| 图形技术分析的统计刻画 |
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| 引用本文： | 董南,李元,李明新.图形技术分析的统计刻画[J].数理统计与管理,2012,31(2):348-351. |
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| 作者姓名： | 董南 李元 李明新 |
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| 作者单位： | 1. 广州大学数学与信息科学学院,广东广州,510006
2. 中国石油大学理学院,山东青岛,266555 |
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| 基金项目： | 国家自然科学基金资助(项目编号:10971042) |
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| 摘 要： | 本文在Lo等(2000)研究的基础上,给出了基于局部极值点刻画的4种技术形态的数学定义,并基于局部多项式估计方法给出了这些形态的自动识别算法。应用所提出的算法对我国沪市A股进行了图形技术分析的实证研究。研究结果表明本文定义的技术形态包含一般统计意义上显著的附加信息,从而证明了图形技术分析的有效性。
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| 关 键 词： | 图形技术分析 局部多项式估计 形态识别 |
The Statistical Characterization of Chart-Based Technical Analysis |
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| DONG Nan,LI Yuan,LI Ming-xin.The Statistical Characterization of Chart-Based Technical Analysis[J].Application of Statistics and Management,2012,31(2):348-351. |
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| Authors: | DONG Nan LI Yuan LI Ming-xin |
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| Institution: | 1.School of Mathematics and Information Sciences,Guangzhou University,Guangdong Guangzhou 510006,China;2.School of Sciences,University of Petroleum of China,Shandong Qingdao 266555,China) |
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| Abstract: | Based on Lo etc’s work(2000)’,we propose four mathematical definitions for technical pattern by local extreme methods and give an automatic algorithm the technical pattern recognition by using nonparametric local polynomial method.Then we do empirical study on Shanghai stocks for the chart-based technical analysis by applying the proposed method.Empirical results show that the chartbased technical analysis contains general significant additional information in statistical sense,which illustrates its effectiveness. |
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| Keywords: | chart-based technical analysis local polynomial model pattern recognition |
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