[1]冯予,陈萍.非线性时间序列分析在股市行情预测中的应用[J].南京理工大学学报(自然科学版),1998,(01):86-89.
　Feng Yu Chen Ping.Application of Nonlinear Time Series Analysis in Precidiction of Stock Idex[J].Journal of Nanjing University of Science and Technology,1998,(01):86-89.
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非线性时间序列分析在股市行情预测中的应用()
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《南京理工大学学报》（自然科学版）[ISSN:1005-9830/CN:32-1397/N]

卷:
期数:
1998年01期
页码:
86-89
栏目:
出版日期:
1998-02-28

文章信息/Info

Title:
Application of Nonlinear Time Series Analysis in Precidiction of Stock Idex
作者:
冯予; 陈萍
南京理工大学理学院, 南京210094
Author(s):
Feng Yu Chen Ping
School of Sciences, NUST, Nanjing 210094
关键词:
预测;  阈限;  自回归模型;  股市行情
Keywords:
forecast ing ;  threshold limit ;  autoregressive mo dels;  curr ent prices of stock
分类号:
O211.61
摘要:
该文用非线性时间序列分析方法，对一段股市行情序列进行了拟合，指出可用逐段线性回归拟合趋势，用门限自回归模型拟合消除趋势后的平稳序列，通过对１９９７年４月２２日至５月１２日期间深圳股市行情预测值与实际值的对比，说明在正常状态（即无违规操作及无特殊政策出台）下，所建立的模型有较好的拟合效果，从而提供了一个行情预测的有效方法。
Abstract:
In this paper , a method of nonlinear t ime series analysis is used to f it the series o f a par t of curr ent prices o f stock. It is pointed out that a piecew ise linear regression metho d can be used to f it the t rend of series w here applying thresheld autoregr essive model to f it the stat ionary error ser ies in w hich the t rend of original time series has been eliminated. It is also pr oved that under normal condit ions, o ur models hav e nice f it t ing result s, thr oug h comparing Sheng zhen stotk index w ith its predictio n values. So an effect ive metho d for curr ent predict ion is pr ovided.

参考文献/References:

1　冯予, 陈萍. 股市行情的多元数据分析. 预测, 1996, 3( 2) : 42～45
2　Bjor n Auest ad, Da g Tjo stheim. I dentifica tio n of nonlinear time series: Fir st o rder char act erizat ion and or der der ter imination.Biometr ike, 1990, 77( 4) , 669～687

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备注/Memo

备注/Memo:
南京理工大学科研发展基金
冯予　男　35岁　讲师
更新日期/Last Update: 2013-03-29