模糊时间序列建模及股票市场多步预测  

Multi-step forecasting of stock markets based on fuzzy lime series model

作　　者：杨一文[1] 蔺玉佩[1] 

机构地区：[1]西北工业大学管理学院管理科学与工程系,西安710072

出　　处：《计算机工程与应用》2014年第5期252-256,260,共6页Computer Engineering and Applications

基　　金：国家自然科学基金(No.70471026);教育部人文社会科学研究基金(No.09YJAZH073)

摘　　要：首先应用模糊聚类方法将数据分类,以相邻两个聚类中心的中点作为子区间的分界点来划分论域,并以此将时间序列模糊化为模糊时间序列;其次根据证券市场主要量价指标建立了具有多个前件的高阶模糊关系;最后将该模型用于上证股票综合指数和深证股票成分指数的多步预测和涨跌趋势预测。与典型模糊时间序列模型比较,涨跌趋势预测准确率有较大提高,多步预测结果表明模型具有较好的泛化能力。First, the universe of the discourse is divided into subintervals with the midpoints between two adjacent cluster centers generated by the fuzzy clustering method as their endpoints. And the sub-intervals are employed to fuzzify the time series into fuzzy time series. Then, the fuzzy time series model of high-order fuzzy relationships with multiple fac-tors is built according to the main indexes representing stock price and trading volume. Finally, the model built in this paper is used to perform one-and multi-step forecasting of the daily Shanghai Stock Exchange composite index and Shen-zhen Stock Exchange component index, respectively. Comparing with the benchmark model, one-step forecasting results show that the model improves the prediction accuracy and percent correct of the market up＆amp;down trend prediction, and multi-step forecasting results show that the model has good generalization.

关 键 词：模糊时间序列 股票市场 多步预测 

分 类 号：O211.61[理学—概率论与数理统计]