股票资金流强弱指数的结构突变研究  

Structural Break Research about Stock Fund Flows Strength Index

作　　者：侯春艳[1] 李俊林[1] 董安强[1] 

机构地区：[1]太原科技大学应用科学学院数学系,太原030024

出　　处：《科技和产业》2017年第2期168-172,共5页Science Technology and Industry

摘　　要：以股票资金流强弱指数为研究对象,根据时间序列分析方法,运用修正的ICSS算法,基于上证A股2010年5月4日至2015年5月22日的日交易数据,得到上证A股的结构突变点,并对所得到的变点进行了实证分析和应用研究。结果表明:上证A股资金流强弱指数是平稳的非正态时间序列;上海股票市场具有波动聚集性,而且是政策市场;构建了股票资金流强弱指数判别法,用以便捷的对资金流强弱指数结构突变点进行分类。In this study,Stock Fund Flows Strength Index was taken as our research target,the time series analysis method and the modified algorithm ICSS was used to obtain the structural break points of Shanghai A-share index based on the Shanghai A-share index transactions date from May 4,2010 to May 22,2015.Then,the structural break points was empirical analysised and applied researched.The results showed the Shanghai A-share Fund Flows Strength Index is a stable non-normality time series.Shanghai stock market is volatility clustering,and it is the market policy.The Stock Fund Flows Strength Index discrimination method was constracted to classify the structural break points of Stock Fund Flows Strength Index easily.

关 键 词：资金流强弱指数 修正的ICSS算法 结构突变 

分 类 号：F830.91[经济管理—金融学]