摘要
在信息熵的基础上,我们进一步研究累积剩余熵的一些性质,并将累积剩余熵模型应用于风险度量中。再在实际应用中,选取8支股票,收集每日收盘价格数据,利用SPSS软件绘制累积剩余熵与标准差的关系图,得出累积剩余熵与标准差的线性关系,又因为累积剩余熵的适用范围比方差更广,即在度量风险中,累积剩余熵模型比方差更具有优势。
On the basis of information entropy, we further study some properties of the cumulative residual entropy, and the cumulative residual entropy model applied in risk measure. In practical applica-tions, the selection of eight stocks, collect the daily closing price data, using SPSS software to draw the cumulative residual entropy and the standard deviation of the diagram. It is concluded that the cumulative residual entropy and the standard deviation of the linear relationship, and because of the cumulative residual entropy of a broader scope than variance, namely in the risk measurement, the cumulative residual entropy model has more advantages than the variance.
作者
周丹
Dan Zhou(School of Mathematics & Physics Science and Engineering, Anhui University of Technology, Ma’anshan Anhui)
出处
《理论数学》
2018年第1期105-112,共8页
Pure Mathematics
基金
安徽工业大学研究生创新基金资助(2016137)。
关键词
熵
累积剩余熵
风险度量
方差
Entropy
Cumulative Residual Entropy
Risk Measurement
Variance
