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| 基于状态转移模型的我国股指期货走势预测方法 | |
| 引用本文： | 丁岩. 基于状态转移模型的我国股指期货走势预测方法[J]. 价值工程, 2011, 30(17): 131-132 |
| 作者姓名： | 丁岩 |
| 作者单位： | 电子科技大学,成都,610054 |
| 摘 要： | 文章应用马尔科夫状态转移模型,假定股指期货收益服从正态分布,将中国内地股指期货品种IF1103收益分为三个状态,发现80%的收益都很平稳,波动不大,且持续时间长,少数收益波动很大,持续时间很短,这与实际基本符合。 |
| 关 键 词： | 状态转移模型 股指期货 马尔科夫链 |
Prediction of Stock Index Futures of China Based on Markov Regime Switching Model |
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| Ding Yan. Prediction of Stock Index Futures of China Based on Markov Regime Switching Model[J]. Value Engineering, 2011, 30(17): 131-132 | |
| Authors: | Ding Yan |
| Affiliation: | Ding Yan(University of Electronic Science and Technology of China,Chengdu 610054,China) |
| Abstract: | In this paper,we use Markov regime switching model to assume stock index futures gain follow normal distribution,divide Chinese mainland stock index futures IF1103 income into three states and find that 80% of the revenue is very stable,volatility is low and keeps long duration;a few yields have great volatility and the duration is very short,which match the reality basically. |
| Keywords: | regime switching model stock index futures Markov chain |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |