The Research of Stock Index Futures Margin Setting Model Based on Wavelet Analysis Method and Technology

摘要：

Adopt wavelet decomposition and reconstruction technology to implement return time series denoising process and establish stock index futures margin forecasting model. Filter the original time series and extract hidden periodicity and nonlinearity of the volatility of stock index futures return time series by wavelet decomposition, then adopt GARCH model and Genetic Neural Network model for modeling and predicting the scale sequence and wavelet sequences respectively, afterwards employ wavelet reconstruction to synthesize the predicted result of different scales. Substitute the processed data for the original return time series in the four common margin setting model and then select prudent index and opportunity cost index to make comparision. The result shows that there are vary degrees improvement of the margin prudent level by employing the wavelet denoising data for the four models which proves the availability of the constructed model.

关键词： Margin Setting Model wavelet denoising Genetic Neural Network GARCH model

作者: Jia Liu Yaming Zhang ShiYong Li

作者单位: Department of Economics & ManagementYanShan University, YSUQinHuangDao, China Department of Economics & Management YanShan University, YSU QinHuangDao, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 447-451

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）