股市预测的一个随机时间序列模型及其实证

Autoregressive Method on Stock Market Prediction and Its Empirical Analysis

给出了将非平稳时间序列转化为平稳序列构建自回归模型的步骤和方法.将这一方法具体运用于上证指数的预测,并证实该方法与实际吻合很好.最后讨论了该方法运用于股市波段预测应注意的问题.

The steps and methods of how to construct an autoregressive model are given;the model sample comes from a nonstationary time series. The concrete instance gives the fact that the autoregressive model is good at stock price prediction. Some problems of how to apply the model are discussed.