重庆理工大学学报（自然科学版）Issue(8)：126-131,6.DOI:10.3969/j.issn.1674-8425(z).2014.08.026
高频数据下基于VaR模型的我国金融市场研究
Study on the High Frequency Data of the Financial Market in China by Using the VaR Method
摘要
Abstract
With the rapid development of storage and computing technology,high frequency data with real-time transaction acquisition market become true.In order to study the relations between the two major domestic financial market,we choose two stocks named as“Changjian zhengquan”and “Bao’ an dichan”from Shanghai market and “Hushen 300”from Shenzhen market.Monte Carlo simulation method,extreme value and historical simulation method will be selected to analysis each of the above three stock,then tested the failure rate.The results show that there is no remarkable difference be-tween Chinese two financial market;the historical simulation method and Monte Carlo simulation method is not effective for risk estimation;extreme value theory can effectively measure the risk of do-mestic high-frequency Market.关键词
历史模拟法/蒙特卡洛模拟法/在值风险(VaR)/极值理论Key words
historical simulation method/Monte Carlo simulation method/value at risk(VaR)/ex-treme value theory分类
数理科学引用本文复制引用
魏正元,霍艳,李文..高频数据下基于VaR模型的我国金融市场研究[J].重庆理工大学学报（自然科学版）,2014,(8):126-131,6.基金项目
重庆市自然科学基金资助项目（cstc2012jjA00018）；重庆市教委科学技术研究项目（KJ130810）；重庆市教委高教研究项目 （）
