隐马尔可夫模型在量化交易中的应用原理及其现实意义探究

发布时间：2018-06-13 19:35

本文选题：隐马尔科夫模型 + 时间序列　；参考：《北京外国语大学》2017年硕士论文

【摘要】：随着我国证券市场的发展,已经出现大量对股票市场的研究。其中量化交易是通过对股建模,利用股市反馈的实时数据进行自动化得分析交易的一种方法。量化交易的理论认为,证券市场是介于无效和弱势有效之间的,即股价并不能反映所有的历史信息。考虑到股票的交易同时受到交易者心理等不可直接观测到的因素所影响,而通过对股票交易数据进行预处理,将直观的交易数据转化为反映市场趋势、市场人气等一系列指标,并最终用以交易的最终决策。相对传统的人工手动交易,量化交易能够克服情绪波动等弱点,并易于长期管理。隐马尔可夫模型是研究随机过程的一种架构,其对于完全的随机过程铺设的一定条件的限制,从而使完全无序的随机过程变得可以量化。从这个意义上来看,隐马尔可夫过程模拟的恰好是并非完全无效的股票市场,和量化交易的观点重合。隐马尔可夫模型是一个双重随机过程:其核心是隐藏状态的转移,但同时隐藏状态不可观测,只有通观测值根据两者之间的关系来推测。这在一定意义上反映的股票市场的现状:可以观测的是股价、成交量等信息,而股票的涨跌、起伏等是事实上是人们根据历史信息处理过的产物。因此,隐马尔可夫模型在模拟股票市场运行方面,有一定的实践意义。本文以隐马尔可夫模型为基础,分析了其中各参数变量确定的实际意义,并以上证综指为对象,仿真了量化交易的流程。其中第一章绪论,介绍了交易背景。第二章解释了隐马尔可夫模型的理论基础,包括贝叶斯函数、隐马尔可夫模型的具体描述以及结合时间序列的隐马尔可夫模型。第三章对模型中参数的选择做了相应测试并给出了优化建议,并将这些参数和隐马尔科夫模型相结合,说明了具体运行过程。第四章是论文内容总结及其实践意义。
[Abstract]:With the development of China's securities market, there has been a large number of research on the stock market. The quantitative trading is a method to analyze the trading automatically by modeling the stock and using the real-time data of stock market feedback. The theory of quantitative trading holds that the stock market is between invalidity and weakness, that is, the stock price can not reflect all the historical information. Considering that the trading of stocks is influenced by the factors which can not be observed directly, such as the psychology of the traders, and by preprocessing the stock trading data, the intuitionistic trading data can be transformed into a series of indicators, such as reflecting the market trend, market sentiment and so on. And ultimately the final decision to trade. Compared with the traditional manual trading, quantitative trading can overcome the weakness of emotion fluctuation and be easy to manage in the long run. Hidden Markov model (hmm) is a framework for studying stochastic processes, which limits certain conditions laid by complete stochastic processes, thus making completely disordered stochastic processes quantifiable. In this sense, the hidden Markov process simulates the stock market which is not completely ineffective, and coincides with the viewpoint of quantitative trading. The hidden Markov model is a double stochastic process: its core is the transfer of hidden state, but the hidden state is not observable at the same time, only the general observation values can be inferred according to the relationship between them. This reflects the present situation of stock market in a certain sense: what can be observed is stock price, trading volume and other information, while the rise and fall of stock, fluctuation and fluctuation are in fact the products that people have processed according to historical information. Therefore, the hidden Markov model has certain practical significance in simulating the operation of stock market. Based on the hidden Markov model, this paper analyzes the practical significance of determining the parameter variables, and takes the Shanghai Composite Index as the object to simulate the flow of quantitative transactions. The first chapter introduces the background of the transaction. The second chapter explains the theoretical basis of the hidden Markov model, including the Bayesian function, the description of the hidden Markov model and the hidden Markov model combined with the time series. In chapter 3, the selection of parameters in the model is tested and the optimization suggestions are given, and the operation process is explained by combining these parameters with the hidden Markov model. The fourth chapter is a summary of the content of the paper and its practical significance.
【学位授予单位】：北京外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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