| 基于状态转移模型的我国股指期货走势预测方法 |
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| 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. |
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| 作者姓名： | 丁岩 |
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| 作者单位： | 电子科技大学,成都,610054 |
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| 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。
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| 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. |
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| Authors: | Ding Yan |
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| Institution: | Ding Yan(University of Electronic Science and Technology of China,Chengdu 610054,China) |
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| 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. |
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| Keywords: | regime switching model stock index futures Markov chain |
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