| 摘要: |
| 摘 要:建立了股票指数的随机微分方程模型,采用非参数估计方法对其进行估计,并给出了相应的非
参数估计表达式,接着给出了具体的非参数估计算法,最后利用上证指数的收盘价数据进行实证分析,实证
表明该模型能较好的刻画股票指数的许多统计特征,非参数估计方法也切实有效,模拟效果较好,能较好的
预测股票指数的未来趋势。 |
| 关键词: 关键词:随机微分方程 非参数估计 股票指数 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Nonparametric estimation of stochastic differentialequations and its empirical study on stock index |
|
ZHANG De2fe i1 , DUAN Xing2de2
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| Abstract: |
| Abstract: In this paper, we have p roposed the stochastic differential equation model on stock index and gave
the nonparametric estimators of the infinitesimal coefficients associated with the stochastic differential equation.
Then, the nonparametric estimation algorithm and emp irical study on Shanghai stock exchange indexwere given. It
has shown that the model could describe many statistical characteristics of stock index; the algorithm was feasible
and could better forecast the tendency about the stock index. |
| Key words: Key words: stochastic differential equation nonparametric estimation stock index |
