一种新的绿色激励指标构建方法及其应用

张逸飞, 池文豪, 魏云捷, 孙少龙, 王珏

A Novel Approach of Green Incentive Index Construction and Its Application

Yifei ZHANG, Wenhao CHI, Yunjie WEI, Shaolong SUN, Jue WANG

表3 不同$\tau$下的GI指标在市场不同阶段的预测表现

牛市阶段 样本1 样本2 模型$^{(1)}$ RMSE MAE MAPE$^{(2)}$ Dstat$^{(2)}$ RMSE MAE MAPE Dstat $\tau=0.95^{(3)}$ SVR 61.01$^{(4)}$ 45.88 1.81 70.00 59.18 44.95 1.67 56.25 XGB 72.26 60.06 2.32 56.00 75.22 56.39 2.08 65.50 LGB 73.24 55.49 2.17 50.00 81.92 68.57 2.53 52.08 $\tau=0.90$ SVR 61.63 46.15 1.82 70.00 59.12 44.80 1.66 56.25 XGB 70.18 58.57 2.26 52.00 81.11 63.05 2.33 56.25 LGB 70.33 54.92 2.10 62.00 87.88 70.52 2.61 58.33 $\tau=0.85$ SVR 61.58 46.14 1.82 70.00 59.40 44.92 1.66 56.25 XGB 73.96 61.59 2.38 54.00 81.17 63.85 2.35 47.92 LGB 70.20 59.71 2.31 50.00 95.07 74.26 2.75 54.17 $\tau=0.80$ SVR 61.62 46.30 1.83 70.00 59.44 45.04 1.67 56.25 XGB 70.55 59.30 2.29 54.00 81.26 64.42 2.37 54.17 LGB 74.59 61.90 2.39 48.00 97.51 74.78 2.76 58.33 无GI变量 SVR 61.66 46.26 1.82 70.00 60.37 46.38 1.72 60.42 XGB 80.08 64.29 2.45 56.00 76.80 57.97 2.13 58.33 LGB 80.41 64.50 2.45 60.00 86.88 72.66 2.68 56.25 熊市阶段 样本1 样本2 模型 RMSE MAE MAPE Dstat RMSE MAE MAPE Dstat $\tau=0.95$ SVR 28.26 19.41 1.17 52.08 18.12 14.00 1.28 52.08 XGB 38.81 29.30 1.78 66.67 24.11 19.27 1.75 54.17 LGB 45.30 34.73 2.08 58.33 33.80 25.42 2.30 45.83 $\tau=0.90$ SVR 28.33 19.39 1.17 52.08 18.01 13.75 1.25 60.42 XGB 42.46 32.40 1.96 54.17 30.63 22.03 2.00 45.83 LGB 48.90 38.78 2.32 52.08 38.27 28.61 2.61 60.42 $\tau=0.85$ SVR 28.34 19.40 1.17 52.08 17.85 13.65 1.24 60.42 XGB 40.78 31.65 1.92 58.83 26.54 20.43 1.85 52.08 LGB 46.71 38.40 2.32 50.00 34.97 27.89 2.55 56.25 $\tau=0.80$ SVR 28.37 19.43 1.17 52.08 16.76 12.87 1.17 50.00 XGB 46.89 35.93 2.17 60.41 30.47 22.68 2.06 47.92 LGB 46.89 38.29 2.31 58.33 48.18 35.68 3.27 56.25 无GI变量 SVR 28.38 19.46 1.18 52.08 16.73 13.11 1.19 52.08 XGB 48.75 36.32 2.18 60.42 27.91 21.60 1.97 35.42 LGB 50.37 41.44 2.50 56.25 45.34 38.53 3.50 52.08 震荡市阶段 样本1 样本2 模型 RMSE MAE MAPE Dstat RMSE MAE MAPE Dstat $\tau=0.95$ SVR 20.49 15.98 0.89 50.00 19.92 14.93 1.22 45.83 XGB 23.01 18.50 1.03 50.00 23.51 19.10 1.55 52.08 LGB 24.63 17.99 1.00 54.17 26.57 20.64 1.67 60.42 $\tau=0.90$ SVR 20.47 15.93 0.89 50.00 19.98 14.93 1.22 50.00 XGB 22.40 17.98 1.00 52.08 23.15 18.28 1.49 50.00 LGB 22.97 17.39 0.97 58.33 25.76 20.38 1.66 58.33 $\tau=0.85$ SVR 20.48 15.95 0.89 47.92 19.96 14.92 1.22 50.00 XGB 22.45 17.22 0.96 58.33 23.66 17.82 1.45 50.00 LGB 24.40 19.18 1.07 60.42 27.03 20.43 1.65 56.25 $\tau=0.80$ SVR 20.48 15.96 0.89 47.92 19.96 14.91 1.21 50.00 XGB 22.11 18.05 1.00 47.92 23.14 18.35 1.49 52.08 LGB 22.74 17.13 0.95 64.58 25.76 20.63 1.67 64.58 无GI变量 SVR 20.50 15.96 0.89 47.92 19.98 14.93 1.22 50.00 XGB 24.86 21.47 1.19 45.83 27.29 20.81 1.69 52.08 LGB 28.96 23.07 1.28 47.91 30.76 23.83 1.93 52.08