| 股票指数模糊随机预测与灰色预测实证比较研究 |
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| 引用本文： | 李嵩松,惠晓峰.股票指数模糊随机预测与灰色预测实证比较研究[J].哈尔滨工业大学学报(社会科学版),2010,12(5):48-53. |
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| 作者姓名： | 李嵩松 惠晓峰 |
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| 作者单位： | [1]哈尔滨工业大学经济与管理学院,哈尔滨150001 [2]哈尔滨学院财经与管理学院,哈尔滨150086 |
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| 基金项目： | 国家自然科学基金，高等学校博士学科点专项科研基金 |
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| 摘 要： | 灰色预测和模糊随机预测是两种不同的对股票指数进行预测的方法。灰色预测模型出现的较早,模糊随机预测模型是近年来才被应用在对股票指数的预测当中。为了找出能够更加准确和能够得到更接近于真实值的较优预测模型,分别依据灰色预测模型和模糊随机预测模型,以2009年全年的每日60分钟沪深300指数为样本进行了实证研究。研究发现,采用模糊随机预测模型得到的预测结果中有71%比采用灰色预测模型得到的预测结果更接近于真实的股票指数。研究结果表明,在对股票指数实时预测准确度方面,模糊随机预测模型优于灰色预测模型。
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| 关 键 词： | 股指预测 模糊随机预测 灰色预测 沪深300指数 |
A Comparative Study on Stock Index Grey Prediction and Fuzzy Stochastic Prediction |
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| LI Song-song,HUI Xiao-feng.A Comparative Study on Stock Index Grey Prediction and Fuzzy Stochastic Prediction[J].Journal of Harbin Institute of Technology(Social Sciences Edition),2010,12(5):48-53. |
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| Authors: | LI Song-song HUI Xiao-feng |
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| Institution: | 1.School of Economy and Management,Harbin Institute of Technology,Harbin 150001,China;2.School of Finance and Economics Management,Harbin University,Harbin 150086,China) |
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| Abstract: | Grey prediction and fuzzy stochastic prediction are two different stock index prediction methods.Grey prediction model came out earlier than fuzzy stochastic prediction model,and the latter was just used in the area of stock index prediction in recent years.In order to evaluate which is the better method to get more accurate and more reliable stock indexes forecasting results,this paper predicts a full-year 2009 HS300 stock indexes using these two prediction models respectively.According to the empirical study,71% forecasting results of the fuzzy stochastic prediction model are close to the real HS300 stock indexes.This study shows that fuzzy stochastic prediction model is more effective than grey prediction model in the aspect of forecasting accuracy. |
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| Keywords: | stock index prediction fuzzy stochastic prediction grey prediction HS300 stock index |
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