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| 基于非线性跟踪—微分器的金融时间序列预测 | |
| 引用本文： | 刘凤根,王晓芳,张敏. 基于非线性跟踪—微分器的金融时间序列预测[J]. 系统工程理论与实践, 2007, 27(3): 118-121. DOI: 10.12011/1000-6788(2007)3-118 |
| 作者姓名： | 刘凤根 王晓芳 张敏 |
| 作者单位： | 1. 西安交通大学,经济与金融学院,西安,710061;湖南商学院,经济学系,长沙,410205 2. 西安交通大学,经济与金融学院,西安,710061 3. 湖南商学院,经济学系,长沙,410205 |
| 摘 要： | 基于非线性跟踪-微分器的基本原理,开拓性地用二阶离散和三阶离散非线性跟踪-微分器对上证综指进行了预测.从预测结果来看,二阶非线性离散跟踪-微分器预测相对误差控制在8%以内,三阶离散非线性跟踪-微分器预测相对误差控制在5%以内,显示了较好的预测效果. |
| 关 键 词： | 非线性跟踪-微分器 股价预测 上证综指 |
| 文章编号： | 1000-6788(2007)03-0118-05 |
| 修稿时间： | 2005-12-14 |
Financial Time Series Forecasting based on Nonlinear Tracking-Differentiator |
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| LIU Feng-gen,WANG Xiao-fang,ZHANG Min. Financial Time Series Forecasting based on Nonlinear Tracking-Differentiator[J]. Systems Engineering —Theory & Practice, 2007, 27(3): 118-121. DOI: 10.12011/1000-6788(2007)3-118 | |
| Authors: | LIU Feng-gen WANG Xiao-fang ZHANG Min |
| Abstract: | This paper forecasts the SHCI in a creative way with the second order and the third order discrete form of Nonlinear Tracking-Differentiator,which is be based upon the principle of the Nonlinear Tracking-Differentiator.The results shows preferable forecasting effect that the second order discrete form of Nonlinear Tracking-Differentiator can control the relative forecasting error within 8 percent and the third order discrete form of Nonlinear Tracking-Differentiator can control the relative forecasting error within 5 percent. |
| Keywords: | nonlinear tracking-differentiator stock price forecasting SHCI |
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