| 股指时间序列突变点小波检测研究 |
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| 引用本文： | 隋学深,杨忠海.股指时间序列突变点小波检测研究[J].哈尔滨商业大学学报(自然科学版),2007,23(2):249-252,256. |
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| 作者姓名： | 隋学深 杨忠海 |
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| 作者单位： | 1. 哈尔滨工业大学,管理学院,哈尔滨,150001
2. 南开大学,商学院,天津,300071;哈尔滨商业大学,会计学院,哈尔滨,150028 |
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| 摘 要： | 预测股指时间序列突变点是在股票市场上进行投资的一个关键问题,而检测突变点是预测的基础.在检测深沪两市股指时间序列月度收益率突变点位置和个数时采用了非参数方法,该方法基于小波数据依赖门限技术.研究显示了运用Lipschitz指数解释的突变点的数学特征.使用的模型证明了小波变换模的极大值能够检测出突变点的位置,实证结果也显示出突变点的位置和个数是精确的.
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| 关 键 词： | 突变点 股指收益率 小波变换 |
| 文章编号： | 1672-0946（2007）02-0249-04 |
| 收稿时间： | 2006-05-15 |
| 修稿时间： | 2006-05-15 |
Study on wavelet detection of change point of stock exchange index time series |
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| SUI Xue-shen,YANG Zhong-hai.Study on wavelet detection of change point of stock exchange index time series[J].Journal of Harbin University of Commerce :Natural Sciences Edition,2007,23(2):249-252,256. |
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| Authors: | SUI Xue-shen YANG Zhong-hai |
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| Institution: | 1. School of Management, Harbin Institute of Technology, Harbin 150001 ,China; 2. School of Business, Nankai University, Tianjin 300071, China; 3 . School of Accounting, Harbin University of Commerce, Harbin 150028, China |
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| Abstract: | Forecasting the change point of stock exchanges index time series is a key problem to the investment on stock market and then the detection of change point is a basis to the forecast.A non-parametric method,based on a wavelet data-dependent threshold technique for change point detection,is applied to detect the location and the number of change point of the monthly return rate of Shanghai stock exchanges index time series.It shows the explanation of the mathematical characterization of change point with Lipschitz exponents.The model mentioned in this paper proves that the local maxima of the wavelet transform modulus detect the locations of change points.The real example result shows that the location and number of change point is precisely. |
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| Keywords: | change point detection stock market wavelets transform |
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