小波分析在证券分析中的应用
来源期刊：中南大学学报(自然科学版)2002年第1期
论文作者：袁修贵 侯木舟
文章页码：103 - 106
关键词：Matlab;数学模型;小波变换;股票收盘价;买入信号;卖出信号
Key words：Matlab; mathematical model; wavelets transform; stock price data; buy signal; sale signal
摘 要：传统股市投资分析中的证券分析方法之一———MACD法,利用DIF的移动平均值以确定证券的买卖时机,存在着时滞性,对非平稳的股市信息分析不能及时、较好地刻画股市的基本变化趋势.作者根据证券投资理论,建立了相应的证券投资分析数学模型,根据小波分析多尺度分析能力强的特点,利用小波分解提取反映股市基本变化趋势的低频信息,改进了传统分析方法,建立了改进后的数学模型Ⅲ.该模型求解方便,同时与实际模型较好地逼近,具有时效性.此外,以路桥建设股票140个交易日的DIF和MACD值作为原始数据,用Matlab作为工具进行计算,求解模型Ⅲ.结果表明:与传统分析方法相比,从模型Ⅲ中能得到更多的买卖点信息,而且价差更大,效果显著,充分显示了小波分析在股市技术分析中的强大生命力.
Abstract: There is time lag in determining to buy and sell the stock using the motive average of DIF in the traditional stock analysis method. The basic changing trend of stock cannot be represented better and without loss of time to non-sta-ble signal with this method. The authors established the corresponding mathematical model of stock technical analysis based on stock investment theory. The low frequency information has been taken with wavelet decomposition and the traditional stock technical analysis method has been improved, the improved modelⅢis based on the specialty, i.e.wavelet analysis has strong ability in multire solution analysis. The modelⅢcan be solved conveniently and has better feature of approximating and prescription. The modelⅢhas been solved by the original data of DIF and MACD summed 140 trades with Matlab as tools. More points of buying and selling have been obtained and the price difference is greater and the efficiency is notable compared with the traditional stock technical analysis method. These show fully that wavelet analysis has strong lifeblood in the stock technical analysis.
