| 金融安全背景下的证券市场稳定测度新方法——基于大数据支持向量机的市场预测与套利价值度量研究 |
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| 引用本文：欧阳天皓,卢晓勇.金融安全背景下的证券市场稳定测度新方法——基于大数据支持向量机的市场预测与套利价值度量研究[J].财经理论与实践,2019,(1):77-83 |
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| 中文摘要:我国证券市场经过数十年的发展，在不断的探索中渐渐成熟，但与发达国家的股票市场相比，还有不完善的地方。如我国证券市场的市值，并没有较好地与经济增长同比增长及契合实体经济的发展。通过研究2002-2017年的历史数据，使用支持向量机(SVM)预测证券市场的价格变化，通过误差统计分析，得出我国市场（上证交易所）与美国证券市场（纳斯达克综合指数）相比，更具不稳定性的结论。因此，可以利用套利价值（VaP）作为一种直观度量市场成熟度的参考指标。 |
| 中文关键词:套利价值 有效市场假说 支持向量机 证券市场 SVM VaP |
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| A New Method to Evaluate Stock Market's Stability Under the Background of Financial Security——Research of Value at Profit Evaluation and Prediction Based on Support Vector Machine with Big Data |
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| Abstract:Chinese stock market has opened for decades. It grows and conquers obstacles. But compare with sophisticated market in developed country, Chinese market has more to achieve. For instance, its market value does not match Chinese economic growth. This research surveys the trading data from 2002 to 2017, and using support vector machine to predict the index change. By statistical error analysis, this paper concludes: Shanghai Stock Exchange is less stable than Nasdaq; Value at profit (Vap) can be a straightforward approach to value the maturity/stable of a financial market. |
| keywords:Value at profit Efficient market hypothesis Support vector machine Stock market SVM VaP |
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