基于小波变换的沪深300指数预测.pdfVIP

Statistical and Application 统计学与应用, 2014, 3, 175-181 Published Online December 2014 in Hans. /journal/sa /10.12677/sa.2014.34024 Hushen 300 Index Price Forecasting Based on Wavelet Transform Sihui Wang, Yu Fei* School of Statistics and Mathematics, Yunnan University of Finance and Economics, Kunming * Email:163.com, 1350691353@ th th nd Received: Oct. 8 , 2014; revised: Nov. 11 , 2014; accepted: Nov. 22 , 2014 Copyright © 2014 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract This paper based on wavelet transform and non-wavelet transform established ARMA models to fit the daily closing price of Shanghai and Shenzhen 300 index and do a short-term forecast. It also compared their normalized mean square error (NMSE). Results display that due to the characte- ristics of wavelet transform which are good time frequency localization and its multi-resolution features, combined forecast model for short-term forecast of Shanghai and Shenzhen 300 index is superior to single forecast model. Keywords Wavelet Transform, Shanghai and Shenzhen 300 Index, ARMA, Forecast 基于小波变换的沪深300 指数预测 汪思慧，费 宇* 云南财经大学，统计与数学学院，昆明 * Email:163.com, 1350691353@ 收稿日期：2014年10月8 日；修回日期：2014年11月11 日；录用日期：2014年11月22 日 *通讯作者。 175 基于小波变换的沪深300 指数预测 摘 要 本文通过基于小波变换和未基于小波变换对沪深300指数日收盘价序列分别建立ARMA拟合模型并做短 期预测，对其归一化均方误差(NMSE)进行比较，结果显示，由于小波变换良好的时频局域化特性，以及 它的多分辨功能，使组合模型较之于单个预测模型对于沪深300指数的短期预测更优。 关键词 小波变换，沪深300，ARMA ，预测 1. 引言