Run test is a method to test the Weak Form Efficiency of Capital Market.This paper compares two methodologies introducing separately by Fama(1965) and Mood (1940).Then we test the efficiency of Chinese Stock Market.It...Run test is a method to test the Weak Form Efficiency of Capital Market.This paper compares two methodologies introducing separately by Fama(1965) and Mood (1940).Then we test the efficiency of Chinese Stock Market.It should be pointed out that part of the Stock Market in China has been a Weak Form Efficient Market from the year 1993 on.展开更多
考虑到直接对经验模式分解(EMD)所得多个分量分别建模预测会引入多重随机误差和产生较大预测工作量,提出一种基于游程检测法重构原则的EMD-Elman神经网络组合的风电短时功率预测算法,运用游程检测法对风电出力时间序列EMD得到系列本征...考虑到直接对经验模式分解(EMD)所得多个分量分别建模预测会引入多重随机误差和产生较大预测工作量,提出一种基于游程检测法重构原则的EMD-Elman神经网络组合的风电短时功率预测算法,运用游程检测法对风电出力时间序列EMD得到系列本征模态函数IMF和趋势项Res进行波动性程度检测,将波动程度相似、变化规律相近的分量依照fine to coarse顺序重构成高频分量、低频分量和趋势项。然后针对性地对3个分量分别建立较准确的Elman神经网络短时多步预测模型,可减少预测分量建模数,提高预测精度和预测速度,最后将三分量预测结果自适应叠加。还分别给出两种预测模型的算例,对比分析发现EMD-Elman组合预测模型的精度优于Elman神经网络单一预测模型。展开更多
文摘Run test is a method to test the Weak Form Efficiency of Capital Market.This paper compares two methodologies introducing separately by Fama(1965) and Mood (1940).Then we test the efficiency of Chinese Stock Market.It should be pointed out that part of the Stock Market in China has been a Weak Form Efficient Market from the year 1993 on.
文摘考虑到直接对经验模式分解(EMD)所得多个分量分别建模预测会引入多重随机误差和产生较大预测工作量,提出一种基于游程检测法重构原则的EMD-Elman神经网络组合的风电短时功率预测算法,运用游程检测法对风电出力时间序列EMD得到系列本征模态函数IMF和趋势项Res进行波动性程度检测,将波动程度相似、变化规律相近的分量依照fine to coarse顺序重构成高频分量、低频分量和趋势项。然后针对性地对3个分量分别建立较准确的Elman神经网络短时多步预测模型,可减少预测分量建模数,提高预测精度和预测速度,最后将三分量预测结果自适应叠加。还分别给出两种预测模型的算例,对比分析发现EMD-Elman组合预测模型的精度优于Elman神经网络单一预测模型。