基于自相关控制理论的股票市场监控分析-统计学专业论文.docxVIP

万方数据 万方数据 Abstract In recent years, with the arrival of economic globalization and aggravation of the market competition, the quality has become the most powerful strategic weapon for an enterprise. The control chart is an effective tool for the quality guarantee and is widely used. The economical fluctuation is an inevitable phenomenon in the development of a country, but drastic economic fluctuations are the negative impact to people’s living. The stock market is as a barometer of the economy, which has been a key issue in the finance research. In this paper, these two hot issues are well combined, and the theory of SPC is introduced into warning and controlling of the stock market. In this paper, the basic theory of conventional control charts and the performance indexes, including the two types of errors, the average run length (ARL), the average production quantity (APQ) and the judging criterion of SPC of control charts are first introduced. Then, three frequently used types of normal control charts are also introduced, which include the Shewhart control charts, CUSUM control charts and the EWMA control charts. In this thesis, the constitutions and designing philosophies of these control charts are mainly elaborated.In order to look for effective SPC methods for autocorrelation process, first of all, the autocorrelation and time sequence theory are introduced in this dissertation. Then, the theory and designing philosophy of residuals control charts are elaborated. Finally, the process control method based on the GARCH model is provided, which is used for the clustering property of fluctuations in economic or financial data. In order to prove that Shewhart control charts become invalid for autocorrelation process, the method of Monte Carlo simulation is used. Then, effects of autocorrelation on control chart are studied. The results show that positive correlation makes the control chart too sensitive and the condition of negative correlation is just the opposi