股票量价趋势线的构建及实证研究

发布时间：2018-02-27 11:10

本文关键词： 移动平均线量价趋势线 ARIMA模型　出处：《华南理工大学》2016年硕士论文　论文类型：学位论文

【摘要】：在实际投资中,移动平均线理论是被投资者广泛用于发现并捕捉股市操作机会的技术分析方法。在学术界,也有众多学者基于移动平均线进行研究。但研究的思路主要还是局限于对移动平均线的参数大小、长短周期、交叉行为、组合特征等进行技术性优化或交易策略等方面的研究。少有学者从移动平均线的理论缺陷上展开研究,而本文就是从这一角度切入。先指明简单移动平均线的不足之处,并分析组成移动平均线的要素中,应包含成交量能这一重要元素。然后创建同时包括成交价格和成交量能的量价趋势线,并展开实证研究。基于上证指数和中小板指数,应用ARIMA模型对量价趋势线进行拟合分析,在优化模型参数后进行短期预测,并对预测值进行了比较分析。从分析结果来看,上证指数的预测平均误差率仅为0.7%,中小板指数的预测平均误差率为0.8%。这一误差水平,均远远小于5%的标准误差,完全达到了模型精度要求。同时,从两个指数不同的误差率来看,也说明了中小板市场的波动幅度大于主板市场,符合新兴市场股市波动的典型特征。本文从组成移动平均线的要素上进行改进,创建股票量价趋势线。通过实证研究获得较为精确的预测值,不仅表明量价趋势线构建的合理性和有效性,也能够为投资者进行短期预测和投资活动提供参考。
[Abstract]:In real investment, the moving average theory is a technical analysis method that is widely used by investors to discover and capture the operating opportunities of the stock market. There are also many scholars who have done research based on moving average, but the research is mainly limited to the size of moving average parameters, long and long periods, cross behavior. Few scholars study on the theoretical defects of moving average, and this is the point of view. First, the shortcomings of simple moving average are pointed out. The paper also analyzes the elements of moving average line, which should contain the important element of volume energy. Then, the trend line of volume price, which includes both transaction price and volume energy, is created, and the empirical research is carried out. Based on the index of Shanghai Stock Exchange and the index of small and medium-sized board, The ARIMA model is used to fit the trend line of volume and price, the short-term prediction is made after optimizing the parameters of the model, and the predicted value is compared and analyzed. The average prediction error rate of Shanghai stock index is only 0.7 and the average error rate of small and medium board index is 0.8. This error level is far less than 5% standard error, which completely meets the model precision requirement. From the different error rates of the two indices, it also shows that the fluctuation range of the small and medium-sized board market is larger than that of the main board market, which accords with the typical characteristics of the emerging market stock market volatility. This paper improves on the elements that make up the moving average line. The establishment of stock volume price trend line, through empirical research to obtain a more accurate prediction value, not only shows the rationality and effectiveness of the volume price trend line construction, but also can provide a reference for investors to carry out short-term forecasting and investment activities.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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