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(英文)

Fitting of SSEC Index(Shanghai Composite) from January 2000 to July 2010 Using Random Walk Model

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 random walk model was used to fit the SSEC index dated from January 2000 to July 2010 based on daily,weekly and monthly close prices,as well as average weekly and monthly prices.This study conducted firstly to convert the decimal index into an index walk to use the standard random walk to fit,then to extend the standard random walk with equal sized-step to a decimal sized-step random walk to construct a random index,and finally to find out the best seed in random walk model that fits the index well.The results show that the random walk model can fit different datasets of the SSEC index,suggesting that the SSEC index mainly behaves as a random walk.