【摘要】 文章引入了点过程中的Hawkes过程来进行股票买卖强度的拟合与预测,并提供了基于该有效预测的交易策略。文中首先对所使用的Hawkes过程进行了介绍,并从理论上说明其在高频金融数据拟合中的优势;之后叙述了极大似然方法在Hawkes模型参数估计中的具体应用;最后,结合由wind数据库中选取的内地股票市场中的股票实例,使用Hawkes过程进行强度预测、策略构建与盈利情况分析,证实了该模型在实际拟合中的优势与策略的有效性。更多还原

【Abstract】 In this paper, Hawkes process in point process is used for the fitting and forecast of the stock buying and selling strength and the trading strategies based on the effective forecast is provided. First, an introduction is given to Hawkes process, and its advantage in high-frequency financial data fitting is theoretically explained. Then the specific application of maximum likelihood in Hawkes model parameter estimation is described. Finally, combined with the practical case in inland stock market selected from wind database, Hawkes process is used for strength forecast, strategy construction and profitability analysis, which proves the effectiveness of the advantage and strategy of this model in actual fitting.更多还原