| 基于主成分分析的EWMA图对单只股票短期交易的监控 |
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| 引用本文： | 胡霁芳,郑强,宋学力.基于主成分分析的EWMA图对单只股票短期交易的监控[J].信阳师范学院学报(自然科学版),2018(1):11-16. |
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| 作者姓名： | 胡霁芳 郑强 宋学力 |
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| 作者单位： | 长安大学理学院; |
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| 摘 要： | 针对影响单只股票短期交易价格的诸多风险因素及投资者如何做出投资决策的问题,以美股中的美国航空为例,采用主成分分析法和EWMA控制图结合的方案,对控制图检测出的异常点给予分析.并与Shewhart单值控制图和多元T方控制图进行对比.结果表明:所用方法可以更有效地对单只股票短期交易进行预警和监控.
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| 关 键 词： | 主成分分析 EWMA控制图 Shewhart控制图 多元T方控制图 监控 |
Principal Component Analysis-based EWMA Control Chart for Monitoring in Short-term Trading of Single Stock |
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| Institution: | ,School of Science,Chang'an University |
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| Abstract: | In order to analyze the risk factors affecting stock price and to solve the question how the investors make investment decisions in short-term trading of single stock,the principal component analysis method and EWMA control chart were used to detect and analyze the outliers for U.S.Stocks of American Airlines.Compared with the individual observations chart of Shewhart and the multivariate T2 control chart,respectively,the conclusion showed that the presented method can be more effective on the forewarning and monitoring in shortterm trading of single stock. |
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| Keywords: | principal component analysis EWMA control chart Shewhart control chart multivariate T2 control chart monitor |
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