GL算法在股指期货投资中的应用  

Application of Global-Local Algorithm in the Investment of Stock Index Futures

作　　者：吴亚桢[1] 廖靖宇[1] 张应山[2] 

机构地区：[1]许昌学院数学与统计学院,河南许昌461000 [2]华东师范大学金融与统计学院,上海200241

出　　处：《数理统计与管理》2012年第6期1103-1109,共7页Journal of Applied Statistics and Management

基　　金：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。For the complex data systems like stock markets, this paper investigates Hu-Shen 300 stock In- dexes 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 sig- nificance in actual operation of stock index futures.

关 键 词：GL算法 股指期货 5个指标 数据模拟 

分 类 号：O224.7[理学—运筹学与控制论]