基于状态空间的创业板上市公司现金流风险动态预警研究  

Dynamic Early Warning of Cash Flow Risk of Listed Companies on the Growth Enterprise Market based on State Space Model

作　　者：肖全芳[1] 王一安 XIAO Quanfang;WANG Yian(Wuhan University of Technology,Wuhan 430070,China)

机构地区：[1]武汉理工大学

出　　处：《科技创业月刊》2019年第8期17-23,共7页Journal of Entrepreneurship in Science & Technology

摘　　要：以创业板上市公司为研究对象,从经营、投资和筹资3个维度设计创业板上市公司现金流风险三维监测指标体系;利用主成分分析法测度创业板上市公司现金流风险监测指数。基于状态空间模型构建创业板上市公司现金流风险动态预警模型,利用卡尔曼滤波算法对模型进行不断修正拟合后实现对系统状态的最优估计。该预警模型运用于创业板中具有代表性的软件和信息技术服务业上市公司,结果显示状态空间模型得到最优估计值与公司实际情况基本相符,充分表明该预警模型是可操作和有效的,具有广阔的应用前景。Cash flow is the"blood"of enterprises,and it is also an important prerequisite for sustainable development of enterprises.This paper takes GEM listed companies as the research object,and designs the cash flow risk monitoring indicators of listed companies on GEM from the three dimensions of operation,investment and financing.The system uses principal component analysis to measure the cash flow risk monitoring index of listed companies on the GEM,and further constructs a dynamic early warning model of cash flow risk of listed companies on the GEM based on the state space model,and applies the model to the listed companies on the GEM.The results show the state space model.The optimal estimation value is basically consistent with the actual situation of the company,which fully indicates that the early warning model is operational and effective.

关 键 词：状态空间 现金流风险 动态预警 创业板 

分 类 号：F275[经济管理—企业管理]