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为了实现对股票价格变化的短期预测,提出了一种基于小波神经网络(WNN)与自回归积分滑动平均模型(ARIMA)的组合预测模型.将股票的收盘价序列数据划分为线性以及非线性(误差项)两个部分,分别利用统计学中ARIMA模型和小波神经网络分别对两部分数据进行预测并得到结果,将两部分结果组合相加合成为整个股票价格的预测结果.实验结果表明该组合模型在预测精度方面有提高,是一种比较有效的预测模型. 相似文献
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股票价格的马氏链预测模型 总被引:1,自引:0,他引:1
本文探讨了马尔科夫链的预测技术,利用马氏链预测方法分析了申华控股(600653)价格的变动情况,对其价格进行短期预测和长期涨跌趋势、运动周期的预测,研究结果与实际情况比较一致。 相似文献
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马尔可夫链及其在股市分析中的应用 总被引:5,自引:0,他引:5
本文运用马尔可夫链理论预测股票价格分析股市,提出了股价运行周期和投资收益的最大化理论,并建立其随机过程模型,使决策的长期效益趋于最优,通过实例检验,证明了此模型的可行性和实用性. 相似文献
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In this paper, we examine the best time to sell a stock at a price being as close as possible to its highest price over a finite time horizon [0, T ], where the stock price is modelled by a geometric Brownian motion and the ’closeness’ is measured by the relative error of the stock price to its highest price over [0, T ]. More precisely, we want to optimize the expression: where (V t ) t≥0 is a geometric Brownian motion with constant drift α and constant volatility σ > 0, M t = max Vs is the running maximum of the stock price, and the supremum is taken over all possible stopping times 0 ≤τ≤ T adapted to the natural filtration (F t ) t≥0 of the stock price. The above problem has been considered by Shiryaev, Xu and Zhou (2008) and Du Toit and Peskir (2009). In this paper we provide an independent proof that when α = 1 2 σ 2 , a selling strategy is optimal if and only if it sells the stock either at the terminal time T or at the moment when the stock price hits its maximum price so far. Besides, when α > 1 2 σ 2 , selling the stock at the terminal time T is the unique optimal selling strategy. Our approach to the problem is purely probabilistic and has been inspired by relating the notion of dominant stopping ρτ of a stopping time τ to the optimal stopping strategy arisen in the classical "Secretary Problem". 相似文献
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本讨论了一种新型期权--两值期权的定价问题。建立由Possion跳-扩散过程驱动下的股票价格模型,在此模型下推导出期权的价值方程,并给出期权定价公式。 相似文献
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KorolevVYu ZhaoXuanmin BeningVE 《高校应用数学学报(英文版)》2001,16(3):315-322
Abstract. In this paper, the models of increment distributions of stock price are constructed with two approaches. The first approach is based on limit theorems of random summation. The second approach is based on the statistical analysis of the increment distribution of the logarithms of stock prices. 相似文献
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汇率连动期权是一种未定权益,其投资者不得不同时规避国外股票和外汇价格变动的风险.本文讨论两种汇率连动期权:一种汇率期权,连动国外股票价格的变化;一种写在国外股票上的固定汇率期权,在到期的时候,利用预先约定的汇率将期权的价值转换为国内的货币价值.在利率和汇率同时随机的情况下,本文得到了这两种看涨期权价格的精确解.更进一步,通过得到看涨-看跌期权的平价公式,本文也获得了看跌的汇率连动期权的价格. 相似文献
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