【摘要】 基于股票市场的随机波动性和卡尔曼滤波的动态跟踪特性,将上证综指收盘点数的变化过程看作是一个动力学系统,建立上证综指收盘点数的状态空间模型。应用Kalman滤波理论对上证综指收盘点数进行预报,并针对2010年2月3日至2010年3月25日共计32个历史数据,利用MATLAB软件进行计算机仿真,给出了具体预报结果,结果表明,Kalman滤波方法对上证综指的预报是有效的,并具有简便、快速等特点。更多还原

【Abstract】 Based on the fluctuation of the stock market and the dynamic tracking features of Kalman filter,the variation process of SSE(Shanghai Stock Exchange Composite Index) closing point is viewed as a maneuvering system and the state-space model of SSE closing point can be established.The forecasting result of 32 SSE historical data from February 3,2010 to March 25,2010 is given by using Kalman predictor and MATLAB computer simulation.The result shows that Kalman filter in the prediction is effective,simple and rapid.更多还原