时间序列模型在股票预测方面的应用pdf.pdf

鏃堕棿搴忓垪妯″瀷鍦ㄨ偂绁ㄩ娴嬫柟闈㈢殑搴旂敤 鎽樿 鑲＄エ甯傚満浣滀负鍥芥皯缁忔祹鐨勯噸瑕佺粍鎴愰儴鍒嗭紝鑲＄エ甯傚満鐨勫彂灞曞鍥芥皯缁忔祹鐨勫彂灞 璧峰埌閲嶈鐨勬帹鍔ㄤ綔鐢紝鍚屾椂鑲＄エ甯傚満鐨勮繍琛屽張鍙楀埌鏁翠釜鍥芥皯缁忔祹鍙戝睍褰㈠娍鐨勫埗绾︺€ 涓浗鑲＄エ甯傚満鑷缓绔嬭捣鍒扮幇鍦ㄥ彇寰椾簡闀胯冻鐨勮繘姝ワ紝浣嗗競鍦鸿〃鐜板嚭鐨勬尝鍔ㄥ箙搴﹀拰椋 闄╂€ц澶уぇ楂樹簬鍥藉鎴愮啛鐨勮祫鏈競鍦恒€傚洜姝わ紝鍦ㄦ垜鍥借偂绁ㄥ競鍦哄嵆灏嗗彇寰楅噸澶у彂灞 鐨勬椂鏈熷鍏惰繘琛屾尝鍔ㄧ壒寰佺爺绌跺氨鏄惧緱灏や负閲嶈銆傛湰鏂囦互涓婅瘉缁煎悎鎸囨暟鏈堝競鐩堢巼浣 涓虹爺绌跺璞★紝閲囩敤ARMA 妯″瀷骞剁粨鍚圗views8.0 缁熻杞欢瀵规牱鏈暟鎹繘琛屽垎鏋愩€ 閽堝瀵绘壘褰卞搷甯傜泩鐜囧绉嶅洜绱犵殑鍥伴毦锛屾彁鍑轰粠甯傜泩鐜囩殑鐨勬暟鎹湰韬嚭鍙戯紝鍒╃敤 B-J 鏃堕棿搴忓垪鍒嗘瀽鏂规硶寤虹珛鑷洖褰掓粦鍔ㄥ钩鍧囨ā鍨婣RMA锛屽鑲＄エ甯傜泩鐜囧垎鏋愬苟棰勬祴銆 瀵逛笂璇佺患鍚堟寚鏁扮殑甯傜泩鐜囩殑鏁版嵁瀹炶瘉鐮旂┒骞剁煭鏈熼娴嬶紝缁撴灉琛ㄦ槑鍏堕娴嬫晥鏋滆壇濂姐€ 鍏抽敭璇嶏細鑲＄エ 鏃堕棿搴忓垪鍒嗘瀽 甯傜泩鐜 ARMA 妯″瀷 棰勬祴 ABSTRACT The stock market is an important part of the national economy, its development plays a critical role in national economy, at the same time, the operation of the stock market is restricted by the developing situation of the whole national economy. Chinese stock market grows fast and has made great progress since it was founded, and the market risk and volatility is much larger than that of foreign markets. So it is necessary to study the volatility character of stock market when it is on the developing way. In this text, we will regard Shanghai stock composite price-earning ratios as the main study object, and try to use the ARMA models to describe the volatility character with the statistic software EViews8.0. As for the difficulties of looking for a variety of factors influencing the price-earning ratios, the model built by the data itself with B- J鈥檚 method of time series is presented to analyze and to forecast. A stock鈥檚 price -earning ratios empirical research is carried out, which is included short-term forecast. The result shows that the method gives a good short-term predict. Key words: stock, analysis of the series, price-earning ratios, ARMA models, forecast 0 寮曡█ 甯傜泩鐜囨槸鎶曡祫鑰呭垎鏋愯偂绁ㄤ环鍊肩殑閲嶈鎸囨爣锛屽叾瀹氫箟涓烘瘡鑲¤偂绁ㄤ环鏍间笌姣忚偂 绋庡悗鍒╂鼎鐨勬瘮鐜