股票价格波动与分类算法改进--基于东方财富股价VaR的数据挖掘研究  

The Fluctuation of Stock Prices and the Improvement of Classifi cation Algorithm--Research on Data Mining Based on Dongfang Fortune Stock Price VaR

作　　者：吕双爻 宋雨芬 LV Shuangyao;SONG Yufen(Zhejiang Gongshang University Hangzhou,Zhejiang 310000;Liaoning University Shenyang,Liaoning 110036)

机构地区：[1]浙江工商大学,浙江杭州310000 [2]辽宁大学,辽宁沈阳110036

出　　处：《中国商论》2023年第14期109-112,共4页China Journal of Commerce

摘　　要：当前,金融业发展日趋全球化、多元化,金融业内部业务相互渗透、交叉,国际资本之间相互合作与竞争,我国的券商发展环境正发生巨大变化。东方财富以互联网金融数据服务为基础,整合券商、基金、期货等资本市场业务,颠覆传统证券服务业,现已成为中国最大市值证券机构。基于此,本文以2021年12月20日至2022年12月20日东方财富整年的股票数据为例,基于排序法计算VaR,并基于定义每日违约情况,运用Logit、SVM、NNET、Decision Tree、KNN等非机器学习和机器学习五种方法对东方财富股价进行分析,探究各变量对违约率的影响。At present,the development of thefinancial industry is becoming increasingly globalized and diversified;the internal business of thefinancial industry is interconnected with each other;international capitals are cooperating and competing;the environment for the development of China’s securities is undergoing great changes.Based on the Internetfinancial data service,Oriental Fortune integrates capital market businesses such as securities,funds,futures,etc.,subverts the traditional securities service industry,and has now become the largest market capitalization securities institution in China.Based on this,this paper takes the stock data of Oriental Fortune for the whole year from 20 December 2021 to 20 December 2022 as an example,calculates the VaR based on the ranking method,and analyses the stock price of Oriental Fortune based on the definition of daily defaults by usingfive methods of non-machine learning and machine learning,such as Logit,SVM,NNET,Decision Tree,and KNN,to explore the influence of variables on the default rates.

关 键 词：VAR 排序法 分类算法 风险评估 股价预测 

分 类 号：F832[经济管理—金融学]