基于随机微分方程模型的股票预测

Stock Forecasting Based on Stochastic Differential Equation Model

金融时间序列是复杂的动态系统,是非线性、混沌和时变的[1],影响金融市场的因素众多,它们之间的相互作用复杂多变。为了更合理的解释经济运行的规律,本文提出了随机微分方程模型,该模型利用进化算法拟合时间序列数据,在常微分方程基础上加入随机项,模拟系统的运作。

Financial time series is complicated dynamic system. It is nonlinear, chaos and time -varying. There are many factors that affect financial markets and the interaction among them is complex. Stochastic differential equation model is proposed in the paper to explain the economic operation rule more reasonably. The model approaches time - serie data using evolutionary algorithms. It adds a random part at the basis of the ordinary differential equations.