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灰色—马尔可夫链模型在股市预测中的应用

发表时间:2009-01-15  浏览量:3922  下载量:1796
全部作者: 王礼霞,夏乐天
作者单位: 河海大学理学院
摘 要: 根据灰色预测模型和马尔可夫预测思想,将灰色GM(1,1)预测模型结合马尔可夫链状态转移,阐述灰色-马尔可夫链模型原理并将此模型应用到股市预测上。用GM(1,1)预测具有良好的精确性和规律性,但对于随机波动性较大的股市行业,它的预测精度比较低,而马尔可夫模型可以克服波动性较大这一局限,弥补灰色模型的不足,因此将两者结合起来对股市进行预测将能提高预测的精度。依据深交所20个月末收盘指数,预测后4个月的月末收盘指数范围,实证分析表明:灰色马尔可夫链模型在股市预测中应用的可行性。
关 键 词: 马尔可夫过程;马尔可夫链;灰色系统;状态转移;预测;月末收盘指数
Title: Application in the prediction of stock market based on grey Markov chain model
Author: WANG Lixia, XIA Letian
Organization: College of Science, Hohai University
Abstract: Based on the grey prediction model and Markov chain prediction theory, grey prediction GM(1,1) model is combined with Markov chain-state transition and the theory of grey-Markov chain prediction model is expounded and applied to the prediction of stock market. Using GM(1,1) model to predict has good accuracy and regularity, but to the stock market with large random fluctuation, its accuracy is lower. Markov model can overcome this defection, so combining GM(1,1) with Markov chain model to predict stock market can improve the precision of prediction. Based on the indexes ended in the twenty months in Shenzhen Stock Exchange, the range of the index in the end of next four months is predicted, and example is given to prove its reliability in the application of the prediction of stock market.
Key words: Markov process; Markov chain; grey system; state transition; predict; the index of market close in the end of month
发表期数: 2009年1月第1期
引用格式: 王礼霞,夏乐天. 灰色—马尔可夫链模型在股市预测中的应用[J]. 中国科技论文在线精品论文,2009,2(1):109-113.
 
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