反馈式随机游走模型及其在股票投资中应用  

Feedback random walk model and its application to system analysis of stock investment

作　　者：邓贵仕[1] 赖宝全[1] 

机构地区：[1]大连理工大学系统工程研究所,辽宁大连116024

出　　处：《大连理工大学学报》2004年第6期916-919,共4页Journal of Dalian University of Technology

基　　金：国家自然科学基金资助项目(重点项目70031020);国家自然科学基金资助项目(70272050).

摘　　要：针对随机游走分析在股市价格模拟中的固定漂移率、后效性等缺点,提出了反馈式随机游走模型.基于反馈式随机游走模型,通过确定性与随机性因素对股价影响与作用分配模拟了1998～2000年的上证综指.进一步分析了模拟结果的标准差及其正相排序.统计分析表明该模拟有效.与现有股市系统分析方法相比发现,该反馈式随机游走模型具有更适于现实股价波动分析,可确定出对股价影响较大的因素等优点.Aiming at the difficulty of random walk analysis in stock price imitation, such as fixed drift rate, aftereffect character, etc., the feedback factors are added and the imitation is used to cause its dynamic influence on random walk. Based on feedback random walk model, using the influence and effect distribution resulting from determinative and random factors, the Shanghai stock composite index from 1998 to 2000 is imitated. Furthermore, the standard deviation of imitation result and their positive order are analyzed. Statistic analyses indicate that this imitation is effective. The comparison of feedback random walk model with the current stock system analysis methods shows that the model is more suitable for the analysis of fluctuation in stock price and it can confirm the prominent factors affecting the stock price.

关 键 词：随机游走模型 股价波动 股票投资 股市价格 股市系统 上证综指 分配 影响 因素 固定 

分 类 号：F830.91[经济管理—金融学] F832