标题:
上证综合指数日收盘价的短期预测——基于ARIMA模型的实证分析Short Term Forecast ofDaily Closing Price of Shanghai Composite Index—Empirical Analysis Based on ARIMA Model
作者:
周小丽, 吴志雄
关键字:
上证综合指数, 时间序列, ARIMA模型, 预测Shanghai Composite Index, Times Series, ARIMA Model, Predict
期刊名称:
《Advances in Social Sciences》, Vol.5 No.4, 2016-09-22
摘要:
上海证券交易所作为国内两大交易所之一，它编制的上证综合指数能有效反映在该交易所上市的股票价格的变动情况。通过建立合适的时间序列模型，对该指数变化趋势进行预测分析具有重要意义。文章对历史数据进行处理，通过R语言进行模型选择及估计，实现上证综合指数日收盘价格的短期预测，为股票市场投资者提供相关参考。
Shanghai stock exchange is one of the two major exchanges, its establishment of the Shanghai Composite Index can effectively respond to changes in the stock price listed on the exchange. Through the establishment of a suitable time series model, it is important to predict and analyze the trend of the index change. By dealing with the historical data and using R to select the model and estimate the parameters, this article achieved the short-term closing price forecasting of the Shanghai Composite Index, and this will provide the relevant reference for the trend analysis of stock market.