| 局部线性光滑技术和ARIMA模型在股价动态预测中的应用 |
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| 引用本文： | 董晓芳.局部线性光滑技术和ARIMA模型在股价动态预测中的应用[J].宁夏大学学报(自然科学版),2005,26(4):311-315. |
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| 作者姓名： | 董晓芳 |
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| 作者单位： | 宁夏大学,经济管理学院,宁夏,银川,750002 |
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| 基金项目： | 国家民委重点科研基金资助项目 |
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| 摘 要： | 针对目前我国股票市场中难以对上市公司的股票价格从定量分析的角度进行有效预测这一突出问题，利用时间序列局部线性光滑技术并结合ARIMA建模方法，提出了股票价格序列的一步动态预测方法，用于股票价格序列的建模及股价短期预测，以期为企业和投资者在进行相关决策时提供有益的参考．最后，以两家上市公司近几年股票的周平均价格为例验证了预测结果的有效性．
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| 关 键 词： | 时间序列 非参数光滑 股票价格 ARIMA模型 |
| 文章编号： | 0253-2328（2005）04-0300-05 |
| 收稿时间： | 2005-01-14 |
| 修稿时间： | 2005年1月14日 |
Application of Local Linear Smoothing Technique and ARIMA Modeling on Stock Price Dynamic Forecasting |
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| Dong Xiaofang.Application of Local Linear Smoothing Technique and ARIMA Modeling on Stock Price Dynamic Forecasting[J].Journal of Ningxia University(Natural Science Edition),2005,26(4):311-315. |
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| Authors: | Dong Xiaofang |
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| Institution: | School of Economics and Management, Ningxia University, Yinchuan 750002,China |
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| Abstract: | The stock market will support China' s economic development as it turns more standardized. Therefore,it is extremely important at present to perform some empirical analyses on stock price dynamic forecasting. This paper analyzes the forecast of the stock prices by combining the local linear smoothing technique for time series with ARIMA modeling approach. This approach is then applied to analyze the stock prices of the listed companies. As an illustration, two cases of stock prices are analyzed and the performance of the proposed approach which can provide a useful guidance to both the enterprises and investors. |
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| Keywords: | time series nonparametric smoothing stock price ARIMA modeling |
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