兰州大学机构库 >数学与统计学院
基于LVQ对股指期货交易信息分析的股票指数走势识别研究
Alternative TitleThe Research on Analysis of Stock Index FuturesTransaction Information to Identify Stock Index Trend on LVQ Neural Network
徐虹
Thesis Advisor严定琪
2016-05-14
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
KeywordLVQ 价量分析 沪深300期指 中证500期指 分类识别
Abstract随着股指期货市场投资者增多,交易量持续放大,它对股票市场的影响日益加深。本文旨在运用期货市场的技术分析方法,根据LVQ神经网络的分类模式,将沪深300指数期货(IF)和中证500股指期货(IC)的日行情信息作为输入向量,股票指数未来趋势作为输出向量,以技术分析的角度筛选股指期货日行情信息中对股票指数走势造成影响的变量。通过对输入向量以价格类别或成交量、交易量类别等形式组合,选择不同时间上市交易的股指期货合约,研究期货市场交易信息中会对股票指数未来走势产生重要影响的因素,并且发现期货市场的量、价类别因素交互影响的关系。总体上,由于上市时间、交割到期日的差别,不同种类合约对价和量类别因素的敏感程度是不同的。具体而言,IC期货合约的各个连续指数和IF个别季月合约的量类别变量识别股指上升正确率高,IF当月连续和下季连续的量类别因素对股指下降识别正确率高;IF下月连续的价类别和量类别因素能分别识别股指上升和下降;但是IF隔季连续合约的价、量类别因素均对股指敏感性低。投资者可以根据当前期货市场交易信息的具体情况,依据研究结果,对股票市场走势的进行判断,以辅助投资决策。
Other AbstractWith the stock index futures market investors increasing and trading volume enlarging, its impact on the stock market becomes more deepen. In this thesis, according to the technical analysis method of futures market and classification model of LVQ neural network, we select the Shanghai and Shenzhen 300 Index Futures (IF) and the CSI 500 Stock Index Futures (IC) day market information as input vector and the stock index future trend as the output vector. In the view of technical analysis, the variables that affect the trend of stock index in stock index futures day market information are selected. Then the stock index futures contract is classified by "time", the thesis studies the influence of the "price", "quantity" and "time" of the futures market on the future trend of the stock index. Through the input vectors are in the form of price category or volume, trading volume and other forms of combination, then we choose stock index futures contracts with different time of listing, which could help study the influence of the "price", "quantity" and "time" of the futures market on the future trend of the stock index. We will discover the trend of the stock index by the interaction of the quantity and price category of the futures market. Overall the sensitivity of the price and quantity category is different. Specifically, IC futures contracts for the various continuous index and IF quarter month futures contract quantity category variable identify index rosing correct rate high, IF continuous and continuous next season, the amount of categories of factors on the stock index fail to identify the correct rate of high, IF next month for the continuous price category and the amount of categories of factors that can identify the stock index rose or fell. However, the price and quantity category of IF futures continuous contracts are no sensitive to the trend of stock index. The above results can help investors to judge the trend of the stock market.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225220
Collection数学与统计学院
Recommended Citation
GB/T 7714
徐虹. 基于LVQ对股指期货交易信息分析的股票指数走势识别研究[D]. 兰州. 兰州大学,2016.
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