基于无偏灰色—马氏链组合模型的股价研究

Unbiased grey-Markov chains model and its application in stock price studies

通过对股票价格运行特点分析,将这一随机时间序列分解成由灰色模型拟合的趋势变动序列和马尔可夫链,并在对两者详细剖析的基础上建立了无偏灰色—马氏链组合模型,以此预测上证综合指数的区间概率分布、平稳分布、均值以及平均涨落时间,检验和实例表明该模型具有较高精度和应用价值.

Introduces an unbiased grey-Markov chains model,based on decomposing stochastic time series of stock prices into trened series approximated by the grey model and Markov chains. This model combines important and relevant features of the two within the context of stock price studies. Empirical evidence from Shanghai Stock Exchange suggests the model has high accuracy and predictive power in esimatins the probability distribution,steady distribution and the length of average price cycle of stock indices.