基于股票价格相关系数的上证股市社会网络分析

发布时间：2018-01-11 05:13

本文关键词：基于股票价格相关系数的上证股市社会网络分析　出处：《北京工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：股票市场在我国的迅速发展，使得对股票的研究也越来越成为一门学问，目前，许多专家和学者从不同的学术领域对股票市场进行了各方面的研究。运用复杂网络对股市进行分析是众多分析中常用的方法之一，当下的研究对象大多是美国股票市场，以我国股票市场作为研究对象尚不多见。本文正是在这样的背景下，，运用复杂网络方法，对上证A股票进行了分析，并引入社会网络分析方法，将基于价格相关系数的股票价格网络看作一个社会网络，从探索我国股票市场的复杂网络特性。社会网络是指社会行动者及其相关系的集合，本文以上证A股为对象，选取了2009年至2011年上证A股的周收盘价格、周个股票交易股数等股票信息，先定义了股票价格的相关系数，并编写了相应程序计算出各支股票间的相关系数。在此基础上，构建了股票网络，本着整体连通的原则，从所有股票中选取了一百五十多支整体连通的股票网络作为研究对象。接着，用社会网络分析方法对所构建的网络进行了中心性、凝聚子群和小世界效应分析，得出了存在少数股票在整个网络中占据着绝对优势的结论，并对这少部分股票进行了统计。结果表明，少部分股票在股票市场中占据着绝对资源，而且这少部数股票有着非常高的连接度，并且大多数为金融类股票。第四章从复杂网络的角度，在第三章所构建的股票网络的基础上，分析了股票市场的复杂网络特性，基于相关系数的股票网络呈现出明显的无标度特性、股票的度的分布也体现着幂律分布的特征。研究发现，股票网络中的确存在一小部分股票，在整个股票市场中占据着绝对优势。最后，我们建立了基于度的指标，用以反映股票市场的变化规律并探索了优势股票，与第三章的研究结果一致，股市中的确存在小部分股票，对整个股票市场起着非常重要的影响作用，并且这小部分股票大多为金融类股票。本文将社会网络方法引入股票市场的分析中，在方法上有一定的创新意义，将股票市场看作社会网络，市场中的每支股票即为社会网络的每个组成成员，既研究了股票市场的社会性，也研究了其网络性。同时，用复杂网络方法分析股票市场的网络特性，进而探索少数优势股票的存在，不管是从理论意义还是实践意义上，本文都有一定的创新与开拓作用。
[Abstract]:The stock market in China's rapid development, the research on the stock has become a subject, at present, many experts and scholars have studied various aspects of the stock market from different academic fields. By using the complex network analysis on the stock market is one of the commonly used method of many analysis, the present research object most of the U.S. stock market, the stock market of our country as the object of study is still rare. This article is in this context, using the complex network method, the Shanghai A shares were analyzed, and the introduction of social network analysis method, the correlation coefficient of the price of stock price as a social network based on the network from to explore the characteristics of the complex network of China's stock market.
The social network is a collection of that social actors and the related lines, this paper takes the A shares as the object, from 2009 to 2011, the Shanghai A shares week closing price, stock shares and other stocks week information, we define the correlation coefficient of stock price, and write the corresponding program to calculate the correlation coefficient of each stock between. On this basis, to build a stock network, in line with the connectivity principle, from all the stocks in the selected more than 150 overall connectivity of stock network as the research object. Then, the method of center building on the network using social network analysis, analysis of condensing subgroup and the small world effect, it is found that there exists a few the stock occupies an absolute advantage in the whole network of the conclusion, and the small number of stocks were analyzed. Results show that a small number of stocks occupy absolute resources in the stock market, and this A small number of stocks have a very high degree of connectivity, and most of them are financial stocks.
The fourth chapter from the perspective of complex networks, based on the third chapter of stock network, analyzes the characteristics of the complex network of the stock market, the correlation coefficient of stock network presents the scale-free properties based on the distribution of the stock also reflects the characteristics of power-law distribution. The study found that a small part of stock stock does exist in the network, occupy absolute advantage in the stock market. Finally, we establish the index based on the degree, with changes to reflect the stock market and explore the advantages of the stock, and the third chapter of the study results, there is a small part of the stock market, plays a very important role on the stock market, and this small part of the stock mostly for financial stocks.
This paper will introduce the social network analysis method in the stock market, have certain innovation significance in the method, the stock market as a social network, each stock market in the social network for each member of society, both on the stock market, but also on the network. At the same time, the network characteristic analysis the stock market with complex network methods, and then explore the advantages of minority stock, either from the theoretical or practical significance, this paper has certain innovation and pioneering role.

【学位授予单位】：北京工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;O157.5

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