基于理性指标的马尔可夫链股市态势预测方法

发布时间：2018-01-02 10:26

  本文关键词：基于理性指标的马尔可夫链股市态势预测方法　出处：《计算机工程与应用》2017年22期 　论文类型：期刊论文

  更多相关文章： 理性指标 马尔可夫链 特征背离 主成分分析

【摘要】：由于股票市场存在人为扰动性,使得基于情绪的股市预测算法效果不佳。针对股市的诱多诱空问题,提出一种基于理性指标的马尔可夫链股市态势预测算法(RI_MCA)。提取股市的主要理性特征,并对这些理性特征进行量化;通过主成分分析将这些理性特征融合成理性指标,并利用理性指标获取股市的买卖点;将买卖点所对应的股市状态引入到马尔可夫链中,实现股市态势预测。在理性指标和股市状态相背离情况下会降低买卖点的可靠性,因而通过将特征背离引入到RI_MCA算法中提出了RICD_MCA算法,RICD_MCA算法根据特征背离程度对RI_MCA算法的结果进行调整优化。在上证指数上的实验比较与分析结果表明,RICD_MCA算法具有更高的预测精度。
[Abstract]:Due to the existence of the stock market disturbance, the stock market sentiment prediction algorithm based on the induced effect of poor Youkong stock market, put forward a prediction algorithm of Markov chain based on rational stock market trend index (RI_MCA). The main reason for feature extraction of the stock market, and to quantify these rational characteristics; through principal component analysis, the rational features into a rational and rational use of indicators, indicators of access to stock market trading; trading at the stock market will be introduced to the state in the Markov chain, prediction of stock market trend in the rational index and the stock market deviates from the state will lower reliability point of sale, so the characteristic deviation is introduced into RI_MCA algorithm is put forward according to the results of the RICD_MCA algorithm, RI_MCA algorithm on the deviation from the characteristics of the adjustment and optimization of the RICD_MCA algorithm. Compared with the Shanghai index on the experiment The analysis results show that the RICD_MCA algorithm has a higher prediction accuracy.

【作者单位】： 合肥工业大学计算机与信息学院;
【基金】：国家自然科学基金(No.61175051,No.61175033) 国家重点基础研究发展规划(973)(No.2013CB329604)
【分类号】：F832.51;O211.62
【正文快照】： 1引言股票市场是一个不稳定的非线性动态变化的复杂系统[1],有效地预测股市态势是一个公开的难题[2]。同时,由于股市存在人为扰动现象,如诱多和诱空,使得股市的有效预测更加困难。技术指标在股市态势预测中起到了重要的作用,普通股民和投资机构都会考虑技术因素;因而,研究者也，

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