基于KMV模型和符号数据分析的股票板块特征分析-管理科学与工程专业论文.docxVIP

ABSTRACT ιHaving had a lot of fundamental re岛，m， Chinas capital market has entered a stageofrapid development since 2005. As a result，how ωget more information from the stock market so 也at we can increase investors retum， improve the stock markets abi1ity of allocating resources and monitor 伽e credit risk of listedωmpanies ι 、， a question of grωer theor创ical and practica1 si阴ficance. In such a context， this artic1e 创ωωdo some research on quantitative analysis of credit risk and to analyze ind叩th the Chinese sωck market performance. our main methods include the SDA(symbolic data analysis) models and 也e KMV model which is based on Merton option pricing thωry. Based on 白。 饵tual situation of Chinas capital market，we had several 剧pects of study: Using principal component analysis and cluster analysis methods of symbolic dataωana1yze the five important indices of eight plates，such as 也e total market capitalization，也，e .outpuf of KMV model -EDF and turnoV町 rate，etc.，we expect this analysis can g1ean some usefu1 information from the correlation among indicωand 也eir meaning，制well as characteristics of stock plates. R臼earch findings 曲ow that， we combine 伽 SDA(symbolic data analysis) models and credit risk measuring. our empirical result is fine. Wi由strong 由eoretical and practica1 value，KMV model has a strong predictive power of risk. EDF，the output of KMV model，does not relateω 巾。 to创 market value while has a significant positive correlation wi由 stωk market 阳formance(in amplitude，turnover)， suggesting th创出，e speculation atmosphere is quite s町ious in current A-share market， and the value investment philosophy still has long way to go. We divided a11 the sections into three categories by principal component analysis and cluster analysis， providing a good reference for both long-term and short-term investors. 、‘ KEY WORDS:  Symbolic Data Analysis，KMV model，Value Investing， Characteristics Analysis 目录 、 .，，_ 也‘ 、‘ 第一章引育.? ? .? .? ? ? ? ? ? ? .?