时间序列短期趋势信号模型研究

Study on Time Series of Short-Term Trend Signal Model

时间序列是按固定的时间间隔对数据采样,按照时间顺序依次排列的一组被观测数据或信息。随着我国金融证券市场的不断发展和日渐完善,金融时间序列的研究对金融投资者具有越来越重要的意义,受到越来越多的研究者和投资者的关注。文中的研究目的是通过金融时间序列的短期的趋势信号估计金融时间序列的短期趋势,提出短期趋势为信号的模型,用最小二乘法对所估计出的短期趋势建立趋势模型,并做了短期趋势信号的模型的实证研究。通过对上证A股的时间序列进行实证分析,实验表明所建立的模型是有效的,能够为投资者提供参考。

Time series is based on a fixed time interval of data sampling. Time series is arranged in chronological order a set of data or information which has been observed. With the development of financial market in our country, financial time series are becoming mote im- portant for financial investors. More and mote scholars and investors pay attention to the study of time series. It is on the trend of financial time series. Detect the short term signals and predict the short term trend. Detect the rising trend＇and falling trend in financial time series. Classify the trend in time series as strict trend, flexible trend and interval trend. Also define the strength of trend. Use actual value of time ,series to construct a model to modify the forecast value of the financial time series. Predict the trend rightly. So it is useful to investors.