A Hidden Markov Chain Modeling of Shanghai Stock Index
Abstract: This paper develops a model of financial forecasting using hidden Markov chains. Empirical ana- lysis was carried out with respect to Shanghai Stock Exchange Index (SSEI) using daily data for the period from 2002.12.17-2011.3.18 (2000 samples). A three dimensional hidden Markov chain is identified to fit the data in the sampling period. An altered 10-day weighted average method was proposed, and was found to be useful for out-of-sample forecasting.
文章引用: 龚健 , 马成虎 (2012) 基于隐马尔可夫链的上证股指建模。 金融， 2， 45-49. doi: 10.12677/fin.2012.21005
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