时间序列模型在股票预测方面的应用.pdf

时间序列模型在股票预测方面的应用摘要股票市场作为国民经济的重要组成部分,股票市场的发展对国民经济的发展起到重要的推动作用,同时股票市场的运行又受到整个国民经济发展形势的制约。中国股票市场自建立起到现在取得了长足的进步,但市场表现出的波动幅度和风险性要大大高于国外成熟的资本市场。因此,在我国股票市场即将取得重大发展的时期对其进行波动特征研究就显得尤为重要。本文以上证综合指数月市盈率作为研究对象,。针对寻找影响市盈率多种因素的困难,提出从市盈率的的数据本身出发,利用 B-J时间序列分析方法建立自回归滑动平均模型ARMA,对股票市盈率分析并预测。对上证综合指数的市盈率的数据实证研究并短期预测,结果表明其预测效果良好。关键词:股票时间序列分析市盈率ARMA模型预测 ABSTRACT The stock market is animportant part of the national economy, its development plays a critical role in national economy, at the same time, the operation of the stock market is restricted by the developing situation of the whole national economy. Chinese stock market grows fastand has made great progress since it was founded, and the market risk and volatility is much larger than that of foreignmarkets. So it is necessary to study the volatility character of stock market when it is on the developing way. In this text, we will regard Shanghai positeprice-earning ratiosas the main study object, and try to use the ARMA models to describe the volatility character with the statistic software . As for the difficulties of looking for a variety of factors influencing the price-earning ratios, the model built by the data itself with B-J’s method of time series is presented to analyze and to forecast. A stock’s price-earning ratios empirical research is carried out, which is included short-term forecast. The result shows that the method gives a good short-term predict. Key words: stock, analysis of the series,price-earning ratios, ARMA models, forecast 0 引言市盈率是投资者分析股票价值的重要指标,其定义为每股股票价格与每股税后利润的比率,全称为“市价盈利比率”。它可估计股票的投资报酬和风险, 如果能对股票市盈率进预测有助于投资者做出合理的投资决策,使社会财富在不同投资者之间进行优化分配。许多学者对市盈率已进行研究。吴世农和吴育辉指出了企业及所在行业的发展前景、未来的收益和风险是影响市盈率的三大影响因素。丁忠明指出了创业板股票月均发行市盈率与场指数正向相关,与上市溢价率负相关。蔡玉兰在固定增长股利贴现模型的基础上,结合资本资产定价模型和改进的杜邦分析法,指出股利发放率、无风险报酬率、贝塔系数、市场组合的预期报酬率等九大因素影响市盈率。王春丽通过建立面板模型探究在市净率( P/B) 、系数和流通股比例( CSP) 等因素共同影响下行业整体业绩增长对市盈率水平的影响。吴树畅就股价与股价的