基于重现周期的股票指数研究

发布时间：2018-01-12 04:38

本文关键词：基于重现周期的股票指数研究　出处：《华中科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国金融改革的不断推进，股票市场已成为证券业和金融业必不可少的组成部分，为此许多学者提出了各种不同的方法研究股票市场规律。本文结合风险重现周期分布函数与复杂网络的方法对上证指数进行分析，研究了上证指数的风险重现周期的平均时长与阈值的关系和重现周期序列的网络特征。之后，比对了上证指数熊牛市阶段的重现周期分布，提取了分布特征，定义了象征股市繁荣程度的指标，并将其应用于创业板指数和上证指数的对比和29个行业板块指数的分类中，使得对股票市场波动的理解更加深入。本文先将上证指数等股票指数日收盘价序列转化为风险（对数收益率绝对值超过某一阈值）重现时间的序列，并通过去尺度的方法将不同阈值的分布统一于一个伸缩指数分布，视为无尺度的重现周期分布函数。并研究了上证指数风险重现周期的两个性质：阈值q与平均重现周期呈线性关系；风险重现周期序列中，，短风险重现周期间转换频繁，长重现周期间需短重现周期过渡。之后，通过分析上证指数的熊牛市时期的重现周期分布特征并定义繁荣指数，将其应用于创业板对比和29个行业板块指数的分类上，对得到以下结论：（1）上证指数的大牛市、小牛市、动荡期和大熊市时期，重现周期分布呈现出股市越繁荣，短距重现周期发生概率越高的，通过短距重现周期与中距重现周期概率比可以定义繁荣指数，区分股市的繁荣程度；（2）创业板指数与上证指数相比，创业板有更高的短距重现周期发生概率，股指波动更加剧烈；（3）29个行业板块指数的重现周期中存在和大盘指数同类分布但繁荣程度不同的三类行业，以及根据大盘分布相异程度的两类，细化了我国股票市场中不同行业的市场化程度和发展状况。
[Abstract]:With the development of China's financial reform, the stock market has become an indispensable part of the securities industry and the financial industry. For this reason, many scholars have put forward different methods to study the law of stock market. This paper combines the risk recurrence cycle distribution function and the complex network method to analyze the index of Shanghai stock market. The relationship between the average duration of the risk recurrence cycle and the threshold and the network characteristics of the recurrence cycle sequence of the Shanghai stock index are studied. Then, the distribution of the recurrence period in the bull market stage of the Shanghai stock index is compared, and the distribution characteristics are extracted. The index which symbolizes the prosperity of stock market is defined and applied to the comparison between gem index and Shanghai Stock Exchange index and the classification of 29 industry sector indexes, which makes a deeper understanding of stock market volatility. In this paper, the daily closing price sequence of Shanghai stock index is transformed into a series of risk (the absolute value of logarithmic yield exceeds a certain threshold). The distribution of different thresholds is unified into a telescopic exponential distribution by de-scaling method. As a scale-free recurrence cycle distribution function, two properties of risk recurrence cycle of Shanghai stock index are studied: the linear relationship between threshold Q and average recurrence period; In the series of risk recurrence cycles, short risk recurrence cycles are frequently converted, and short recurrence cycles are needed during long recurrence cycles. Then, by analyzing the distribution characteristics of the recurrence cycle in the Xiong bull period of the Shanghai stock index and defining the prosperity index, the paper applies it to the comparison of the gem and the classification of 29 industry sector indices, and draws the following conclusions: 1) in the big bull market, small bull market, turbulent period and big bear period of Shanghai stock index, the distribution of recurrence cycle shows that the more prosperous the stock market is, the higher the probability of short recurrence cycle is. The prosperity index can be defined by the probability ratio of short and middle interval recurrence period, and the prosperity degree of stock market can be distinguished. (2) the gem index has a higher probability of short interval recurrence cycle than the Shanghai Stock Exchange Index, and the volatility of the gem index is more intense; There are three types of industries with the same distribution but different degrees of prosperity in the recurrence cycle of 29 industry sector indices, and two kinds of industries with different degrees of distribution according to the market distribution. The degree of marketization and development of different industries in China's stock market are refined.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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