摘要
通过对最可能使上证指数产生异动的因素进行事件分析,并将这些因素加入到对上证指数近两年来的经验数据的拟合中进行多种模型的建模.然后运用蒙特卡罗方法对未来股指的走势进行模拟,得出在各种假定的条件下,上证指数的某些特定点位的首达时的概率分布的预测,从而给出了相应时间范围内的股指向上突破或者向下回调到某个点位的概率语言的回答.
By conducting an event study on the factors that may most likely incur abnormal changes in Shanghai stock index was made, joining these factors to our models on the empirical data of the index during the last two years and then simulating the index in the future via the Monte-Carlo method, the probability distribution forecast of the first passage time (FPT) of Shanghai stock index conditional on some hypothesis was obtained. As a result, it was shown whether Shanghai stock index will attain a certain position in a period of coming days in a probability language.