-
2012 6 15
______________________________________________________________________________________
1
/ VHSI
qVHSI
0
2
4
6
8
10
1/2001 1/2002 1/2003 1/2004 1/2005 1/2006 1/2007 1/2008 1/2009
1/2010 1/2011 1/2012
q
0
20
40
60
80
100
VHSI
q[SS]q[CP]VHSI
221 vq
call-put ratio1 1 short-sales ratio 1998 q risk-off q q
q q
q
-
2012 6 15
______________________________________________________________________________________
2
qVHSI2009:12:14-2012:6:8log (VHSI) = 1.4142 + 0.0554log (q[CP]
)
log (VHSI) = 1.3796 + 0.0253log (q[SS] )
10
100
1E-08 0.0000001 0.000001 0.00001 0.0001 0.001 0.01 0.1 1 10 100
q
VHSI
q
q q2009 q VHSI
2009:12:14-2012:6:8
0%
5%
10%
15%
20%
25%
30%
35%
40%
5 10 15 20 25 30 35 40 45 50 55 60 65 70 75 80 85 90 95 100
q[CP]q[SS]VHSI
20
6 25 q 50 80 q 100 boundary solution
q 2009 2001
2001 25 85 105 35 boundary solution
-
2012 6 15
______________________________________________________________________________________
3
VHSI2001:1:2-2012:6:8
112%
114%
116%
118%
120%
122%
124%
126%
128%
5 15 25 35 45 55 65 75 85 95 105 115 125 135
robustness
Robustness data mining data mining mining
50q[CP]
16,000
17,000
18,000
19,000
20,000
21,000
22,000
23,000
24,000
25,000
12/2009 3/2010 6/2010 9/2010 12/2010 3/2011 6/2011 9/2011
12/2011 3/2012 6/2012 77q[CP]
16,000
17,000
18,000
19,000
20,000
21,000
22,000
23,000
24,000
25,000
12/2009 3/2010 6/2010 9/2010 12/2010 3/2011 6/2011 9/2011
12/2011 3/2012 6/2012
-
2012 6 15
______________________________________________________________________________________
4
Data mining data mining robustness robustness check q check 50
80 plateau q
5
50 77 77 77 50 0.60 50 0.33 0.51 3.07 3.27
q> 1/q> q[CP] 3.07 3.27 0.33 0.51 50 2009:12:14-2012:6:8
35.45% q[CP] 3.07 3.27 0.60 77 2009:12:14-2012:6:8 41.75%
VHSI> 1/VHSI > VHSI 33.9 35.9 1.31 1.32 27
2009:12:14-2012:6:8 38.69% VHSI 76 87 84 2001:1:2-2012:6:8
126.62%
27VHSI
16,000
17,000
18,000
19,000
20,000
21,000
22,000
23,000
24,000
25,000
12/2009 3/2010 6/2010 9/2010 12/2010 3/2011 6/2011 9/2011
12/2011 3/2012 6/2012 >84VHSI
8,000
12,000
16,000
20,000
24,000
28,000
32,000
1/2001 1/2002 1/2003 1/2004 1/2005 1/2006 1/2007 1/2008 1/2009
1/2010 1/2011 1/2012
-
2012 6 15
______________________________________________________________________________________
5
50 q 35.45%27 38.69% 77 q 41.75%2011 Q3 q
q
33.9 35.9 27 1.31 1.32 76 87 85 0.84 85
data mining robustness 2009 2003
A AL-Physics scalar vector products 221 vq v q v 1:2
q
data mining 221 v
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