牛市与熊市——基于游程序列的实证分析

Bulls and Bears-Empirical Analysis Based on Run-length Sequence

为了研究上证综指的概率分布以及特征,选取1990-12-19—2016-01-15为样本时间段,采用修正的BB转折点划分方法对其进行周期划分,得到牛市、熊市;通过提取游程序列的方法,针对股价观察值的正负号进行分析,给出每个周期上涨及下跌天数的概率分布表及相关统计特征,并进行了比较,从中总结出牛市与熊市的典型特征;然后,对于牛市时间段2014-08-28—2015-06-12,选取工商银行、中国平安、中国石油、中国石化、中信证券这5只热门个股进行同样的计算和分析,发现这5只热门个股的涨跌趋势与大盘一致,经过实证分析发现利用提取游程序列的方法研究股票市场的涨跌特征简单可行。

This paper aims to study the probability distribution and the characteristics of the Shanghai Composite Index. We select 1990-12-19—2016-01-15 as sample time period,using amendatory BB turning point dividing method to get bull and the bear market. By extracting method of run- length sequences,we derive the probability distribution tables of each cycle up and down days for price observations ＇ sign and the statistical characteristics. Then,we give the comparative analysis and summarize the typical characteristics of the bull market and bear market. Finally, for a bull market period of 2014-08-28—2015-06-12, we select Industrial and Commercial Bank,Ping＇an of China,China National Petroleum Corporation,SINOPEC and CITIC Securities to share the same calculation and analysis,we find that the trend of the five hot stocks in line with the market.Moreover,we can derive a conclusion that the method of run length sequence is simple and feasible when analyzing the characteristics of the stocks＇ ups and downs by empirical analysis.