非线性时间序列分析在股市行情预测中的应用

该文用非线性时间序列分析方法，对一般股市行情序列进行了拟合，指出可用逐段线性回归拟合趋势，用门发自回归模型拟合消除趋势后的平稳序列，通过对１９９７年４月２２日至５月１２日期间深圳股市行情预测值与实际值的对比，说明在正常状态（即无违规操作及无特殊政策出台）下，所建立的模型有较好的拟合效果，从而提供了一个行情预测的有效方法。

Application of Nonlinear Time Series Analysis in Precidiction of Stock Idex

In this paper, a method of nonlinear time series analysis is used to fit the series of a part of current prices of stock. It is pointed out that a piecewise linear regression method can be used to fit the trend of series where applying thresheld autoregressive model to fit the stationary error series in which the trend of original time series has been eliminated. It is also proved that under normal conditions, our models have nice fitting results, through comparing Shengzhen stotk index with its prediction values. So an effective method for current prediction is provided.