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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/58852

    Title: 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
    Authors: 黃鈺峰
    Huang, Yu Feng
    Contributors: 馬文忠
    Wen Jong Ma
    Huang, Yu Feng
    Keywords: 相關矩陣
    correlation matrix
    random matrix theorem
    coupled random walk
    minimum spanning tree
    Date: 2012
    Issue Date: 2013-07-11 17:54:17 (UTC+8)
    Abstract: 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。
    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。
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1007550011
    Data Type: thesis
    Appears in Collections:[應用物理研究所 ] 學位論文

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