The Style and Structure of Chinese Stock Market in 2005∼2010: Based on Symbolic Principal Component Analysis

被引：1

作者：

Long, Wen ^{[1
]}

Cao, Dingmu ^{[1
]}

机构：

[1] Chinese Acad Sci, Grad Univ, Beijing 100190, Peoples R China

来源：

2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE) | 2012年

关键词：

interval data; SPCA; stock market; stock style;

D O I：

10.1109/BIFE.2012.87

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

By applying the symbolic principal component analysis (SPCA) on the empirical data of the CITIC style indices in six years (2005-2010), we studied the characteristics of Chinese stock market from multiple perspectives. Two components are extracted from five variables P/E ratio, NMC, turnover rate, return rate, and volatility and are defined as the market performance factor and the size factor. Further, drawing the run track of the six stock style portfolios and combining with the zoom-star plots of symbolic data, we find that the Chinese stock market is excessive speculated and bounded rational.

引用

页码：385 / 389

页数：5

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