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GL算法在股指期货投资中的应用
引用本文:吴亚桢,廖靖宇,张应山.GL算法在股指期货投资中的应用[J].数理统计与管理,2012(6):1103-1109.
作者姓名:吴亚桢  廖靖宇  张应山
作者单位:许昌学院数学与统计学院;华东师范大学金融与统计学院
基金项目:教育部高校博士点专项基会(44K55050)资助;河南省教育厅自然科学基金(2011A110019)资助
摘    要:文章对于证券市场这样的复杂数据系统,通过运用GL算法的5个指标,对股指期货的标的物沪深300指数进行了实证研究。研究表明,GL算法的5个指标,能够揭示指数现货市场的偏离、风险以及稳定性;通过SAS软件数据模拟,发现这5个指标能够很好的捕捉沪深300指数趋势的转变,对股指期货的实际操作具有很强的指导意义。

关 键 词:GL算法  股指期货  5个指标  数据模拟

Application of Global-Local Algorithm in the Investment of Stock Index Futures
WU Ya-zhen,LIAO Jing-yu,ZHANG Ying-shan.Application of Global-Local Algorithm in the Investment of Stock Index Futures[J].Application of Statistics and Management,2012(6):1103-1109.
Authors:WU Ya-zhen  LIAO Jing-yu  ZHANG Ying-shan
Institution:1.School of Math,and Statistics,Xuchang University,Henan Xuchang 461000,China; 2.School of Finance and Statistics,East China Normal University,Shanghai 200241,China)
Abstract:For the complex data systems like stock markets,this paper investigates Hu-Shen 300 stock Indexes which is the underlying asset of stock index futures with the five indexes of Global-Local Algorithm. The evidence suggests that the five indexes of Global-Local Algorithm can reveal the deviation,risk and stability of the spot market;Data simulation were processed with the SAS software,the results indicate that the five indexes can capture the transition of trend of Hu-Shen 300 stock Indexes,and it is of significance in actual operation of stock index futures.
Keywords:Global-Local algorithm  stock index futures  the five indexes  data simulation
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