本文選題：粒子濾波 + 卡爾曼濾波��； 參考：《上海交通大學(xué)》2014年碩士論文

【摘要】：本文主要對(duì)股指期貨價(jià)格進(jìn)行分析，以雙因子隨機(jī)模型對(duì)期貨價(jià)格進(jìn)行建模，并使用粒子濾波方法對(duì)狀態(tài)和參數(shù)進(jìn)行聯(lián)合估計(jì)。 在對(duì)期貨價(jià)格進(jìn)行建模時(shí)，考慮到股指期貨的特性，依然使用短期波動(dòng)和長(zhǎng)期均衡作為建模的因子，來反映短期內(nèi)期貨價(jià)格有一定的均值回復(fù)現(xiàn)象，而長(zhǎng)期會(huì)因?yàn)閲医?jīng)濟(jì)環(huán)境，產(chǎn)業(yè)政策等因素呈現(xiàn)隨機(jī)不確定性。 針對(duì)已建立的狀態(tài)空間模型，本文使用粒子濾波，而非通常使用的卡爾曼濾波�？柭鼮V波主要適用于線性高斯動(dòng)態(tài)系統(tǒng)，針對(duì)非線性的情況，擴(kuò)展卡爾曼濾波和無味卡爾曼濾波相應(yīng)作了近似調(diào)整，，而針對(duì)非高斯噪聲的情況，卡爾曼濾波的估計(jì)效果將降低。然而粒子濾波在對(duì)狀態(tài)空間建模上沒有任何限制，面對(duì)非線性非高斯的模型，粒子濾波將顯得游刃有余。 最后本文通過以滬深300為標(biāo)的的股指期貨主力合約作為實(shí)證對(duì)象，來對(duì)期貨價(jià)格進(jìn)行狀態(tài)和參數(shù)的聯(lián)合估計(jì)。
[Abstract]:In this paper, the price of stock index futures is analyzed, the futures price is modeled by double factor stochastic model, and the state and parameters are estimated by particle filter.In the modeling of futures prices, considering the characteristics of stock index futures, we still use short-term volatility and long-term equilibrium as modeling factors to reflect the phenomenon of average return of futures prices in the short term.And long-term because of the national economic environment, industrial policy and other factors presented random uncertainty.For the established state space model, particle filter is used instead of Kalman filter.The Kalman filter is mainly suitable for the linear Gao Si dynamic system. For the nonlinear case, the extended Kalman filter and the tasteless Kalman filter are approximately adjusted accordingly, while for the non- noise, the extended Kalman filter and the tasteless Kalman filter are adjusted approximately.The estimated effect of Kalman filter will be reduced.However, particle filter has no limitation on the modeling of state space. In the face of nonlinear and non- model, particle filter will be able to work well.Finally, this paper uses the main stock index futures contract of Shanghai and Shenzhen 300 as the empirical object to estimate the state and parameters of the futures price.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F724.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前3條

1 侯代文;殷福亮;;非線性系統(tǒng)中狀態(tài)和參數(shù)聯(lián)合估計(jì)的雙重粒子濾波方法[J];電子與信息學(xué)報(bào);2008年09期

2 ;Joint state and parameter estimation in particle filtering and stochastic optimization[J];Journal of Control Theory and Applications;2008年02期

3 閆偉;李樹榮;郭永恒;;帶有隨機(jī)匯率因素的三因子期貨價(jià)格的研究[J];中國石油大學(xué)學(xué)報(bào)(自然科學(xué)版);2009年06期

本文編號(hào)：1773123