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基于滚动窗口马尔科夫链预测模型的股票指数波动情况研究
引用本文:许传河.基于滚动窗口马尔科夫链预测模型的股票指数波动情况研究[J].上海金融学院学报,2014(6):67-75.
作者姓名:许传河
作者单位:中国人民银行福州中心支行,福建福州350003
摘    要:文章运用基于滚动窗口的马尔科夫链预测模型,对上证综指的变动进行研究,创新地给出概率转移矩阵、极限概率以及预测准确率的时变特征,并首次给出马尔科夫链预测模型的最优窗口长度和状态定义阀值。研究揭示,大盘波动幅度与大盘的极限概率有着密切的关系;股指期货推出后大盘平盘概率占据主导地位,平稳性显著提高,马尔科夫链预测模型的预测准确率也有了较大提高。

关 键 词:上证综合指数  滚动窗口  马尔科夫链预测模型

Research on the Stock Index Volatility with the Markov Prediction Model based on Rolling Window
Abstract:This paper used Markov chain prediction model based on the rolling window, to predict the volatility of Shanghai Composite Index. We innovatively showed the time- varying characteristics of the transfer matrix, limiting probability and forecasting accuracy rate of the Markov Chain model. And for the first time, we gave the Markov chains forecasting optimal window length and the state definition threshold. Study revealed that, market volatility and market limit probability are closely related, and after the introduction of stock index futures the market fiat probability occupied the dominant position, the steady increased, and the Markov chain prediction accuracy had been greatly improved.
Keywords:Shanghai Composite Index  roiling window  Markov Chain Prediction Model
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