可以互补,将它们结合在一起使用会使得预测股价走势的效果更好。利用MACD、RSI及OBV指标实证分析了爱尔眼科和同仁堂的价格走势,实证结果显示无论对于短期投资者还是中长期投资者,目前都不是投资爱尔眼科的好时机。而对短期投资者而言,同仁堂目前是个不错的买入时机。
[Abstract]:At present, small and medium-sized investors occupy the main position of investment in China's securities market. They are incomparable to institutional investors in terms of capital size, R & D strength and information collection, which are the weak sides in the market. So the market has been prevalent in the market for a long time. In the present situation, since Guo Shuqing, the former chairman of the CSRC, six times since he took office, it has advocated the establishment of value investment, rational investment, and long-term investment philosophy of small and medium-sized investors. There are many researches on the value of securities investment at home and abroad. However, few investment strategies applicable to small and medium investors. It is essential to provide a simple and feasible investment strategy for small and medium investors.
This paper first combines the PEST analysis in the corporate strategy theory, the industry analysis and the corporate fundamentals analysis, first is the qualitative analysis of the potential factors that affect the development of the enterprise. Secondly, the triangular intuitionistic fuzzy number can well describe the complexity of the securities market, the fuzziness of human thinking, and the choice of the decision information in the form of triangular intuitional fuzzy numbers. In this way, we put forward the multi attribute decision making method in the industry analysis and the group decision method in the choice of the stock. Finally, we select three common technical indexes to analyze the current stock price level and the possible trend in the future. Combined with fundamental analysis and technical analysis, the investment value of listed companies has been studied in all directions. The concrete research results can be summarized as follows:
According to the decision-making process of people's actual investment, the investment analysis is divided into three levels: industry analysis, stock analysis, and technical analysis. First, to make a comprehensive analysis of the external environment of the industry and determine the five main impact indicators: political and legal factors, economic factors, industry economic cycle, industry life cycle and industry competitiveness, profit The first level evaluation index system is constructed with these five indexes, and then the best performance industry is determined through the comprehensive evaluation value of the first grade evaluation index. Secondly, the main factors that constitute the internal environment of the company are studied, and the indicators for evaluating the development potential of the company are selected: the ability of the company management, the competitiveness of the enterprises, the profitability, the ability to grow, the solvency, and the ability to repay the debt. Based on these indicators, the two level evaluation index system is constructed to determine the most investment value companies. Finally, the current and possible future price trends of listed companies are analyzed by using technical indicators to help investors determine the best opportunity to enter the market and ensure the maximization of investment returns.
The possibility theory is introduced into the triangular intuitionistic fuzzy number, and the concept of the possibility mean and the possibility mean square of the triangular intuitionistic fuzzy number is developed. On the basis of the possibility mean, a new definition of the distance of the trigonometric intuitional fuzzy number is given. The multi attribute decision given by the attribute weight is given and the attribute value is given by the triangular intuitionistic fuzzy number. In the actual decision problem, the triangular fuzzy number of the scheme is defined as the positive ideal point and the negative ideal point. Finally, the TOPSIS triangle intuitionistic fuzzy multiple attribute decision-making method is used for industry analysis. The final result shows that in the three industries, health care, finance, and basic materials, the health care industry has the most investment value.
The problem of multi attribute group decision making in the form of language variables is studied by the attribute value is triangular intuitionistic fuzzy number, the weight of attribute is completely unknown and the weight of decision maker is given in the form of language variable. Minkowski distance information entropy method is used to determine the attribute weight of the scheme. Based on the triangular intuitionistic fuzzy number theory and the possibility theory, a new sort method is given based on the possibility mean of the triangular intuitionistic fuzzy number and the standard deviation of the possibility. Finally, the weight of each expert and the attribute weight vector are aggregated, and a kind of probability mean is proposed. The group decision method with the standard deviation is applied to the case of a stock selection. The results of the case analysis show that the Nanjing medicine and Tongren hall may have more investment potential relative to the nine nine years old.
In this paper, three commonly used MACD indexes, RSI index and energy tide index OBV. are selected to introduce their design principles, application rules and applicable conditions. Practice has proved that these three indexes can be complementary to some extent, and the combination of them will make the prediction of stock price go. The effect is better. Using the MACD, RSI and OBV indicators, the price trend of El ophthalmology and Tongren hall is empirically analyzed. The empirical results show that both for short-term investors and medium and long term investors are not a good time to invest in El's Ophthalmology, but for short-term investors, it is a good time to buy.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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