QQ客服 官方微博 反馈留言

	STAR与ANN模型:证券价格非线性动态特征及可预测性研究
	苏治 ; 方明 ; 李志刚 ; SU Zhi ; FANG Ming ; LI Zhi-gang
	2010-05-14 ; 2010-05-14
关键词	有效市场 可预测性 非线性模型 投资策略 efficient market predictable nonlinear model investment strategy F830.91 F224
其他题名	STAR & ANN Model: Study on Nonlinear Dynamic Characteristics of Securities Price and Its Forecast
中文摘要	证券价格的可预测性一直是现代金融学的研究焦点。近年来,以平滑迁移(STAR)模型和神经网络(ANN)模型为代表,国外学者将许多非线性模型应用于证券价格非线性动态特征及可预测性的研究。本文采用多种线性、非线性股价预测模型对上证180指数短期和中长期可预测性进行研究,并基于统计指标和投资策略指标比较了不同模型的预测能力。结果表明:我国证券价格具有非线性特征,在短期和中长期水平上具有一定的可预测性,这对有效市场假说提出了质疑;ANN模型的预测能力多数情况下优于RW模型、线性AR模型和STAR模型,基于ANN模型的"盯市"投资策略能获得比"买入持有"投资策略更高的平均净收益。; In finance,scholars applied nonlinear models to describe and predict securities price movement in recent years,especially using Smooth Transition Auto Regression(STAR) model and Artificial Neural Network(ANN)model.In this paper,we examine the out-of-sample forecasts performance of several linear and nonlinear models for ShangZheng 180 index in short term,middle term and relatively long term as well.We compare their forecast precision by statistical and investment criteria.The results indicate that securities price has nonlinear characteristics in our country,and is able to be predicted in some extent,which put the Efficient Markets Hypothesis(EMH) into question.Furthermore,ANN models mostly produce better forecasts than the RW,AR model as well as STAR model.Nevertheless,on average,investors can obtain a higher net return according to a market-timing strategy based on the forecasts from ANN models than a risk-adjusted buy and hold strategy.
语种	中文 ; 中文
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/33254]
专题	清华大学
推荐引用方式 GB/T 7714	苏治,方明,李志刚,等. STAR与ANN模型:证券价格非线性动态特征及可预测性研究[J],2010, 2010.
APA	苏治,方明,李志刚,SU Zhi,FANG Ming,&LI Zhi-gang.(2010).STAR与ANN模型:证券价格非线性动态特征及可预测性研究..
MLA	苏治,et al."STAR与ANN模型:证券价格非线性动态特征及可预测性研究".(2010).

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。