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上证50指数是中国股票指数期货中一个重要的品种,它是挑选上海证券交易所上规模大、流动性好的最具代表性的50只样本股构成,从而反映市场上最具有影响力的一批龙头企业的整体状况,因此对其研究具有非常重要的意义。本文根据数据的时间序列的特性,选取2004年1月到2016年11月每日收盘价为原始数据作为研究对象,利用数据时间序列特性具有优势性的差分自回归移动平均模型(ARIMA模型)建立ARIMA模型对其进行定量分析,并且对未来走势进行预测。
The SSE 50 Index is an important variety in China stock index futures. It is composed of 50 representative stocks of large scale and good liquidity on the Shanghai Stock Exchange, reflecting the most influential one in the market The overall status of leading enterprises is therefore of great importance to their research. Based on the characteristics of the time series of data, this paper chooses the daily closing price from January 2004 to November 2016 as the research object and establishes the ARMA model based on the differential time-series moving average (ARIMA model) ARIMA model for its quantitative analysis, and predict the future trend.