基于Copula函数的沪市资金流强弱指数相关性研究

Study of Correlation of the Shanghai Stock Fund Flow Strength Index Based on Copula Method

选取2014.05.05到2014.10.24沪市股票每日分笔数据,基于Copula连接函数对沪市资金流强弱指数相关性进行讨论。确定随机变量分布情况,通过二元频数、频率直方图的图形特征选出合适的Copula函数类型,同时确定出Copula函数的具体表达形式,并通过了Q-Q图检验。研究显示,Gumbel Copula函数可以很好描绘沪市资金流强弱指数两两之间上尾相关性结构特征。

Using half-year period tick-by-tick transaction data from shanghai stock markets, this paper discusses correlation of the Shanghai stock fund flow strength index based on Copula method. The distribution of random var- iables was determined and the appropriate copula connection function types were chosen from the dual frequency and the dual frequency histograms. Copula connect function was determined by parameter estimation method of ex- pression. And it passed the tests of Q-Q figure. Results show that Gumbel copula connect function can well de- scribe Shanghai Stock Fund Flow strength index the tail correlation between of two structure.