生存分析在股市期市涨跌预测中的应用

被引:8
作者
贺筱君 [1 ]
陈俊男 [2 ]
吴佳懋 [2 ]
机构
[1] 北京师范大学
[2] 不详
关键词
生存分析; Cox模型; 预测;
D O I
10.13653/j.cnki.jqte.2014.12.008
中图分类号
F832.51 []; F224 [经济数学方法];
学科分类号
0701 ; 070104 ;
摘要
运用生存分析(Survival Analysis)方法和台湾20092011年每日发布的公开数据,建立Cox回归模型(Cox Regression Model),预测台湾隔日加权股价指数期货涨跌。实证分析显示:涨幅模型预测结果的正确率为74.47%,绩效验证中平均收益为35.73点;跌幅模型预测结果的正确率为75.32%,绩效验证中平均收益为37.99点;将涨跌幅模型综合在一起考虑时,在绩效验证中可知平均收益可达38.68点。
引用
收藏
页码:116 / 126
页数:11
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