金融市场的协动预测模型: DWT-SVM方法

韩璐,苏治,刘志东

系统科学与数学 ›› 2020, Vol. 40 ›› Issue (12) : 2342-2356.

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PDF(2448 KB)
系统科学与数学 ›› 2020, Vol. 40 ›› Issue (12) : 2342-2356. DOI: 10.12341/jssms14060
论文

金融市场的协动预测模型: DWT-SVM方法

    韩璐1,苏治2,3,刘志东1
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DWT-SVM for Co-Movement Prediction with Financial Markets

    HAN Lu1 ,SU Zhi 2,3 ,LIU Zhidong1
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摘要

金融市场由于其复杂的行为机制导致了其在走势预测上的困难. 目前学术界对金融市场的走势预测, 已 经从单一市场预测过渡到协动预测 的讨论上. 文章通过对布伦特原油指数、Arca天然气指数、道琼斯工业指数和 深圳成指四种价格指数的分形建模发现这四种指数都具有短暂高阶稳定的 特征; 进而, 通过连续小波变换的多尺度分析, 研究了这四种指数的协动关 系, 在协动关系的基础上, 分离出稳定域, 标记了协动相位. 最后, 采用离 散小波变换和支持向量机对协动相位构建了预测模型. 通过实验可以发现基 于小波分析的支持向量机模型对金融市场的走势预测有较好的效果.

Abstract

In this paper, we analyze the inherent evolutionary dynamics of financial and energy markets, study their interrelationships and carry out predictive analysis tasks in an integrated nonparametric framework. We consider the daily closing prices of BRENT Index, Arca Natural Gas price, DJIA Index, and SZSE Index during January 2012 to January 2017 for this purpose. Firstly, we investigate the empirical characteristics of the underlying temporal dynamics of the financial time series through technique of nonlinear dynamics to extract the key insights. Results suggest the existence of strong trend component and long-range dependence as the underlying pattern. Then we apply the continuous wavelet transformation based multi-scale exploration to investigate the co-movements of the considered assets. Long and medium range co-movements among the heterogeneous assets are discovered. The findings of dynamic time varying association reveal these financial assets have long relation lagging effects. Finally, we employ a hybrid model incorporating discrete wavelet transformation with support vector machine algorithms for forecasting the future trends. Statistical analysis of predictive performance justifies the usage of DWT-SVM, which can effectively be used for trading purposes.

关键词

金融市场协动性 / 小波变换 / 递归量化分析 / 支持向量机.

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韩璐 , 苏治 , 刘志东. 金融市场的协动预测模型: DWT-SVM方法. 系统科学与数学, 2020, 40(12): 2342-2356. https://doi.org/10.12341/jssms14060
HAN Lu , SU Zhi , LIU Zhidong. DWT-SVM for Co-Movement Prediction with Financial Markets. Journal of Systems Science and Mathematical Sciences, 2020, 40(12): 2342-2356 https://doi.org/10.12341/jssms14060
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