数字货币市场的价格波动与风险管理研究
摘 要
本研究旨在深入分析数字货币市场价格波动的内在机制，并构建有效的风险管理框架。研究采用GARCH族模型对主流数字货币的波动率进行建模，结合VAR方法评估市场风险价值，同时引入机器学习算法对极端风险事件进行预测。实证结果表明，数字货币市场具有显著的高波动性和长记忆性特征，与传统金融市场存在明显差异；基于Copula函数构建的风险度量模型能够有效捕捉市场间的尾部相关性；提出的动态对冲策略在控制下行风险的同时提升了投资组合收益。本研究的创新点在于：首次将深度学习技术应用于数字货币市场的极端风险预测，开发了适应数字资产特性的新型风险管理工具，为监管机构制定相关政策提供了理论依据。
关键词：数字货币市场 价格波动 GARCH模型
Abstract
The study aims to analyze the internal mechanism of price fluctuation in the digital currency market and construct an effective risk management fr amework. The GARCH family model is used to model the volatility of the mainstream digital currency, the market risk value is combined with the VAR method, and the machine learning algorithm is introduced to predict extreme risk events. The empirical results show that the digital currency market has significant high volatility and long memory, which is significantly different from the traditional financial market; the risk measurement model based on Copula function can effectively capture the tail correlation between markets; the proposed dynamic hedging strategy improves the portfolio returns while controlling the downside risk. The innovation point of this study is that the deep learning technology is applied to the extreme risk prediction of the digital currency market for the first time, and a new risk management tool adapted to the characteristics of digital assets, which provides a theoretical basis for regulators to formulate relevant policies.
Keyword:Digital currency market price fluctuations GARCH model
目 录
1绪论 1
1.1研究背景与意义 1
1.2价格波动特征及其影响分析 1
2数字货币市场价格波动机制研究 1
2.1数字货币价格形成机制分析 2
2.2主要影响因素识别与量化 2
2.3价格波动特征实证研究 3
2.4与传统金融市场的比较分析 3
3数字货币市场风险测度方法研究 4
3.1市场风险类型与特征分析 4
3.2VaR模型在数字货币市场的应用 5
3.3GARCH族模型的风险测度效果评估 5
3.4极端风险测度方法创新研究 6
4数字货币市场风险管理策略研究 6
4.1机构投资者风险管理框架构建 6
4.2个人投资者风险控制策略优化 7
4.3监管政策对风险管理的影响分析 7
4.4智能合约在风险管理中的应用前景 8
5结论 8
参考文献 10
致谢 11
摘 要
本研究旨在深入分析数字货币市场价格波动的内在机制，并构建有效的风险管理框架。研究采用GARCH族模型对主流数字货币的波动率进行建模，结合VAR方法评估市场风险价值，同时引入机器学习算法对极端风险事件进行预测。实证结果表明，数字货币市场具有显著的高波动性和长记忆性特征，与传统金融市场存在明显差异；基于Copula函数构建的风险度量模型能够有效捕捉市场间的尾部相关性；提出的动态对冲策略在控制下行风险的同时提升了投资组合收益。本研究的创新点在于：首次将深度学习技术应用于数字货币市场的极端风险预测，开发了适应数字资产特性的新型风险管理工具，为监管机构制定相关政策提供了理论依据。
关键词：数字货币市场 价格波动 GARCH模型
Abstract
The study aims to analyze the internal mechanism of price fluctuation in the digital currency market and construct an effective risk management fr amework. The GARCH family model is used to model the volatility of the mainstream digital currency, the market risk value is combined with the VAR method, and the machine learning algorithm is introduced to predict extreme risk events. The empirical results show that the digital currency market has significant high volatility and long memory, which is significantly different from the traditional financial market; the risk measurement model based on Copula function can effectively capture the tail correlation between markets; the proposed dynamic hedging strategy improves the portfolio returns while controlling the downside risk. The innovation point of this study is that the deep learning technology is applied to the extreme risk prediction of the digital currency market for the first time, and a new risk management tool adapted to the characteristics of digital assets, which provides a theoretical basis for regulators to formulate relevant policies.
Keyword:Digital currency market price fluctuations GARCH model
目 录
1绪论 1
1.1研究背景与意义 1
1.2价格波动特征及其影响分析 1
2数字货币市场价格波动机制研究 1
2.1数字货币价格形成机制分析 2
2.2主要影响因素识别与量化 2
2.3价格波动特征实证研究 3
2.4与传统金融市场的比较分析 3
3数字货币市场风险测度方法研究 4
3.1市场风险类型与特征分析 4
3.2VaR模型在数字货币市场的应用 5
3.3GARCH族模型的风险测度效果评估 5
3.4极端风险测度方法创新研究 6
4数字货币市场风险管理策略研究 6
4.1机构投资者风险管理框架构建 6
4.2个人投资者风险控制策略优化 7
4.3监管政策对风险管理的影响分析 7
4.4智能合约在风险管理中的应用前景 8
5结论 8
参考文献 10
致谢 11
