【摘要】 使用传统的聚类分析对股票市场进行分析时,往往忽视了时间因素。由于股票价格是与时间高度相关的数据,本文在聚类过程中引入指数形式和线性形式的时间因子,然后再应用CAPM模型对所选择的聚类股票进确定投资组合,发现引入合适的时间因子后聚类生成的投资组合能在短期内更好地跟踪深圳综合指数的波动,取得了满意的效果。更多还原

【Abstract】 In traditional stock market analysis using cluster method,time factor was usually neglected.Due to the high correlation of stock price with time, we add a time factor in exponential form and linear form when it is clustering, then CAPM model is also applied to construct index portfolio in order to trace Shenzhen Composite Index. We find that the portfolio with appropriate time factor can trace the index very well and satisfactory answer was acquired.更多还原