線性預估參數倒頻譜法與瞬時相位於危機過後之計量與金融研究

2008 年9 月美國所引發的次級房貸風暴, 其影響導致全球難以想像的金融危機, 造成許多國家內, 大大小小的銀行、金融機構或相關企業等相繼倒閉。因此, 本研究便希望藉由線性預估參數倒頻譜系數方法(LPC cepstrum), 計算不同股票市場倒頻譜係數差的距離, 探討不同市場間於金融危機前後的相似度; 另一方面, 加入希爾伯特黃轉換法(HHT), 萃取出最能代表原資料特性的本質模態函數(IMF), 以瞬時相位與瞬時相位差的概念, 分析國內外股市交易價之金融時間序列資料於金融危機發生後的變化特性, 並進一步探討哪一股票市場具有較大影響力。期望能提供國內外投資者在進行股票投資策略上, 或是政府經濟政策決定者處理金融危機上一個參考的方針, 避免危機擴大或是相同的金融危機事件再度發生。

關鍵字

線性預估參數倒頻譜法, 希爾伯特黃轉換法, 瞬時相位, 瞬時相位差, 結構性變動

並列摘要

In September, 2008 caused the United States subprime mortgage crisis, its impact is difficult to imagine the causes of global financial crisis. Caused many countries, large and small banks, financial institutions or related enterprises have been closed down. Therefore, in this study, we hoped to use the method of Linear Predictive Coding cepstrum(LPC cepstrum) method, calculating of cepstrum coefficients of different stock market square of the difference, and to explore different market of similarity before and after the financial crisis; On the other hand, we use the Hilbert-Huang Transform(HHT) to extract the most representative characteristics of the original data of intrinsic mode functions (IMF). Finally, we analyzed the changing of the characteristics of financial time series data of stock market trading price of domestic and international on the financial crisis to the concept of instantaneous phase and instantaneous phase differences, and to further explore the stock market which has great influence. We expected to provide domestic and foreign investors during the stock investment strategy, or the government’s economic policy makers dealing with the financial crisis on the principle of a reference to avoid the same crisis, expanding or recurrence of the financial crisis once again.

並列關鍵字

LPC cepstrum, Hilbert-Huang transform method, Instantaneous phase, Instantaneous phase differences, Structural changes

參考文獻

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線性預估參數倒頻譜法與瞬時相位於危機過後之計量與金融研究

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