负面财务信息对市场股价波动影响建模与仿真

Modeling and Simulation of Impact of Negative Financial Information on Stock Price Fluctuations

对企业的负面财务信息与市场股价波动间的关系进行建模,在提高企业经济安全方面具有重要意义。由于企业负面财务信息与股价波动之间有一定的线性关联,使得企业负面财务信息特征无法确定。传统的建模方法主要通过对负面财务信息特征进行定量权值分析,获取所需参数进行建模,忽略了股价波动对企业负面财务信息特征的不确定性对建模的影响,导致建模不准确,误差大的问题。提出一种新的负面财务信息对市场股价波动影响建模方法。通过对影响企业股价波动原因进行分析,获得企业股价波动特征,采用卡尔曼滤波法,获取企业负面财务信息与市场股价波动的联系。引入最小二乘准则,建立企业负面财务信息对市场股价波动影响模型。仿真结果证明,改进的建模方法可有效地证明企业负面财务信息与市场股价波动间的关系,提高了建模的精确度,具有一定的实用性。

Modeling of the relationship between the negative financial information of the enterprise and stock price fluctuations in the market has important significance to improve the enterprise economic security.Traditional modeling methods are mainly through quantitative weight analysis,which ignores the impact of the uncertainty characteristics of negative financial information on stock price fluctuations.A new modeling method for the effect of negative financial information on the stock price fluctuations in the market is proposed.Through the analysis of the reasons which influence the stock price fluctuations in the enterprise,the characteristics of stock price fluctuations in the enterprise are obtained.The Caiman filter method is used to get the relationship between the negative financial information of the enterprise and stock price fluctuations in the market.The least square criterion is introduced,and the model of the effect of negative financial information of the enterprise on stock price fluctuations is established.The simulation results show that the improved modeling method can effectively prove the relationship between the negative financial information of the enterprise and stock price fluctuations in the market,and improve the accuracy of modeling.