基于时间序列分析的股票价格短期预测与分析

成都理工大学毕业设计（论文）I基于时间序列分析的股票价格短期预测与分析姓名：王红芳数学与应用数学一班指导老师：魏友华摘要时间序列分析是经济领域研究的重要工具之一，它描述历史数据随时间变化的规律，并用于预测经济变量值。在股票市场上，时间序列预测法常用于对股票价格趋势进行预测，为投资者和股票市场管理方提供决策依据。本文通过各种预测方法的对比，突出时间序列分析的优势，从时间序列的概念出发介绍了时间序列分析预测法的基础以及其简单的应用模型。文中使用中石化股票的历史收盘价数据，运用时间序列预测法预测出中石化股票的后五个交易日的收盘价，通过对预测价格和实际价格做出对比，表明时间序列预测法的效果比较好。关键词：时间序列；股票价格；预测成都理工大学毕业设计（论文）IITheshort-termstockpricepredictionbasedontimeseriesanalysisAbstract:Theanalysisoftimeseriesisoneoftheimportanttoolsforresearchinginthefieldofeconomy,itdescribesthelawofhistoricdatawiththetimepassingbyanditisalsousedtopredictthevalueofeconomicvariables.Inthestockmarket,theforecastingmethodoftimeseriesiscommonlyusedtoforecastthetrendofstockprice,andprovideevidenceofdecisionmakingforinvestorsandmanagements.Inthethesis,throughthecomparisonofvariousforecastingmethodstohighlighttheadvantagesoftheanalysisoftimeseries,beginningwiththeconceptoftimeseries,Iintroducethebasicofforecastingmethodoftheanalysisoftimeseriesaswellasitssimpleapplicationmodel.inthepaper,IusethehistoricclosingpricedataofSinopecsharesandtheforecastingmethodoftimeseriestopredicttheSinopecshares'closingpriceofthelastfivedays,andbycomparisonbetweenpredictingpriceandactualpricetoshowthegoodeffectoftheforecastingmethodoftimeseries.Keywords:Timeseries;Stockprice;Forecast成都理工大学毕业设计（论文）III目录第1章前言............................................................................................................11.1研究背景............................................................................................................11.2预测基础知识....................................................................................................21.3股票基础知识....................................................................................................41.4股票预测方法....................................................................................................4第2章时间序列预测法............................................................................................62.1时间序列预测....................................................................................................62.1.1时间序列的概念.........................................................................................62.1.2时间序列分析特点.....................................................................................72.1.3时间序列预测法的分类.............................................................................72.1.4时间序列预测法的步骤.............................................................................82.2时间序列预测算法............................................................................................92.2.1平均数预测法.............................................................................................92.2.2指数平滑法...............................................................................................102.3时间序列模型..................................................................................................132.3.1时间序列模型...........................................................................................132.3.2模型选择...................................................................................................142.3.3模型参数的估计.......................................................................................16第3章中石化股票价格短期预测..........................................................................173.1输入数据..........................................................................................................173.2数据预处理......................................................................................................183.3选择模型..........................................................................................................193.4参数计算..........................................................................................................203.5预测..................................................................................................................20结论..........................................................................................................................22致谢..........................................................................................................................23成都理工大学毕业设计（论文）IV参考文献......................................................................................................................24附录1.......................................................................................................................25附录2......................................................................................................................27附录3......................................................................................................................28成都理工大学毕业设计（论文）1第1章前言1.1研究背景股票市场是经济的“晴雨表”和“报警器”，其作用不仅被政府所重视，更受到广大投资者的关注。对股票投资者来说，未来股价变化趋势预测越准确，对利润的获取及风险的躲避就越有把握;对国家的经济发展和金融建设而言，股票预测研究同样具有重要作用。因此对股票内在性质及预测的研究具有重大的理论意义和应用前景。我国于1985年发行第一支股票，现已有沪、深两大交易所，上几百家证券公司，3000多个证券营业部，7000多万证券投资者。90年代以来，计算机技术和网络技术在股票市场中得到充分应用，使得股票市场更加蓬勃发展起来，显示出强大的生命力。然而进入21世纪后的中国股市，几乎一直在危机的状态运行。随着时间的推移，危机正在呈现出逐步扩散的态势和日益加深的走势。从总体上来说，中国股市现阶段的生存危机是一种复合危机，是由多种因素组