【摘要】：針對股票市場內(nèi)部結(jié)構(gòu)復(fù)雜性和外部因素多變性,構(gòu)建一種基于預(yù)測的股票市場泡沫模型.以上證指數(shù)為研究對象,在價格和成交量的基礎(chǔ)上,將與股票市場密切相關(guān)的宏觀經(jīng)濟(jì)指標(biāo)引入泡沫模型指標(biāo)體系,并對指標(biāo)體系中各變量之間長期均衡關(guān)系和因果關(guān)系進(jìn)行數(shù)量分析.在此指標(biāo)體系下,構(gòu)建向量自回歸模型(VAR)模型衡量股票市場基礎(chǔ)價值,并據(jù)此分析宏觀經(jīng)濟(jì)指標(biāo)對市場的影響;同時構(gòu)建基于橢圓基函數(shù)且能夠動態(tài)調(diào)整網(wǎng)絡(luò)結(jié)構(gòu)的廣義動態(tài)模糊神經(jīng)網(wǎng)絡(luò)模型(GD-FNN)對上證指數(shù)進(jìn)行擬合預(yù)測作為股票市場的市場價值,并通過GD-FNN模型提取的模糊規(guī)則對股票非線性系統(tǒng)運行模式進(jìn)行分析.最后,根據(jù)預(yù)測的股票市場市場價值與基礎(chǔ)價值之間的偏差計算泡沫度,并提出相應(yīng)的預(yù)警策略.
[Abstract]:Aiming at the complexity of internal structure and the variability of external factors in stock market, a foresight model of stock market bubble is constructed. Taking the Shanghai Stock Exchange Index as the research object, on the basis of the price and the trading volume, the macro-economic index closely related to the stock market is introduced into the index system of the bubble model. The long-term equilibrium and causality among the variables in the index system are analyzed quantitatively. In this index system, we construct the vector autoregressive model (VAR) to measure the fundamental value of stock market, and then analyze the influence of macroeconomic indicators on the market. At the same time, the generalized dynamic fuzzy neural network model (GD-FNN), which is based on elliptic basis function and can dynamically adjust the network structure, is constructed to predict Shanghai stock index as the market value of stock market. The operation mode of stock nonlinear system is analyzed by fuzzy rules extracted from GD-FNN model. Finally, the foaming degree is calculated according to the deviation between the predicted stock market value and the basic value, and the corresponding early warning strategy is put forward.
【作者單位】： 北京科技大學(xué)
【基金】：國家自然科學(xué)基金(70771008,70371057) 北京科技大學(xué)博士研究生科研基金項目
【分類號】：F224;F830.91

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