累积剩余熵的若干基本性质及其在股票分析中的应用
The Basic Properties of Accumulated Residual Entropy and Its Application in Stock Analysis
DOI: 10.12677/PM.2018.81013, PDF,    科研立项经费支持
作者: 周 丹*：安徽工业大学数理科学与工程学院，安徽 马鞍山
关键词: 熵；累积剩余熵；风险度量；方差；Entropy； Cumulative Residual Entropy； Risk Measurement； Variance
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。
Abstract: 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.
文章引用：周丹. 累积剩余熵的若干基本性质及其在股票分析中的应用[J]. 理论数学, 2018, 8(1): 105-112. https://doi.org/10.12677/PM.2018.81013

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