| 中国股票市场技术分析非线性预测能力的实证检验 |
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| 引用本文： | 王志刚,曾勇,李平. 中国股票市场技术分析非线性预测能力的实证检验[J]. 管理工程学报, 2009, 23(1): 149-153 |
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| 作者姓名： | 王志刚 曾勇 李平 |
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| 作者单位： | 电子科技大学经济管理学院,四川成都,610054 |
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| 基金项目： | 教育部新世纪优秀人才支持计划，电子科技大学中青年学术带头人+创新团队支持计划，电子科技大学青年科技基金 |
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| 摘 要： | 运用前向人工神经网络方法对我国股票市场技术分析非线性预测能力进行了实证检验.发现基于移动平均规则的人工神经网络模型具有明显高于AR模型和各种移动平均规则线性模型的样本外预测能力.为解释技术分析方法具有非线性预测能力的原因,本文构建了一个基于异质市场假说的移动平均规则非线性模型,发现该模型的预测能力远高于其它非线性模型.表明我国股票市场存在异质性特征,技术分析方法能捕捉到不同类型投资者之间非线性的相互作用关系可能正是其具有非线性预测能力的原因.
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| 关 键 词： | 技术分析 移动平均 非线性 人工神经网络 预测 |
An Empirical Test on the Non-linear Predictability of Technical Analysis on China Stock Market |
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| WANG zhi-gang,ZENG Yong,LI Ping. An Empirical Test on the Non-linear Predictability of Technical Analysis on China Stock Market[J]. Journal of Industrial Engineering and Engineering Management, 2009, 23(1): 149-153 |
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| Authors: | WANG zhi-gang ZENG Yong LI Ping |
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| Affiliation: | School of Economics and Management;University of Electronic Science and Technology of China;Chengdu 610054;China |
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| Abstract: | This paper tests the non-linear predictability of technical analysis on China stock market by using the feed forward artificial neural networks.We find that the out-of-sample predictability of the artificial neural networks models based on the moving average rules is significantly higher than the AR model and those linear models based on the moving average rules.And to interpret why technical analysis has non-linear predictability,this paper also builds up a nonlinear model of moving average rules based on ... |
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| Keywords: | technical analysis moving average non-linearity artificial neural networks predictability |
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