基于时间序列模型的日内交易策略在A股市场上的应用

发布时间：2018-03-25 07:35

本文选题：交易策略　切入点：时间序列模型　出处：《复旦大学》2014年硕士论文

【摘要】：本论文通过对一种基于时间序列模型的交易策略在A股市场中的应用的讨论,试图去分析模型的结果给我们的反馈并进一步揭示部分掩盖在结果下的市场的交易行为心理和交易市场的微观结构。本论文所应用的理论基础是在股市上被短线交易者经常运用的技术分析,不过在具体的应用上经过了作者的思想。在数据处理的工具上,作者采用matlab进行大规模的数据处理。由于篇幅有限,本论文所处理的数据范围并不够广泛,有兴趣的读者可以根据模型的思路进一步拓宽数据的范围去寻找更多的市场规律。
[Abstract]:This paper discusses the application of a transaction strategy based on time series model in A share market. This paper attempts to analyze the feedback from the results of the model and further reveal the psychology of trading behavior and the microstructure of the trading market partially concealed under the results. The theoretical basis of this paper is to be short-lived in the stock market. Technical analysis that traders often use, However, in the specific application of the author's ideas. In data processing tools, the author uses matlab for large-scale data processing. Due to space constraints, this paper does not deal with a wide range of data, Interested readers can follow the model to further broaden the range of data to find more market rules.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【共引文献】