基于极值理论的“地量地价模型”的VaR计算和参数优化

Base on Extreme Value Theory of "Low Volume and Low Price Model" to Calculate the VaR and Parameter Optimization

极值理论在金融领域中被广泛用于风险度量.基于人们对投资历史经验的总结,设计了"地量地价模型",选取上证和深证A股为测试股票,利用极值理论对该模型进行VaR计算和参数优化,尝试为投资者的不同喜好寻求相对合理的买点.

In the filed of finance,the main application of extreme value theory is to measure extreme risk. Based on People＇s investment history and experience, designs the ＂Low volume and low price model＂, and select A-share of the Shanghai and Shenzhen stock for testing,the use of extreme value theory to carry out calculation VaR and parameter optimization,and try to find a relatively reasonable time to buy for dif- ferent preferences of investors.