| 沪深两市股指时间序列突变点贝叶斯检测模型研究 |
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| 引用本文： | 隋学深,杨忠海.沪深两市股指时间序列突变点贝叶斯检测模型研究[J].商业研究,2007(2):41-43. |
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| 作者姓名： | 隋学深 杨忠海 |
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| 作者单位： | 1. 哈尔滨工业大学,管理学院,黑龙江,哈尔滨,150001
2. 南开大学,商学院,天津,300071 |
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| 摘 要： | 股指时间序列突变点的检测是股指波动规律研究领域中的一个重要问题。依据贝叶斯原理提出的突变点检测分析模型,用Matlab工具软件对该模型进行了仿真,并且在实证分析中应用该模型分别对上证综合指数和深证成份指数月度时间序列数据进行了突变点检测分析,准确地确定了两市的突变点,和相应的后验概率分布,并解释了突变点形成的经济和政策背景。
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| 关 键 词： | 突变点 股指时间序列 贝叶斯原理 |
| 文章编号： | 1001-148X(2007)02-0041-03 |
| 收稿时间： | 08 25 2006 12:00AM |
| 修稿时间： | 2006年8月25日 |
The Research on Bayesian Measure Model of Change Points in Shanghai and Shenzhen Stock Index Time Series |
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| SUI Xue-shen,YANG Zhong-hai.The Research on Bayesian Measure Model of Change Points in Shanghai and Shenzhen Stock Index Time Series[J].Commercial Research,2007(2):41-43. |
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| Authors: | SUI Xue-shen YANG Zhong-hai |
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| Institution: | 1. School of Management, Harbin Institute of Technology, Harbin, 150001, China ; 2. Business School, Nankai University, Tianjin, 300071, China |
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| Abstract: | The measurement of change points in stock index time series is an important issue in the stock index volatility research area. Based on the Bayesian theory, the paper puts forward a measurement model of change points and uses Matlab to imitate the model. By applying the model to Shanghai and Shenzhen Stock Index time series, the paper gets the change point precisely as well as the posterior probability distribution. This hdps to explain the background of economic and policy for the change points. |
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| Keywords: | change points stock index time series Bayesian theory |
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