优化MACD模型的股票价格预测
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- 英文论文题名：Stock Price Prediction by Optimizing MACD Model
- 论文作者：杨永洁
- 英文论文作者：YANG Yongjie ; School of Computer ; Electronics and Information ; Guangxi University
- 年：2016
- 作者机构：广西大学计算机与电子信息学院;
- 论文关键词：股票价格 ; 量化交易 ; 机器学习
- 英文论文关键词：Stock price ; Quantitative trading ; Machine learning
- 会议召开时间：2016-11-25
- 会议录名称：广西计算机学会2016年学术年会论文集
- 语种：中文
- 分类号：F832.51
- 学会代码：GXJH
- 会议名称：广西计算机学会2016年学术年会
- 会议地点：中国广西南宁
- 主办单位：广西计算机学会
- 学会名称：广西计算机学会
- 页数：9
- 文件大小：323k
- 原文格式：D
- 会议级别：地方
摘要
通过在MACD策略中加入市场活跃程度、波动率、DIFF趋势程度三个参数来共同产生交易信号,采用热点图对指数平滑异同移动平均线MACD策略中的参数以及股票进行选择,运用技术分析工具和线性回归、SVM、RVM等机器学习方法对MACD策略中产生的交易信号进行改进优化,筛选特征变量,实现对中国A股市场股票趋势进行抓取。实验结果表明,本文设计的交易策略可以在一定程度上抓住股票上升的趋势,有效地规避风险。
Three parameters for market activity, volatility, and DIFF trend are added into the MACD strategy to generate trading signals. The parameters of average convergence moving strategy and the stock are selected by the heat map. The technical analysis tools and linear regression, SVM, RVM methods are used to improve the transaction signal in the MACD strategy, and the tendency of China's A-share market is obtained. Experimental results show that the presented trading strategy is able to seize the upward tendency of stock market partly, and it can effectively avoid risks.
Three parameters for market activity, volatility, and DIFF trend are added into the MACD strategy to generate trading signals. The parameters of average convergence moving strategy and the stock are selected by the heat map. The technical analysis tools and linear regression, SVM, RVM methods are used to improve the transaction signal in the MACD strategy, and the tendency of China's A-share market is obtained. Experimental results show that the presented trading strategy is able to seize the upward tendency of stock market partly, and it can effectively avoid risks.
引文
[1]Tobias J.Moskowitz,Yao Hua Ooi,Lasse H.Pedersen.Time series momentum[J].Journal of Financial Economics,2012,104(2):228-250.
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[5]姜富伟,David E.Rapach,Jack K.Strauss.中国股票市场可预测性的实证研究[J].金融研究,2011,9:107-121.
[6]韩豫峰,汪雄剑.中国股票市场是否存在趋势?[J].金融研究,2014,3:152-163
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[2]Narasimhan Jegadeesh.Evidence of predictable behavior of security returns[J].Journal of Finance,1990,45(3):881-898.
[3]Harrison Hong,Jeremy Stein.A unified theory of underreaction,momentum trading,and overreaction in asset markets[J].Journal of Finance,1999,54(6):2143-2184.
[4]Clifford S.Asness,Tobias J.Moskowitz,Lasse Heje Pedersen.Value and Momentum Everywhere[J].Journal of Finance,2013,68(3):929-985.
[5]姜富伟,David E.Rapach,Jack K.Strauss.中国股票市场可预测性的实证研究[J].金融研究,2011,9:107-121.
[6]韩豫峰,汪雄剑.中国股票市场是否存在趋势?[J].金融研究,2014,3:152-163
[7]蔡瑞胸.金融数据分析导论[M].北京:机械工业出版社,2013.10.
[8]罗刚君.Excel VBA程序开发自学宝典[M].北京:电子工业出版社,2014.9.
[9]Peter Dalgaard.R语言统计入门[M].北京:人民邮电出版社,2014.5.