| Kalman滤波在股票交易模型中的应用 |
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| 引用本文： | 曹广福,路群.Kalman滤波在股票交易模型中的应用[J].松辽学刊,1999(4):9-12. |
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| 作者姓名： | 曹广福 路群 |
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| 作者单位： | 四川大学!四川成都610064 |
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| 摘 要： | 本文在ＤＤＭＳ即股利贴现模型的基础上，利用Ｋａｌｍａｎ滤波将随机方程变为确定性方程，从而采取相应的决策，使资金流量按所期望的规律变化。
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| 关 键 词： | DDMs模型 Kalman滤波 股票交易模型 证券投资 |
| 文章编号： | 1000-1840(1999)04-009-04 |
AN APPLICATION OF KALMAN FILTER FOR STOCK EXCHANGE |
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| CAO Guang fu,LU Qun.AN APPLICATION OF KALMAN FILTER FOR STOCK EXCHANGE[J].Songliao Journal (Natural Science Edition),1999(4):9-12. |
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| Authors: | CAO Guang fu LU Qun |
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| Abstract: | In this paper,based on the DDMs model,the investment decisiion is discussed by converting a descrete_time_varying stochastic equation into definite one by means of Kalman filtering.Finally,we got the result that monetary quantity varies in the direction of our expectation. |
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| Keywords: | DDMs model system disturbance Kalman filtering optimal discipline |
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