Applied Research Of Entropy Theory In Risk Measurement Of Securities

Following with the successful accession to the World Trade Organization at 2001,our social economy have achieved rapid development with this opportunity.At the same time,the securities market also have a constantly improvment through the development of the economy.As an important part of China's market economy system,the securities market plays an important role in China's market economy.Whether can the securities market run in an orderly healthy way will affect China's economic system and its healthily development.Therefore,the whole society has given a high degree of attention to the securities market.However,the existence of the limitations of our own development has made the securities market show a greater uncertainty,although our securities market has achieved a comprehensive and rapid development.For example,some securities suddenly rose or fell sharply at the trading day.The large volatility has a direct impact on investors' investment behavior in the securities market.It has expanded the indeterminacy of the investor's activities.Therefore,We need to measure the investment risk of China's securities market and control the uncertainty.Then we can understand the differences between the various stocks and give more help to the investors.Firstly,this paper introduces the related research of the securities risk in current stage of the academic field.Then this paper introduces the emergence and development of the risk measurement theory and the research work of the securities market risk measurement in the current research field from the domestic and international directions.Secondly,through the introduction of the entropy theory and its definition and properties,this paper presents the research of entropy theory in the field of risk measurement of modern stock market.Then this paper explains the idea of the entropy model and applied entropy theory to China's securities risk research field.In view of the shortcomings of the current model,we consider the correction of the entropy model and the degree of risk aversion of investors in investment activities and then we construct the risk measure entropy model.Take 495 stocks'daily closing price in The Growth Enterprise Market(GEM)From January 2006 to March 2017 as the empirical data,we get the risk ranking of the stocks by using the risk measurement entropy model.Finally we select a few stocks with lower risk and calculated the proportion of the corresponding stocks by constructing the portfolio model in order to provide some references for investors' securities investment behavior.