世界市场波动对上证A股收益率影响的分析与预测——基于因子-BP神经网络模型

Analysis and Prediction of the Influence of the World Market Fluctuations to Shanghai A-share Yields——Based on factor-the BP neural network model

本文以美国标准普尔,日经225,香港恒生,台湾加权,新加坡海峡时报等亚太市场的收益率波动为解释因子,采用因子分析的方法,提取波动的优化因子作为输入项,运用BP神经网络模型对未来中国上证A股市场未来两周的市场收益率进行拟合和预测,取得了很好的效果。

Taking the return rate volatilities in Asia-Pacific market as the interpretation factors,such as American Standards Poor＇s,Nikkei 225,HK Hang Seng,TWSE and Singapore Straits Times,this paper uses the method of factor analysis to extract the optimal factor of fluctuation as input item,then use BP neural network model to fit and predict the rate of return of Shanghai A-share market in the next two weeks,and good effect is achieved.