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The Investigation of Multi-factor Time Series Method(PDF)

《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

Issue:
2003年03期
Page:
298-300
Research Field:
Publishing date:

Info

Title:
The Investigation of Multi-factor Time Series Method
Author(s):
FangZiliang GaoJun WangJunhui
School of Mechanical Engineering,NUST,Nanjing 210094
Keywords:
t ime series single-factor mult i-factor
PACS:
O211.61
DOI:
-
Abstract:
The thesis analyses the deficiency of pract ical use of single-factor of t ime series, and g ives the method of mult i-factor of time series by use of principle of multi-element linear re g ression. First use the method of single-factor of t ime series to forecase factors that af fect devel oping t rend in things, then use the method of mult i-factor of t ime series to synthesize factors and to acquire general developing trend in things. And use the two methods to the model of stock price analysis. Compare the two result s and f ind that the precision of multi-factor t ime series method was hig her than that of single-factor method.

References:

1   Fo x R, Taqqu M S. Large sample properties of parameter estimat es for strongly dependent station ary Gasuuian time ser ies[ J] . Ann Statist, 1986, 14: 517~ 532.
2  方子良. 时序法在股市行情技术分析中的应用[ J] . 南京理工大学学报, 1999, 23( 2) : 149~ 153.

Memo

Memo:
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Last Update: 2013-03-17