学位论文 > 优秀研究生学位论文题录展示

中国A股市场拓扑网络研究与衍生策略

作　者: 夏涛
导　师: 王坦
学　校: 上海交通大学
专　业: 金融学
关键词: Distance matrix industry association network minimum spanning tree industries cluster
分类号: F224
类　型: 硕士论文
年　份: 2011年
下　载: 13次
引　用: 0次
阅　读: 论文下载

内容摘要

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。

全文目录

Abstract(English)  5-6
Abstract(Chinese)  6-7
Introduction  7-9
1 Literature review  9-12
2 Theoretical model  12-22
  2.1 Economic application for the complex network analysis  12
  2.2 Concepts and defination in the complex network  12-13
  2.3 The quantification of industries association network  13-18
    2.3.1 The industries correlation matrix  14
    2.3.2 The complete industry association network derived from distance matrix  14-16
    2.3.3 The simplified industries association network by MST  16-18
  2.4 The sustainability analysis on industries association network  18-19
  2.5 The investing strategies derived from industries association network  19-22
    2.5.1 Industry clustering strategy based on simplified industry association network  19-21
    2.5.2 Hot industry forecasting strategy on complete industry association network  21-22
3 Empirical study of indstries assocation network  22-36
  3.1 The data source  22-24
    3.1.1 The SWS Sector Indices  22-24
    3.1.2 The constituent stocks of CSI 300 Index  24
  3.2 The empirical generation of industries association network  24-34
    3.2.1 The industries correlation matrix  24-27
    3.2.2 The complete industry association network derived from distance matrix  27-30
    3.2.3 The simplified industries association network by MST  30-34
  3.3 The empirical study of sustainability on industries association network  34-36
    3.3.1 The data source  34
    3.3.2 The algorithm  34
    3.3.3 The empirical results  34-36
4 Emprical study of forecasting & strategies  36-51
  4.1 Industry clustering strategy based on simplified industry association network  36-42
    4.1.1 The data source  36-39
    4.1.2 The algorithm  39
    4.1.3 The empirical results  39-42
  4.2 Hot industry forecasting strategy on complete industry association network  42-45
    4.2.1 The direct-related methodology  42-44
    4.2.2 The weighted-related methodology  44-45
  4.3 Forecasting industries based on complete industry association network  45-47
    4.3.1 Forecasting industries with the idea of the direct-related methodology  45-46
    4.3.2 Forecasting industries with the idea of the weighted-related methodology  46-47
  4.4 The quantitative evaluation on the investment strategies  47-48
  4.5 The comprehensive investment strategy  48-51
    4.5.1 Pondering on the characteristics of investment strategies  48-49
    4.5.2 Comprehensive strategy combined with traditional position-control technology  49-51
5 Conclusion  51-52
Acknowledgments  52-53
Bibliography  53-56
附件  56

中国A股市场拓扑网络研究与衍生策略

内容摘要

全文目录

相似论文