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在非理性的现实市场,存在着大量的噪声交易者。据调查,中国A股市场散户数量占到80%左右。由于各投资机构获取信息的速度较快,成本较低,信息的不对称,造成短期内投资者的期望收率下降。本文试图利用模糊数学方法构建选股模型,进行信息甄别,选出具有中长期投资价值的牛股。根据EugeneFama提出的有效市场假说[1]。股票的价格反应了市场上可以获得的所有信息。因此,基于价值投资理念选出的牛股,必定在某些特定指标上反映出价格变动信息。由于具有较高收益率的股票,交易活跃,市场的投资情绪较高。本文通过建立模糊数学模型,依据个股的技术指标和市场经验,并考虑个股投资情绪等因素,选择合适的评价因子。并且利用熵值法对一些核心股票指标进行测量,为成长型股票评分,试图选择出收益率超过同期大盘指数的股票。最后,通过实证分析,检验模型的可靠性,给予投资者一定的投资建议。
In the irrational reality market, there are a lot of noise traders. According to the survey, the number of retail investors in China’s A-share market accounts for about 80%. As the investment institutions to obtain information faster, lower cost, asymmetric information, resulting in short-term decline in the expected yield of investors. This article attempts to use fuzzy mathematics method to build stock selection model, carry on the information screening, elects to have the medium and the long-term investment value Ushimata. According to EugeneFama proposed effective market hypothesis [1]. The price of the stock reflects all the information available on the market. Therefore, the Ushimata selected based on the concept of value investment must reflect the price change information on some specific indicators. Due to active trading in stocks with higher yield, the market has a higher sentiment in investment. This article through the establishment of fuzzy mathematic model, according to individual stocks technical indicators and market experience, and consider the individual investment sentiment and other factors, choose the appropriate evaluation factor. And using the entropy method to measure some of the core stock indicators for the growth of stock rating, trying to choose the rate of return over the same period the broader market index stocks. Finally, through empirical analysis, test the reliability of the model to give investors some investment advice.