MUTUAL INTERDEPENDENCE OF STOCK MARKETS BASED ON SUPPORT VECTOR MACHINE
Chinas market economy continues to advance, which makes the transparency of information of stock market increasing, the information between the stock market flows faster, a variety of interactions between the stocks increasingly significant. In this paper, support vector machine method is used to study the stock market in the nonlinear discontinuous time series, through the establishment of different support vector machine model, respectively to predict for the Shanghai A shares index, the Shenzhen A share index, the Shanghai B share index and Shenzhen B share index, analyze their absolute error and relative error, it was found there is a strong nonlinear interdependence in the same stock market and a strong dependence of different securities markets, the Shanghai index has a larger effect compare to the Shenzhen index slightly.
Stock index Mutual prediction Nonlinear dependence Support Vector Machine
Minghao Zhu Jie Li
School of Economics and Management, Beijing Jiaotong University, Beijing, China
国际会议
13th International Conference on Enterprise Information System(第13届企业信息系统国际会议 ICEIS 2011)
北京
英文
2685-2688
2011-06-08（万方平台首次上网日期，不代表论文的发表时间）