中国A股市场拓扑网络研究与衍生策略

发布时间：2023-04-17 04:37

　　本文利用定义的“距离”概念,对中国A股市场的行业相互间关系进行了量化分析,并通过这一量化关系构建了中国A股市场的行业关联网络。在全连通行业关联网络的基础上,并结合图论中最小生成树(minimum spanning tree)的方法与实现手段,在保留有效信息的基础上,化简了较为复杂的行业关联网络,并利用化简后的行业关联网络划分了具有共同聚集属性的行业集群。 利用构建的全连通行业关联网络与化简后行业关联网络,设计了基于行业关联网络的两种不同思想的投资策略,并进行了市场实际的实证验证,从一个方面说明了中国A股市场中,可以通过行业间距离关系进行投资预测,并能够设计适当的投资策略以获取超额收益。 本文主要分为五个部分——文献综述,行业关联网络模型与衍生策略的理论构建过程,行业关联网络的实证研究与结果,衍生投资策略的实证过程与结果,总结与结论。

【文章页数】：56 页

【学位级别】：硕士

【文章目录】：
Abstract(English)
Abstract(Chinese)
Introduction
1 Literature review
2 Theoretical model
    2.1 Economic application for the complex network analysis
    2.2 Concepts and defination in the complex network
    2.3 The quantification of industries association network
        2.3.1 The industries correlation matrix
        2.3.2 The complete industry association network derived from distance matrix
        2.3.3 The simplified industries association network by MST
    2.4 The sustainability analysis on industries association network
    2.5 The investing strategies derived from industries association network
        2.5.1 Industry clustering strategy based on simplified industry association network
        2.5.2 Hot industry forecasting strategy on complete industry association network
3 Empirical study of indstries assocation network
    3.1 The data source
        3.1.1 The SWS Sector Indices
        3.1.2 The constituent stocks of CSI 300 Index
    3.2 The empirical generation of industries association network
        3.2.1 The industries correlation matrix
        3.2.2 The complete industry association network derived from distance matrix
        3.2.3 The simplified industries association network by MST
    3.3 The empirical study of sustainability on industries association network
        3.3.1 The data source
        3.3.2 The algorithm
        3.3.3 The empirical results
4 Emprical study of forecasting & strategies
    4.1 Industry clustering strategy based on simplified industry association network
        4.1.1 The data source
        4.1.2 The algorithm
        4.1.3 The empirical results
    4.2 Hot industry forecasting strategy on complete industry association network
        4.2.1 The direct-related methodology
        4.2.2 The weighted-related methodology
    4.3 Forecasting industries based on complete industry association network
        4.3.1 Forecasting industries with the idea of the direct-related methodology
        4.3.2 Forecasting industries with the idea of the weighted-related methodology
    4.4 The quantitative evaluation on the investment strategies
    4.5 The comprehensive investment strategy
        4.5.1 Pondering on the characteristics of investment strategies
        4.5.2 Comprehensive strategy combined with traditional position-control technology
5 Conclusion
Acknowledgments
Bibliography
附件



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