上海股市收益率序列簇生特征局部线性平滑分析

本文从分析上海股票市场收益率序列的基本特征入手,重点利用非参数方法分析收益率序列波动性的簇生特征.首先通过一系列描述指标说明股市收益率序列具有的基本特点,利用非参数方法估计收益率序列的密度函数.进一步利用非参数回归分析的方法,分析股票市场的波动性,说明股市收益率序列的簇生特征是一个一般规律,在防范股市风险的时候应该注意到这一特点.

Local Linear Smoothing Analysis of Shanghai Stock Market Returns Sequence Clustering Feature

This paper based on the analysis of the Shanghai stock market return sequence of basic characteristic.Focus on the use of non-parametric method sequence analysis yield volatility of the Cluster.At first described by a series of indicators in the stock market return sequence with the basic characteristics.We use non-parametric estimation methods yield sequence density function.Further use of nonparametric regression analysis,analysis of the volatility of the stock market,Note the stock market return sequence Cluster feature is a general law,to prevent the risk of the stock market should take note of this feature.