含马氏链的股票指数模糊随机预测模型
发布时间：2018-07-28 18:48
【摘要】：为了获得更加准确和更加值得信赖的股票指数预测结果,依据股票指数的模糊随机预测模型,通过引入马尔可夫链的概念和股票指数上涨或下跌的转移概率,改进了股票指数的模糊随机预测模型中的预测参数.在以2009年全年的每日60 min沪深300指数为样本的实证研究中,采用了原模糊随机预测模型和改进了预测参数后的模糊随机预测模型分别进行预测,改进后的模型预测出的结果比原模型预测的结果更加接近沪深300指数的真实走势.研究结果表明:通过引入马尔可夫链和转移概率对预测参数进行的改进,提高了模糊随机预测模型对股票指数的预测精度.
[Abstract]:In order to obtain more accurate and reliable prediction results of stock index, according to the fuzzy stochastic forecasting model of stock index, the concept of Markov chain and the transfer probability of stock index rising or falling are introduced. The prediction parameters in the fuzzy stochastic forecasting model of stock index are improved. In the empirical study of 60 min Shanghai-Shenzhen 300 index per day for the whole year of 2009, the original fuzzy random prediction model and the improved fuzzy random forecasting model are used to predict the model. The results predicted by the improved model are closer to the true trend of the CSI 300 index than those predicted by the original model. The results show that the prediction accuracy of the fuzzy stochastic prediction model for stock index is improved by introducing Markov chain and transition probability.
【作者单位】： 哈尔滨工业大学管理学院;
【基金】：国家自然科学基金资助项目(71031003) 高等学校博士学科点专项科研基金资助项目(200802130048)
【分类号】：F224;F830.91
[Abstract]:In order to obtain more accurate and reliable prediction results of stock index, according to the fuzzy stochastic forecasting model of stock index, the concept of Markov chain and the transfer probability of stock index rising or falling are introduced. The prediction parameters in the fuzzy stochastic forecasting model of stock index are improved. In the empirical study of 60 min Shanghai-Shenzhen 300 index per day for the whole year of 2009, the original fuzzy random prediction model and the improved fuzzy random forecasting model are used to predict the model. The results predicted by the improved model are closer to the true trend of the CSI 300 index than those predicted by the original model. The results show that the prediction accuracy of the fuzzy stochastic prediction model for stock index is improved by introducing Markov chain and transition probability.
【作者单位】： 哈尔滨工业大学管理学院;
【基金】：国家自然科学基金资助项目(71031003) 高等学校博士学科点专项科研基金资助项目(200802130048)
【分类号】：F224;F830.91
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