股指期货信息内含股价变动信息的挖掘 ――小波框架与支持向量回归的金融建模应用

统计研究 ›› 2008, Vol. 25 ›› Issue (2): 78-82.

股指期货信息内含股价变动信息的挖掘 ――小波框架与支持向量回归的金融建模应用

戴稳胜;吕奇杰;徐曼文

中国人民大学财金学院;台湾清云科技大学;中国华融资产管理公司

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2008-02-15 发布日期:2008-02-15

Demystifying the Stock Price Information Hidden in Stock Index Futures ——Application of Wavelet Frame and Support Vector Regression

Dai Wensheng Lv Qijie Xu Manwen

Received:1900-01-01 Revised:1900-01-01 Online:2008-02-15 Published:2008-02-15

摘要/Abstract

摘要： 内容提要：中国股指期货的推出指日可待，交易者多了一种投资工具的同时也带来了新的风险。建立准确的金融时间序列预测模型是逐利及避险的方法之一，一直是学者专家研究的热点。本研究结合小波转换与支持向量回归，提出一个二阶段时间序列预测模型。先以离散小波框架将预测变量分解成不同尺度的多个子序列，揭示隐藏在预测变量内的信息，再以支持向量回归为工具，以这些子序列为预测变量建构SVR模型。本研究以日经225指数开盘价为预测目标，以期货开盘价为预测变量对模型进行实证研究，结果显示，该模型的预测绩效比单纯SVR模型及随机漫步模型好。未来可尝试以不同的基底函数作进一步研究。

关键词: 关键词：小波框架, 支持向量回归, 股价预测, 期货信息

Abstract: Abstract：It’s an important method for profiting and risk-evading to construct financial time series forecasting model. This paper brings forward a two stage model combining with wavelet transform and support vector regression to predict the stock price, and uses the wavelet frame to decompose the predict variable to be several subseries with different scales to make the information hidden in predict variable known; and then constructs a SVR forecasting model with these subseries. The purpose is to improve the forecasting accuracy of SVR model through pre-process the predict variable by wavelet frame. In order to validate the forecasting capability, this paper designs an empirical research using the futures price of Nikkei 225 to predict the Nikkei 225 spots open price based on the two stage model. The empirical results show that the proposed model outperforms the SVR model and random walk model, the cumulating returns from the stratagem proposed by this two-stage model is also better than from other models.

Key words: Key words: Wavelet frame, Support vector regression, Stock price forecasting, Futures information

戴稳胜, 吕奇杰, 徐曼文. 股指期货信息内含股价变动信息的挖掘 ――小波框架与支持向量回归的金融建模应用 [J]. 统计研究, 2008, 25(2): 78-82.

Dai Wensheng Lv Qijie Xu Manwen. Demystifying the Stock Price Information Hidden in Stock Index Futures ——Application of Wavelet Frame and Support Vector Regression [J]. Statistical Research, 2008, 25(2): 78-82.