【作者】 张新；

【导师】 于同奎； 张为群；

【作者基本信息】 西南大学 ， 工程硕士（专业学位）， 2020， 硕士

【摘要】 成熟的资本市场中,企业的一切信息都能在股价中得到充分的反映,然而,新兴资本市场的股价不能真实地反映企业的价值,其很容易受到市场因素的影响,从而产生股票价格的同涨同跌现象。我国证券市场发展较晚,股票同涨同跌现象较为明显。目前国内外对股价同步性的研究大都集中生成机制、影响因素和对市场及公司财务带来的经济后果上,缺少利用股价同步性进行股票预测的研究。本文提出一种计算股票之间的同步性指标的方法,据此方法得到具有同涨同跌性质的股票组合,然后预测这一股票组合的整体趋势,并且制定相应的交易策略。针对这一方法的可行性,本文提出了三个问题:一是如何计算股票之间的同步性指标,并由此筛选出关联股票组;二是是否可以利用股价同步性进行股票趋势预测;三是如何利用具有同涨同跌性质的关联股票分析股价的整体趋势,制定交易策略以追求获利。为了解决上述提出的第三个问题,本文设计并实现了一个基于股价同步性的股票预测系统。系统最终实现了利用股价同步性对股票进行预测的功能,能够为投资者提供账号管理、用户管理、股票数据管理、关联股票分析、交易信号分析、可视化等功能。根据实际结果证明,本文提出的基于股价同步性的股票预测方法能够有效地找出具有股价同步性的股票组合,其结果具有很强的行业关联性。在这样一组具有股价同步性质的股票中,个股与整体股票的涨跌走势是趋同的。系统可以根据整体股票的涨跌绘制交易信号,模拟实际交易决策,最后计算出策略的收益情况。实验表明,本方法能够有效地帮助投资者分析股票交易并且增加获利。利用该股票预测系统,股票研究者和普通投资者都可以很方便地进行股票分析,对用户进行选股和股票交易具有一定的实用意义。更多还原

【Abstract】 In the mature capital market,all the information of the enterprise can be fully reflected in the stock price.However,the stock price of the emerging capital market can not truly reflect the value of the enterprise,and it is easy to be affected by the market factors,resulting in the same rise and fall of the stock price.The development of China’s securities market is relatively late,and the phenomenon of stocks rising and falling together is more obvious.At present,the research on stock price synchronicity at home and abroad mainly focuses on generating mechanism,influencing factors and economic consequences to market and company finance,lacking of research to use stock price synchronicity for stock prediction.This paper proposes a method to calculate the synchronization index between two stocks,according to which a stock combination with the same rise and fall property is obtained,and then forecast the overall trend of the stock portfolio,and formulate the corresponding trading strategy.In view of the feasibility of this method,this paper puts forward three questions: first,how to calculate the synchronization index between two stocks,and thus the related stock group is selected;second,is it possible to use stock price synchronization to forecast stock trends;third,how to analyze the overall trend of stock prices using related stocks with the same rise and fall and what kind of trading strategy to make in pursuit of profit.In order to solve the third problem mentioned above,this paper designs and implements a stock prediction system based on the synchronization of stock price.The system finally realizes the function of using stock price synchronicity to predict stocks,which can provide investors with account management,user management,stock data management,associated stock analysis,trading signal analysis,visualization and other functions.According to the actual results,the stock prediction method based on stock price synchronicity proposed in this paper can effectively find stock portfolios with stock price synchronization,and the results have strong industry relevance.In such a group of stocks with the nature of stock price synchronization,the rises and falls of individual stocks and the overall stocks are similar.The system can draw trading signals according to the rise and fall of the overall stock,and simulate actual trading decisions,and finally calculate the strategy’s return.Experiments show that this method can effectively help investors analyze stock trading and increase profits.Using the stock prediction system,stock researchers andordinary investors can easily carry out stock analysis,which has certain practical significance for users to select shares and stock trading.更多还原