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| 基于Copula函数的股票相关性分析系统的设计与实现 | |
| 引用本文： | 郑娟,高慧敏,王筱萍.基于Copula函数的股票相关性分析系统的设计与实现[J].嘉兴学院学报,2012,24(3):42-47. |
| 作者姓名： | 郑娟 高慧敏 王筱萍 |
| 作者单位： | 1. 太原科技大学计算机科学与技术学院,山西太原,030024 2. 嘉兴学院机电工程学院,浙江嘉兴,314001 3. 嘉兴学院商学院,浙江嘉兴,314001 |
| 基金项目： | 山西省自然科学基金，山西省回国留学人员科研资助项目，山西省软科学项目 |
| 摘 要： | 以Copula函数为分析资产收益率相关性的依据,使用MATLAB与VC混合编程的方法,设计并实现了基于Copula函数的股票相关性分析系统.该系统能根据股票收益率自动选择较优的金融时间序列模型,并且可以根据不同Copula函数的特点,自动选择与股票间相关性拟合较好的Copula函数,从而定量地计算股票间相关性参数.该系统操作简单、方便,可以为风险投资决策者提供很好的决策支持. |
| 关 键 词： | 相关性 Copula函数 股票分析系统 |
Design and Implementation of Stock Correlation Analysis System based on Copula Function |
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| ZHENG Juan , GAO Hui-min , WANG Xiao-ping.Design and Implementation of Stock Correlation Analysis System based on Copula Function[J].Journal of Jiaxing College,2012,24(3):42-47. | |
| Authors: | ZHENG Juan GAO Hui-min WANG Xiao-ping |
| Institution: | 1.School of Computer Science and Technology,Taiyuan University of Science and Technology,Taiyuan,Shanxi 030024;2.School of Mechanical and Electrical Engineering,Jiaxing University,Jiaxing,Zhejiang 314001;3.School of Business,Jiaxing University,Jiaxing,Zhejiang 314001) |
| Abstract: | With the Copula function as the basis for analyzing the correlation of asset return,we designed a stock correlation analysis system,and realized the system by mixing MATLAB and Visual C++.According to the stock return,the system can automatically select a better financial time series model,in line with the characteristic of different Copula function,a better fitting Copula function can be automatically selected,then the related correlation parameters can be calculated.This system is user friendly and provides a powerful decision support for risk investment. |
| Keywords: | correlation Copula function stock analysis system |
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