基于Hilbert-Huang变换的金融收益政策风险因子识别方法  

Identification Method of Policy Risk Factors in Financial Benefits Based on Hilbert-Huang Transform

作　　者：李祥飞[1,3] 沈书立 凯斯·布尔斯马 LI Xiang-fei;SHEN Shu-li;KEES Boersma(School of Management,Tianjin Polytechnic University,Tianjin 300072,China;School of Management and E-Business,Zhefiang Gongshang University,Hangzhou 300018,China;Faculty of Social Sciences,VU Univer-sity,Amsterdam,De Boelelaan 1081,Netherlands)

机构地区：[1]天津工业大学管理学院,天津300387 [2]浙江工商大学管理工程与电子商务学院,浙江杭州300018 [3]荷兰阿姆斯特丹自由大学,荷兰阿姆斯特丹DB1081

出　　处：《运筹与管理》2018年第8期127-134,共8页Operations Research and Management Science

基　　金：国家自然科学基金项目(71503178);基于TEI@I框架的中国房地产调控政策对市场波动的影响作用机制模拟

摘　　要：针对政策可能对金融收益产生风险问题,提出了基于Hilbert-Huang变换方法的政策风险因子识别检测方法。通过经验模态分解,Hilbert-Huang频谱分析得到金融时间序列的时域和频域特征,通过与量化处理后的政策进行匹配得到政策产生的异常波动情况,从而实现对政策因子风险的识别与处理。研究结果对于探究宏观政策对金融收益的影响具有重要参考意义。最后以国家房地产调控政策与地产指数为算例,发现本研究提出的方法识别精度高,具有非常好的应用前景。With respect to risk of financial gain from different policies, a policy risk factor identification method based on Hilbert-Huang transform is proposed. To begin with, we decompose the financial time series into several intrinsic mode functions which have different time scale features. Secondly, we restructure the intrinsic mode functions and form three basic components which reflect short fluctuation, medium-term change form and general tendency of the original series by using spectrum, power spectrum and T-test methods. In terms of the short fluctuation component, we get the abnormal volatility by calculating the frequency and time domain features of the series through empirical mode decomposition and the Hilbert spectrum analysis; in medium-term component respect, we quantize and simulate the policies shock by event-study analysis, and finally match the abnormal volatility with the quantitative policies and recognize the policy risk factors. The method is of important reference significance for analyzing the effect of regulatory policies on financial returns fluctuation. Finally the high precision and wide application prospect are illustrated by a numerical example with national real estate regulation policies and the fluctuation of real estate indexes.

关 键 词：政策风险 HILBERT-HUANG变换 金融收益 识别方法 

分 类 号：F293.3[经济管理—国民经济]