摘要受经济全球化、金融一体化、金融创新等因素的影响，目前国内金融市场飞速发展。其中，证券市场是金融市场的重要组成部分。随着中国金融体制的改革和中国证券市场的发展，股票、债券、基金、期货、期权等多种证券投资工具不断涌现，直接影响我国经济的发展、企业融投资决策以及个人投资理念的变化。证券市场是一个高风险、高回报的资本市场，要想在证券投资市场获取较高的投资收益，就需要投资者根据变化多端的市场情况做出理性的决策。理性的决策需要运用科学的投资分析方法进行分析。82516

在中国，证券市场正处于一个迅猛发展的阶段，但随之而来的是一系列的“后遗症”，市场呈现出前所未有的波动性，风险问题也尤为突出。所以对证券市场存在的风险进行科学的监控、规范的管理是非常重要且必要的。然而，以股票为例，中国股票市场具有其特殊的国情因素，在其风险管理领域，完全照搬国际风险管理方法是行不通的，而当前的中国股票市场又缺乏现代化、科学化、系统化的风险管理手段。因此，设计一套符合我国国情的，高效、准确的股票风险度量和管理方法势在必行。对稳定我国金融秩序，促进经济发展都有十分重要的意义。

本文尝试使用熵模型对股票投资进行管理，通过将股票的收益分为若干个区间，记录每支股票日收益率落在这些子区间内的频率作为股票收益的状态概率，计算每支股票的熵值，通过熵值来评判这支股票的收益是否稳定，风险状况是否有异常等等，对股票的风险进行系统的管理。

实际的验证表明，当子区间到达一定数量时，熵值会趋于稳定，基本达到预想状态。由此可见熵模型对于股票度量具有良好的表现，对于股票收益的风险反应敏感、准确。

本研究对股票市场的风险度量、股票收益的稳定与否、投资者如何选取股票都有较好的实际应用价值。

毕业论文关键词：熵模型、风险度量、投资收益、实证检验

ABSTRACT By the economic globalization, financial integration, financial innovation and other factors, the current rapid development of domestic financial markets。 Among all of them, the securities market is an important part of the financial market。 With the reform of China's financial system and the development of China's securities market, stocks, bonds, funds, futures, options and other securities investment tools continue to emerge, a direct impact on China's economic development, corporate financial investment decision-making and personal investment philosophy changes。 The securities market is a high-risk, high-return capital market。 In order to obtain higher investment returns in the securities investment market, investors need to make rational decisions based on changing market conditions。 Rational decision-making requires the use of scientific investment analysis methods for analysis。

In China, the securities market is in a period of rapid development, but with a series of ‘sequelae’, the market has shown an unprecedented volatility, the risk is particularly prominent。 So the risk of the stock market to conduct scientific monitoring, standardized management is very important and necessary。 However, the stock as an example, the Chinese stock market has its own special factors, in its risk management field, fully copy the international risk management approach is impracticable, and the current Chinese stock market and the lack of modern, scientific and systematic Risk management tools。 Therefore, the design of a set of consistent with China's national conditions, efficient and accurate stock risk measurement and management methods is imperative, Which is of great significance to stabilize China's financial order and promote economic development。