| 基于马氏链的股指期货合约指数的预测 |
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| 引用本文： | 杨德平,王潇,李聪. 基于马氏链的股指期货合约指数的预测[J]. 青岛大学学报(自然科学版), 2012, 25(3): 74-79 |
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| 作者姓名： | 杨德平 王潇 李聪 |
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| 作者单位： | 青岛大学经济学院,山东青岛,266071 |
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| 基金项目： | 国家自然科学基金资助项目(709710071) |
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| 摘 要： | 采用马氏链模型对我国股票指数期货四种合约的每日收盘价格进行短期预测,发现该模型对当月连续合约、下月连续合约以及下季连续合约等三只合约未来五个交易日的预测准确率为100％,而隔季连续合约仅为40％.利用马氏链遍历性的平稳分布,给出长期市场环境下,股指期货发生在不同区间的概率分布,以及返回各个状态需要的平均时间.
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| 关 键 词： | 马氏链 股指期货 平稳分布 转移概率矩阵 |
Prediction of Stock Index Futures Price Based on Markov Chain |
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| YANG De-ping , WANG Xiao , LI Cong. Prediction of Stock Index Futures Price Based on Markov Chain[J]. Journal of Qingdao University(Natural Science Edition), 2012, 25(3): 74-79 |
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| Authors: | YANG De-ping WANG Xiao LI Cong |
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| Affiliation: | (College of Economics;Qingdao University,Qingdao 266071,China) |
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| Abstract: | The Markov chain model was used to predict the price about the four kinds of stock index futures in China,including IF0001 If0002 IF0003 and IF0004.Results show that accuracy rate of the forecast of the first three is 100% and IF0004 is 40%.The probability distribution of the stock index and the average time to return to the original state were given by using the theory of stationary distribution. |
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| Keywords: | Markov chain stock index futures stationary distribution transition probability matrix |
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