基于Copula方法和聚类思想的股票选择研究-应用统计专业论文.docxVIP

AbstractAfter Abstract After more tllan 20 years of continuous development of the stock market changes，and now it has become more mature and perfect．However,under the background of the trend of economic globalization and fmancial integration，Chinas stock market IS becoming more and more closelv linked with the world．At the same time，as the magnitude ofthe stock data 1s beco叫ng is growing bigger and the relationship between the financial variables on nnaIlclal nsk increasinglv complex，we have to face the following problems in research measurement aJld Investment Portfolio：first，a single copula model Can not meet the requirements of researching the complex relationship between stocks；second，stock researches through markets，plates or several stocks cannot meet investors’demand幻r a huge inVestment portfolio．This essay is based on copula theory，applying three ArctllmedeaIl coDulas which aLre widely used in financial variables to form mix’copula model．We uSe tail “s model to analyze all the A shares’data from the Shanghai stock and calculate Iast we dependence between stocks，then use the result to do some cluster analysls·At sever2Ll enectlVe compute some charts to make our analysis much more direct and provide suggestions for the investors．The empirical analysis shows that mixed copuIa model for stock between collfelation analytical ability is better than the single copula functlon，and the use of cluster analysis can also help us research the difference between the uPPer stock on the tail co丌elatlon tail(incomel aJld lower tail(risk)dependences，also，the visual reality of matrix for investors provide more intuitive guidances． investment ponfolio Key words：mix-copula m。del cluster analysis tail dependence lI 万方数据 首都经济贸易大学硕二L学位论文 首都经济贸易大学硕二L学位论文 基于Copula方法和聚类思想的股票选择研究 目录 摘要 ．I Abstract．．．．．．．．．．．．．．．．．． ．． ．． ．． ． ．．．． ．．． ．． ． ．． ． ． ．． ．． ． ． ． ．．II 目录 ．III 1 绪{念 1 1．1研究背景和意义 一l 1．2 国内外研究综述 一2 1．2．1 国外研究现状 2 1．2．2国内研究现状 3 1．3研究内容、框架结构及论文创新点 ．．3 1．3．1 研究思路 3