政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/58852

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/58852

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51054996 線上人數 : 953

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

政大機構典藏 > 理學院 > 應用物理研究所 > 學位論文 > Item 140.119/58852

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/58852

題名:	股票群的隨機行走模型與內在結構 - 以1996-1999年美國股票S&P500為例之初步分析 Random walk model and underlying structure - a primitive study of collections of US stocks over 1996-1999
作者:	黃鈺峰 Huang, Yu Feng
貢獻者:	馬文忠 Wen Jong Ma 黃鈺峰 Huang, Yu Feng
關鍵詞:	相關矩陣隨機矩陣定理耦合隨機行走最小展開樹 correlation matrix random matrix theorem coupled random walk minimum spanning tree
日期:	2012
上傳時間:	2013-07-11 17:54:17 (UTC+8)
摘要:	我們從計算股價的相關矩陣，然後利用隨機矩陣定理的結果，了解到股票市場並非符合隨機過程的預測，進而得知股票對股票之間具有關聯性，然其長時距下股票價格對數報酬的變化會呈現隨機行走的模式，因此我們對其結果提出二種不同的耦合隨機行走模型，試圖闡釋股票市場間的關聯性可融合到耦合隨機行走模型之中，並藉由均方對數報酬(mean square log-return，MSLR)來探討此事情。最後，為了瞭解關聯性的關係，並利用其來了解股票市場內部結構的特性，因此我們利用股價的相關矩陣來建構最小展開樹進行分析，發現當時間尺度越大其圖形越密集，中心幾乎為「GE」這家公司，因此其股票市場具有一定的判斷指標。 By means of calculating the correlation matrix of the price of stock and using the results of random matrix theorems，we learned that the stock market does not match the prediction of stochastic processes and the stock-stock is correlated。However，stock’s price log-return changes under long time scale will appear random walk model. Therefore，we propose two kinds of the different coupled random walk model，that try to explain the correlation between the stock markets can be integrated into the coupled random walk model，and using the mean square log-return( MSLR) to investigate this issue。 Finally，to understand the relationship of correlation matrix and by using it to know the characteristics of the underlying structure of the stock market，we use the correlation matrix of the price to construct the minimum spanning tree for analysis。The results showed that when the time scale is greater, the graphics are more intensive，and the center is almost the same company，"GE"， indicating that the stock market has a certain judgment index。
參考文獻:	[1] R. Engle, J. Econometrics 100, 53 (2001) [2] 以隨機行走模息來解讀股票間的關聯性馬文忠/胡進錕物理雙月刊2008.6 [3] L.Laloux,P.Cizeau,J.-P.Bouchaud and M.Potters,Phys. Rev. Lett. 83, 1467 (1999). [4] V. Plerou et al., Phys. Rev. Lett. 83, 1471 (1999) [5] J. D. Noh, Phys. Rev. E 61, 5981 (2000). [6] W. J. Ma, C. K. Hu and R. E. Amritkar, Phys. Rev.E 70, 026101 (2004) [7] Ma,Wang,Chen and Hu Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation(2013) [8] A. Einstein, Ann. Phys. (Leipzig) 17, 549 (1905). [9] 數學傳播第九卷第三期漫談布朗運動-----李育嘉 [10] L. Bachelier, Ann. Sci. Ecole Norm. Sup. s`erie 3,17, 21 (1900) [11] 財務統計傅承德中央研究院統計科學研究所 [12] Cowles, A. (1933). Can stock market forecasters forecast?Econometrica,309-324. [13] Cowles, A. and John, H. E. (1937). Some a posteriori probabilities in stock market action. Econometrica, 5, 280-294 [14] Working, H. (1934). A random-difference series for use in the analysis of time series. Journal of the American Statistical Association, 29, 11-24 [15] Kendall, M. G. (1953). The analysis of economic time-series. Part 1. Prices. J ournal of the Royal Statistical Society, 96, 11-25 [16] A first course in probability / Sheldon Ross [17] J. P. Bouchaud,M. Potters,Theory of Financial Risks second reprint [18] 論數學遊戲張維忠數學傳播 30卷4期, pp. 83-94 [19] Van Den Heuvel, M., Mandl, R., & Pol, H. H. (2008). Normalized cut group clustering of resting-state FMRI data. PLoS One, 3(4), e2001. [20] Albert-László Barabási & Réka Albert (October 1999). "Emergence of scaling in random networks". Science 286 (5439): 509–512 [21] R. C. Prim: Shortest connection networks and some generalizations. In: Bell System Technical Journal, 36 (1957), pp. 1389–1401 [22] Joseph. B. Kruskal: On the Shortest Spanning Subtree of a Graph and the Traveling Salesman Problem. In: Proceedings of the American Mathematical Society, Vol 7, No. 1 (Feb, 1956), pp. 48–50 [23] Thomas H. Cormen, Charles E. Leiserson, Ronald L. Rivest, and Clifford Stein. Introduction to Algorithms, Second Edition. MIT Press and McGraw-Hill, 2001. ISBN 0-262-03293-7. Section 23.2: The algorithms of Kruskal and Prim, pp. 567–574. [24] R. N. Mantegna,Eur. Phys. J. B. 11, 193–197, (1999) [25] PEDRO J. BALLESTER, W. GRAHAM RICHARDS Vol. 28, No. 10 .Journal of Computational Chemistry
描述:	碩士國立政治大學應用物理研究所 100755001 101
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G1007550011
資料類型:	thesis
顯示於類別:	[應用物理研究所 ] 學位論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
001101.pdf	1942Kb	Adobe PDF2	460	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - 回饋