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用随机漫步模型拟合2000年1月至2010年7月上海证券综合指数(上证指数)的月收盘价、周收盘价、日收盘价、月均价和周均价。先将十进制股票指数转换成标准随机漫步,再将同等步伐的标准随机漫步扩展为十进制步伐的随机漫步以形成随机指数,最后寻找随机漫步模型中拟合指数的最佳种子。结果显示,上证指数主要呈现随机漫步走势,该模型能够拟合上证指数的不同数据系列。
The monthly closing price, weekly closing price, daily closing price, monthly average price and weekly average price of Shanghai Composite Index (SSE Composite Index) from January 2000 to July 2010 were fitted by random walk model. First convert the decimal stock index to a standard random walk, then extend the standard random walk of the same pace to a random walk of decimal steps to form a random index, and finally find the best seed for fitting the index in the random walk model. The results show that the Shanghai Composite Index mainly presents a random walk trend, the model can fit different data series on the Shanghai Composite Index.