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本文以上证综指为依据利用非参数贝叶斯方法和SHDP-HMM方法研究市场弱式有效性问题。通过对参数设置服从粘性分层Dirichlet过程的先验分布来建立隐马尔科夫模型,使得转移概率矩阵服从相互关联又有区别的Dirichlet过程。吉布斯抽样解得模型的机制序列以及参数的估计。结果表明,上证综指具有明显的机制转移特征,以SHDP-HMM模型为基础的投资回报持续、显著高于指数回报率,从而得到市场弱式无效的结论。
In this paper, we use the non-parametric Bayesian method and the SHDP-HMM method to study the market weakness validity based on the Shanghai Composite Index. The Hidden Markov Model is established by obeying the prior distribution of the parameterized Dirichlet process, so that the transition probability matrix obeys the interdependent and differentiated Dirichlet processes. Gibbs sampling solution to the model mechanism sequence and parameter estimation. The results show that the Shanghai Composite Index has obvious characteristics of institutional transfer. The return on investment based on the SHDP-HMM model continues to be significantly higher than the index return rate, and the conclusion that the market is weakly ineffective can be obtained.