| 基于ARMA模型的股价分析与预测的实证研究 |
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| 引用本文： | 冯盼,曹显兵.基于ARMA模型的股价分析与预测的实证研究[J].数学的实践与认识,2011,41(22). |
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| 作者姓名： | 冯盼 曹显兵 |
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| 作者单位： | 北京工商大学 理学院,北京,100048 |
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| 基金项目： | 北京市高等学校人才强教计划项目(201102) |
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| 摘 要： | 利用ARMA模型对招商银行(600036)的股票日开盘价(2010/10/13-2011/4/8)数据进行分析,并预测出未来3天(2011/4/11-2011/4/13)的股票开盘价数据.与实际数据相对照,模型预测误差小,说明ARMA模型非常适合于短期预测.
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| 关 键 词： | 时间序列 ARMA模型 Box-Jenkins方法 股价预测 |
An Empirical Study on the Stock Price Analysis and Prediction Based on ARMA Model |
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| FENG Pan,CAO Xian-bing.An Empirical Study on the Stock Price Analysis and Prediction Based on ARMA Model[J].Mathematics in Practice and Theory,2011,41(22). |
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| Authors: | FENG Pan CAO Xian-bing |
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| Institution: | FENG Pan,CAO Xian-bing (Beijing Technology and Business University,Beijing 100048,China) |
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| Abstract: | the ARMA model is used to analyze the data of China Merchants Bank(600036) shares at the opening price(2010/10/13-2011/4/8) and to predict the next three days (2011/4/11 -2011/4/13) stock opening price data.In contrast with the actual data,the model prediction error is small,indicating that ARMA model is very suitable for short-term forecasts. |
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| Keywords: | time series ARMA model Box-Jenkins method stock price prediction |
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