马尔可夫链理论及其在经济领域的应用【毕业论文】.doc

本科毕业论文 （20 届） 马尔可夫链理论及其在经济领域的应用 专业：数学与应用数学 摘要 马尔可夫链是一个离散的随机过程模型, 它在研究经济和社会现象中的动态系统问题有极其广泛的应用. 本文主要研究马尔可夫链的基本理论及其在经济领域的应用, 文章首先介绍了马尔可夫链的基本理论, 研究了马尔可夫链传统的两种预测方法, 比较马尔可夫链预测方法与其它定量统计预测方法的主要区别, 建立了马尔可夫链理论在股市分析应用的数学模型, 并利用此模型对股价的运动特征和涨落的时间周期进行定量分析; 其次对传统马尔可夫理论进行改进, 介绍了加权马尔可夫链的理论及其预测方法, 利用加权马尔可夫链理论研究经济领域的具体实践问题; 最后为了进一步提高马尔可夫链预测方法的科学性、合理性和准确性, 提出了值得进一步研究的几个研究方向. 关键词: 马尔可夫链; 经济领域; 股市; 加权马尔可夫链 Markov Chain Theory and its Applications in the Field of Economics Abstract Markov chain is a discrete stochastic process model which has very wide applications in studying quantitatively analysis of a system transferring from one state to another, many dynamic systematic problems in the economic and social phenomenon. In this paper we first introduce the basic theory of Markov chain, two research classical prediction methods of Markov chain and compare them with other quantitative analysis methods. Secondly, we use two kinds of the prediction methods of Markov theory to predict stock prices and its changes, and establish its stochastic process model. Through the practice, it has been proven that the model is practical and can be applied in the economic field, which can optimize the long-term benefit, and it improves the traditional Markov chain theory, in this paper we not only introduce the weighted Markov chain using and its prediction theory, but also study the economic practice field using this model. Finally, we put forward several deserves further study research direction to further enhance the markov chain prediction method, which is scientific, reasonable and accuracy. Keywords: Markov chain; Economics; Stock market; Weighted Markov chain 目录 摘要 I Abstract II 1 前言 1 2 马尔可夫链的基本性质 3 2.1马尔可夫链的基本概念 3 2.2切普曼-柯尔莫哥洛夫方程 4 2.3 马尔可夫链的状态分类 5 2.4 极限定理 10 3 马尔可夫链预测方法研究 14 3.1 传统的马尔可夫链预测方法 14 3.2马尔可夫链与其他定量统计预测方法的区别 15 4 传统马尔可夫链在经济领域的应用 17 4.1马尔可夫链在股市分析中的应用 17 5 对马尔可夫链理论及其在股市应用的进一步研究 20 5.1加权马尔可夫链在股市分析中的应用 20 6 总结 25 参考文献 27 致谢 28  马尔可夫链最初是由俄国数学家Markov于1906年的研究而得名Kolmogorov, F