| 状态空间模型、协调积分与股票价格预测 |
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| 引用本文： | 杨德权,袁佩良,史克禄,胡运权.状态空间模型、协调积分与股票价格预测[J].系统工程理论与实践,1999,19(5):55-60. |
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| 作者姓名： | 杨德权 袁佩良 史克禄 胡运权 |
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| 作者单位： | (1)大连理工大学系统工程研究所;(2)深圳南山基金管理有限公司;(3) 哈尔滨工业大学管理学院 |
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| 摘 要： | 应用向量值状态空间模型的两步建模方法分析了深圳五种股票价格的动态行为，样本选在１９９６年下半年这一股市波动较为剧烈的时期．研究结果表明：在趋势模型中五种股票的价格序列构成了带有一个共同趋势（根的估计值为０．９９）的协调积分过程．此外在周期模型中还发现了一个较弱的趋势和两个复数根．最后通过有关统计量和２０天的样本外预测以及Ｈｅｎｒｉｋｓｓｏｎ与Ｍｅｒｔｏｎ提出的非参数检验方法验正了分析和预测结果的有效性.
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| 关 键 词： | 状态空间模型 协调积分 误差纠正 |
| 修稿时间： | 1997-11-17 |
State Space Model,Cointegration and Stock Price Forecasting |
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| YANG Dequan,YUAN Peiliang,SHI Kelu,HU Yunquan.State Space Model,Cointegration and Stock Price Forecasting[J].Systems Engineering —Theory & Practice,1999,19(5):55-60. |
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| Authors: | YANG Dequan YUAN Peiliang SHI Kelu HU Yunquan |
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| Institution: | (1)Institute of Systems Engineering,Dalian University of Technology;(2)Shenzhen Nanshan Foundation Management Co.;(3) School of Management; Harbin Institute of Technology |
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| Abstract: | This paper investigates the dynamic behavior of five stock prices over the volatile period from July 1996 to December 1996, finding that in the trend model the five series are cointegrated with one dominant common trend (with an estimate root of 0.99). In addition a weak trend and two complex roots are found in the cycle model. These findings are validated by out of sample forecasting and associate statistic creteria. The out of sample forecasts are evaluated nonparametrically in a test due to Henriksson and Merton. |
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| Keywords: | state space model cointegration error correction |
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