基于成交量的股价序列分析

不管是基于交易时间进程,还是基于日历时间进程,股价的时间序列分析都是基于固定的时间进程来研究价格变化规律。本文认为基于固定时间推进的股价时间序列分析缺少考虑成交量的重要影响,提出基于成交量过程推进的股价变化模型。从交易的时间、股价和成交量的三维空间出发,提出维度转换的思想,把从时间维度转换到成交量维度,重新构造基于成交量的股价序列的研究方法。这种方法把成交量融入到价格序列中,体现了量价配合的思想。这种模型不同于以往的时间序列分析只是对原来的序列从模型上或参数上改进,而是对序列本身进行重新构建。通过对重新构造的基于成交量的股价序列和原来的收盘价和平均成交价时间序列进行误差自回归——GARCH模型的实证比较分析表明,维度转换的思想和重新构造序列的方法是可行的,也是有效的。

An Analysis of Volume-Based Stock Price

Whether based on the calendar time hypothesis nor based on the trading time hypo thesis, time series analysis of stock prices have a premise that price movement evolve on the fixed-length time. Because traditional time series analysis of st ock price lacks the crucial factor—trading volume, we suggest that price moveme nts evolve on the trading volume. Under the three-dimension space—trading time , price, and trading volume, dimension transformation is put forward. Switch tim e dimension to volume dimension, we create a new price series based on the tradi ng volume. Apparently different from traditional time series analysis, we adjust not the models or parameters, but the series itself. An empirical research conf irms our idea about the analysis of price based on the trading volume.