基于SVM和混沌理论及汇率预测研究-毕业论文.doc

基于 SVM 和混沌理论的汇率预测研究 摘要 随着世界经济全球化、金融领域一体化的发展，汇率对各国的经 济运行、贸易往来、国际地位都有着越来越重要的影响。因此，对汇 率波动的分析、预测就显得非常重要。同时，经济系统是一个复杂的 巨系统，在他的内部，各个经济变量之间都存在着错综复杂的关系， 汇率波动更是如此。自从 1973 年布雷森林体系解体以来，汇率波动 的频繁性和不稳定性与日俱增。汇率预测也变的更加困难，传统的汇 率决定理论如购买力平价说、汇率决定的国际收支说、资产市场分析 法等基于线性模型的基础上建立发展起来的线性方法，不能很好的解 释汇率的变化规律。20 世纪 80 年代以来，越来越多的经济学家、数 学家都在探索寻找一些非线性的方法，来解释复杂的汇率波动现象， 对汇率的调整给予有效的建议。因此，从非线性角度来对汇率进行研 究，就具有非常广阔的空间和重大的现实意义。 本文将混沌的理论和方法应用于汇率数据的研究，对“欧元-美元 汇率价格”的时间序列进行检验。计算其关联维数（即分形维数）为 2.559、最大李雅普诺夫指数为 0.0686(0)和最大平均可预报时间长度 为 15 天；同时用替代数据法进行非线性检验，拒绝了其为线性过程 的可能，从而保证了非线性前提下汇率时间序列混沌性识别结果的可 靠性，为预测做了充分的实证基础。之后，采用相空间重构与支持向 量机相结合的预测模型对汇率进行预测。实践表明：在 15 天内，所 建立的模型都能较好地跟踪汇率数据的变化趋势，预测精度高、速度 快。 关键词：混沌、相空间重构﹑支持向量机、汇率预测　 III 目录 Abstract With the economic globalization of the world and the integrated development of the financial field, the exchange rate has more and more important influence on the economical operation, trade contacts, and international status of various countries. So, it is obviously very important to analysis prediction of exchange rate fluctuate. Meanwhile, the economic system is a complicated huge system, and there are intricate relations between each economic variable inside it. The fluctuation of the exchange rate is even more like this. After the breakdown of the Breton-Woods System, exchange rate’s fluctuation becomes more and more frequent and unstable. The forecast of exchange rate also becomes more and more difficult. And the traditional theories of exchange rate determination including “purchasing power parity”, “the balance of international payments of exchange rate determination ”and “the method of asset market analysis”based on linear model didn’t explain the rule of exchange rate’s change well. Since the 1980s, more and more economists and mathematician have been exploring and looking for some nonlinear methods to explain the complicated fluctuation of exchange rate phenomenon and give the effective suggestion to the adjustment of the exchange rate. So, researching the exchange rate in