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中国管理科学

中国管理科学 ›› 2009, Vol. 17 ›› Issue (3): 8-17.

• 论文 • 上一篇    下一篇

基于贝叶斯推断的上证指数突变点研究

王维国, 王霞   

  1. 东北财经大学数学与数量经济学院, 辽宁大连 116025
  • 收稿日期:2008-03-10 修回日期:2009-04-27 出版日期:2009-06-30 发布日期:2009-06-30
  • 作者简介:王维国(1963- ),男(汉族),吉林白城人,东北财经大学数学与数量经济学院,教授,博士,博士生导师,研究方向:经济计量分析.
  • 基金资助:

    辽宁省高等学校创新团队支持计划资助项目

Research on Change-Points in Shanghai Composite Index Based on Bayesian Inference

WANG Wei-guo, WANG Xia   

  1. Northeast University of Finance and Economics, Dalian 116025, China
  • Received:2008-03-10 Revised:2009-04-27 Online:2009-06-30 Published:2009-06-30

PDF (PC)

2583

被引次数

49

摘要： 中国股市因法制建设、市场机制不完善以及投资者心理不成熟等原因,易受外界各种因素的影响而产生突变。本文引入基于贝叶斯推断的突变点判断方法,通过构造似然函数,同时利用先验信息和样本信息,并采用吉布斯抽样完成突变点位置的判断。此外,本文将突变点个数的判断问题作为模型的选择问题对待,采用后验优比进行抉择。引入该方法后,本文对我国上证指数序列的突变点个数及突变位置进行判断。研究发现,在1993年1月至2008年5月,上证指数存在四个突变点,分别为:1994年12月前后,2000年1月(或2001年7月)前后,2006年4月前后,2007年11月前后。

关键词: 贝叶斯推断, 突变点, 上证指数, Gibbs抽样

Abstract: Subjected to a variety of outside factors,change-point appears easily due to the imperfect legal system and market mechanism as well as psychologically immature investors and other reasons in the stock market of China. This paper determineds the locations of changepoints by introducing the method which is based on the theory of Bayesian inference,constructing a likelihood function,while using prior information and sample information,as well as adopting Gibbs sampling. In addition,Which considers the problem for the number of change-points as a problem of selection for the model,is determined by utilizing the posterior odds. After the introduction of the method,determined the number and locations of change-points in the sequence of Shanghai Composite Index. It was found in the study that,from January 1993 to May 2008,Shanghai Composite Index had four change-points as follows:about December 1994,January 2000 (or July 2001),April 2006 and November 2007.

Key words: bayesian inference, change-points, Shanghai composite index, gibbs sampling

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