MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 TRƯỜNG ĐẠI HỌC BÁCH KHOA TP. HCM KHOA KHOA HỌC ỨNG DỤNG BỘ MÔN TOÁN ỨNG DỤNG MÔN HỌC : TÍNH TOÁN HÌNH THỨC NÂNG CAO ADVANCED FORMAL CALCULATION TIỂU LUẬN MỘT NGHIÊN CƯ ́ U VÊ ̀ SUY THOA ́ I TRONG THI ̣ TRƯƠ ̀ NG CHƯ ́ NG KHOA ́ N MALAYSIA A STUDY OF STRUCTURAL BREAKS IN MALAYSIAN STOCK MARKET HỌC VIÊN : TRẦN MINH THẾ - MSHV : 90924006 BÙI HOÀNG TÚY- MSHV : 10241118 TP. HCM, Tháng 1 năm 2011 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO TIỂU LUẬN MỘT NGHIÊN CƯ ́ U VÊ ̀ SUY THOA ́ I TRONG THI ̣ TRƯƠ ̀ NG CHƯ ́ NG KHOA ́ N MALAYSIA A STUDY OF STRUCTURAL BREAKS IN MALAYSIAN STOCK MARKET GVHD : TS. NGUYÊ ̃ N VĂN MINH M ̃ N HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 Tháng 1 năm 2011 HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO MỤC LỤC Tóm tắt 1. Giới thiệu   !"##!#$%#&!'  ()*%+!, "#&#&!!' -./01231&4 -56&7  -89!!0$:;<= --89!0)*%+!,  >./&4 ?@1$ Tài liệu tham khảo HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO TO ́ M TĂ ́ T 36A$B)CDE!/2! F@+GE!HIJE2&2%4DK/ L2*2/0@$2,,&2 /01MM12*N*!M *M3O2O2H!P%Q/4R$ OR1A!1$ST!L.?U ( #.&?$$!#U%#V' MW!&!6A$XYY2ZZ[ /4BC&2!P%Q$6 /N/&2&C0/0!\)E0 2]OV!S7E1AM%^$ /NO7OS_1@ 3/4D&20%+!,$F @O/OK!P%Q$!,Q!`DA &Ga&29@1 9*'2B!LC$E 0$'5,bH,7*V$! %6&7Lcb&2!d!!/01e/421&4E6 &/2OS&M$F/4 !L/01!dO2OK!L 1.  36A$B)b 2CD2* 2 /+4 CDMfE!/Sb42O/ F@2*W*A*$2f0)$bf,6 20!@V1F@2*g6bOK #%h*A*@VCb2CDf!d C$E$F2,V1&0 2%7EB)M$!1$Sb)*O \&)%2299@D,$SWi##2 j ZZk' W2/2!dV#$V]!lGM/N!MT!L.& ?$$!# .?U'eW!&!T!L.?U&2T!L9@D 2BGW!&!2O/M,$!Nd O`2B2O&mnA$XX[b!L&/2BGC T!L.?U+\G`$DZZ!L*%QE6!72&29 HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO @D/\!Q1$2A$X[YbT!L.?Ua10 $!!1$&\/2E7A$XXYM1\T !L.?Ua+O91`3@!@_!QbT!L.?U!dA 9\`293S1!72S1A SV1.?U&9!PFT!Ln$/01b,$ *LC2fS!7%7M!1$ST!L.?Ub!P %Q (    B  C  &2  !P  %Q  $       l  0  ##!!#' :;<='2D&20O/ %+!, "#&#' o3'l0//R$OR6 OS@FG%6&7:;<=19&2$0 pC0!JE2,q&2!%6 /N/2&C00!00V !S2]O7E1A%^$/ NO7OS_1@5,b!/&2 +V1 /2V!S2f&2V!S?/ MV!S&2fV9$V!S$2/V1G$F $@N2QJE2]%6&7 ,*Sbr&7 3b%+!,,$*Ss,sE7B!LSRMb tG*7G$@22$O73*S2S$Q $!9F(2^u$F G%7O`$!LDA%+!,b/$&G+/ $ $!L2$!,&Ga&29@1 9*'2B!L 0$'C$E5,bH,7*V$! %6&7  QG6$l02)*%+!, (B-O2/01CD21&4E/01 (B>&2,$R2/&4  3B2H!d$\7RfE$ l02)*%+!, HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO  !"#$%&'( !"##!#$%#&!' 3B2HV#$V]$0l0O/b<=, /H$`$@Mg$&4 2$!/@OK]O2! l@0/O/V#$V]&2rL2 5,b$$l0 :;<='M/\ $0l0<=!v ( ) ( )( ) )1( 1 t p i itititt usysy +       −+= ∑ = −− µαµ ( ) ( ) tt sdiiu 2 ,0 ~ σ 2,1,, ∈== − jiisjs itt W/ t s 2 it s − &26O//0!b69MN 2/6/09O`$0BCD !v ( ) 111 1|1 pssP tt === − ( ) 11121 12|1 ppssP tt −==== − ( ) 22211 11|2 ppssP tt −==== − (2) ( ) 221 2|2 pssP tt === − w\ 1 22211211 =+=+ pppp 019&2&,V!SOK2 L1$SQ/!dlG ( 'f&2V!S/2,&2$K!L&2&4E@ b @OSO/'JE2,q&2V!S6/ Q202%2/2$/S9 MQ@\&!L$&2L,DA &;&#&%2!,!P%Q!L2,6!&4&f2 &2$$9O//0!3C2`C OS&!L&!L\*A3@@ 2b4fL x'!P%Q.y42ORB\ \*OBM/D0!bO/2&N&N&GG $)L$\%$2AV!SM%6&70! gO\f&2_f2L,O\4x,EN *$$L+C`g$& XXZbXX-bXX>'2.$2n#&! XXX' HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO )*+,-./ "#&#&!!' DAO1M)*%+!,V)%0 )&l$DA$`!P%Q)* =<'JL\$1 /$1&& XX['25O##! XX'$%z%2CDG .${U!$& ZZ['JL\$*7 0 c b)*%+!,M, , |o3',7O` bA$XX}5O##! A$XX}&&bXX['v ∑ = −− = N m mjkmkj chc 1 ,12, (3) ∑ = −− = N m mjkmkj cgd 1 ,12, (4) hoă ̣ c viê ́ t đơn gia ̉ n như : 1 * − = jj cHc va ̀ 1 * − = jj cGd 3@2%\T!LG%7M2BO9)2%e *7OB 0 c O`O/"#&# { } Zk k hH ∈ − = * 2 { } Zk k gG ∈ − = * &2)*%+ !,@GD\2$~ V'2DA)•$€ V'b2 •bbb‚  ‚G%7L$Dƒ0$M%6&7 nG%7E%2M# 1 − j c *%Qb%2M%6&7b,n•Z>•Zb b@2‚•Z' 3bO/M*7%+!, 0 c ,q&2/01 *7 1 c  f&2 @GN0$VSVT7!L'2 1 d  f&2%+!,@G N7!L'&2bDb 0 c \O&fCO7g„2…„#*SM s5"!$&O†sO&f/2O&f$G,&C0OK !)v 5O##!bA$XX}&&bXX['v ( ) kN k k hg − −= 1  k' n6*7OB 0 c \E%2n,Ge7!L0$ j c 7!L%+!, j d b#&GM7!P%Q|o391 U|o3' ∑∑ = +− = +− += N m mjmk N m mjmkkj dgchc 1 ,12 1 ,12,  ‡' HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO N1&2/&2 11 ++ += jjj GdHcc 3@g2…&2O&f&C MO&fg„ 2…„3*bi2%i1#!O`$ s!$&O`/Ls\!LC$26$FOCG/LM # V#$:{nz XX‡'O/C$/E)2&f\/L M,&I/"#&#' )*2/O2`C&26*7] %6&7%O/%+!,,1A6&G$r&7&\MA& M*77!L0$`S)1i3@ T$!L*7!L!,B/,701G%7*7 OB\r&7]L J)&2&/*M!P%QO/%+!,]%6&7JV9 7!LC6&Gbˆ!P%Q,lG !&fMD&2ˆbˆD2$E$ˆJL\ /&^V#$g%&##& XX['b<%!#& XXX'b5{ ‚!# XX>bXXk'b.$#& ZZ['b.$U!$&{ ZZ['b=#!††{o#&&! XX['2gG$wA ZZ['JL\%6&7]bˆD!P%Q $QC*&2&GOu7!Lu 3D&2b7!L/' 01%232(45 (B2ORBOK$$1M%6&7:,HS !7%7MS!P%Q$ 2*%+!,  LcbH!!/01e 0674 !L&7E2T!L.?UeW!&!…G&4% %6&72&2e…CXYY/3A$ZZ[\-[> 0!&GT!L.?U)*&4b,&2!O7BC M4C)\ZZ76Er&7BA$E H!P%Q%^&42O`H19K! /,0!Sh20@/%6&7 !P%QB!LS HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO H+D$E2OKd$&G12 g' 3H01&I7C`&G&\`A$X[Y2XXY 3*A2S/V16G2 089.:.( %; !<=>? !L\*;:<= '$!P%QL1A* 04;xO2O1n+CCO1b \*:;<= '$2V9!O7/L\ !`&GMT!L.?UJE2S!M%^!d`&G /6//BCR$OR2MT!L.?U! GN$9@9\O/ XbX‰'2S 2 C'!d`&G ;b>‰'3/Db,&2&CQE2&C /  \  %  /  !d  0  `  &G    b‰'  2  O/    S     =x3j=n.?U HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO >b‰'/2,$1\2\$2T!L.?U G$`NO&&9@ g6bV!S`/2b2(&2ZbX>kX2ZbX[->D \@%/`/bx5:3•&2[2@%/` /bx5:3•&2‡Z,m@%/&2/ &2&)/,q&2T!L.?U&G`&G`&G&)6/ !\/JE2TKT,$!7S, 2&Ge///bNe$9@  A/$99 @  HV : TR ̀ N MINH THÊ ́ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 [...]... Press: Princeton Hardle, W., Kerkyacharian, G., Picard, D and Tsybakov, A (1998) Wavelets, Approximation and Statistical Applications Lecture Notes in Statistics, Volume 129 New York: Springer Karim, S .A. A, Ismail, M.T and Karim, B (2008) Denoising Non-Stationary Time Series using Daubechies Wavelets.Seminar Kebangsaan Matematik & Masyarakat (SKMM), UMT Terengganu 13-14 February 2008, Grand Continental Hotel,... Hotel, Kuala Terengganu (In CD) Karim, S .A. A and Ismail, M.T (2008) Wavelet Method in Statistics In Proceedings of the Sixteenth National Symposium on Mathematical Sciences, 3-5 Jun 2008 at Hotel Renaissance, Kota Bharu, Malaysia Kim, C J and Nelson, C R (1999) State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications MIT Press: MIT Mallat, S (1989) A theory of multiresolution... hiện Tài liệu tham khảo Antoniadis, A (1997) Wavelets in Statistics: A review Journal of Italian Statistical Society, 6, 97-130 Banarjee, A and Urga, G (2005) Modelling Structural Breaks, Long Memory and Stock Market Volatility: An Overview Journal of Econometrics, 129, 1-34 Chui, C.K (1992) An Introduction to Wavelets Academic Press, New York Daubechies, I (1992) Ten Lectures on Wavelets Vol 61, CBMS-NSF... Appl Math., Society for Industrial Applied Maths (SIAM), Philadelphia, PA HV : TRẦN MINH THẾ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO Donoho, D L and Johnstone, I M (1994) Ideal Spatial Adaptation by Wavelets Shrinkage Biometrika, 81, 425-455 Donoho, D L and Johnstone, I M (1995) Adapting to Unknown Smoothness via Wavelet Shrinkage Journal of American Statistical... multiresolution signal decomposition: the wavelet representation IEEE Trans Pattern Anal.Machine Learn 11(9): 674-693 Resnikoff, H L and Wells, R O (1998) Wavelets Analysis: A Scalable Structure of Information Springer-Verlag, New York Strang, G and Nguyen, T (1996) Wavelets and Filter Banks Wellesly-Cambridge Press, Massachussets, Wellesley Serwer, A and Sloan, A (2008) The Price of Greed Time, 172(12),... American Statistical Society, 90, 1200-1224 Hamilton, J D (1990) Analysis of time series subject to changes in regime Journal of Econometrics, 45: 39–70 Hamilton, J D (1993) Estimation, inference and forecasting of time series subject to changes in regime Handbook of Statistics 11, ed G.S Maddala, C R Rao, and H D Vinod, North-Holland: Amsterdam Hamilton, J D (1994) Time Series Analysis Princeton University... 172(12), 18-23 (September, 29) Van Fleet, P J (2008) Discrete Wavelet Transformation: An Elementary Approach with Application New Jersey, John Wiley & Sons.165 HV : TRẦN MINH THẾ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO HV : TRẦN MINH THẾ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO HV : TRẦN MINH THẾ – MSHV : 90924006... Mỹ với kinh tế Mỹ đang chậm lại Hơn n a vì điều này một cuộc khủng hoảng c a Hoa Kỳ chính tổ chức tài chính Lehman Brothers a nộp đơn xin phá sản vào tháng 9 năm 2008 4 Kết luận Trong bài báo này chúng tôi a thảo luận về hai phương pháp hiệu quả nhất để nghiên cứu sự phá vỡ cấu trúc ban đầu chuỗi thời gian (KLCI) là áp dụng mô hình Markov, phương phân tích dãy sóng Về cơ bản chúng ta có... đến kinh tế c a Malaysia Như a thảo HV : TRẦN MINH THẾ – MSHV : 90924006 BÙI HOÀNG TÚY – MSHV : 10241118 MÔN TÍNH TOÁN HÌNH THỨC NÂNG CAO luận bởi Serwer và Sloan (2008), cuộc khủng hoảng bắt đầu vào đầu năm 2007 vì các khoản thế chấp được đ a ra dễ dàng cho người tiêu dùng ở Mỹ và nhà đầu tư quốc tế đầu tư vào nhà ở và chứng khoán ở Mỹ Các đầu cơ c a người đầu tư a dẫn đến sự sụp đổ c a hệ... trúc xảy ra tại thời điểm đề cập ở trên lại với nhau ở những người gần đây nhất năm 20072008 (khủng hoảng kinh tế toàn cầu hiện nay) Khi chúng ta nhìn vào các chi tiết c a cuộc khủng hoảng kinh tế toàn cầu 2007-2008, chúng tôi thấy rằng cuộc khủng hoảng này bắt đầu vì c a suy thoái kinh tế ở Mỹ Như Hoa Kỳ là đối tác thương mại chính c a Malaysia và nhiều nước khác, bất cứ điều gì xảy ra cuộc khủng . Springer. Karim, S .A. A, Ismail, M.T. and Karim, B. (2008). Denoising Non-Stationary Time Series using Daubechies Wavelets.Seminar Kebangsaan Matematik &. TRONG THI ̣ TRƯƠ ̀ NG CHƯ ́ NG KHOA ́ N MALAYSIA A STUDY OF STRUCTURAL BREAKS IN MALAYSIAN STOCK MARKET HỌC VIÊN : TRẦN MINH THẾ - MSHV : 90924006 BÙI HOÀNG