MATLAB时间序列在汇率预测中的初步应用研究
关键词 时间序列，参数估计，外汇汇率，代数方法
毕业论文设计说明书外文摘要
Title Preliminary study on Application of time series
technique in the financial exchange rate forecasting
Abstract
With the sustained growth of modern economy internationalization and international trade, exchange rate plays a more and more important role in the international economy, therefore the forecast of exchange rate also becomes more and more important.A new algebraic fast estimation method in the study of control theory makes it possible for us to have a new perspective on time series, it is a statistical method for dynamic data processing, late in China but the development speed of it is very fast.This graduation design has carried on the preliminary research on how to apply the results of the algebraic estimation method to exchange rate forecasting.Paper first introduces the concept, significance, background and research status of time series analysis and financial prediction.Then there is a parameter identification of system prediction mathematical model via the sliding short time window.Finally, a simulation to verify the correctness of the algorithm.
This topic has carried on the preliminary research on how to apply the results of the algebraic estimation method to exchange rate forecasting,there is a realization of parameter identification of mathematical model,and it achieves initial results.It can provide a new method for estimation and prediction of other similar problems in financial engineering.
Keywords Time series Parameter estimation Rate of exchange
Algebraic method
目 次
1. 引言 1
1.1. 课题的研究意义 1
1.2. 研究背景 1
1.3. 研究现状 2
1.4. 研究内容及论文安排 4
2. 汇率预测及时间序列技术 4
2.1. 金融汇率及预测 4
2.2. 时间序列分析技术 8
2.3. 金融时间序列的趋势性 11
3. 数值算例及模拟仿真 15
3.1.预测模型的参数识别 16
3.2. 参数识别仿真结果 17
4. 总结与展望 19
致 谢 21
参考文献 22
1 引言
随着现代经济活动国际化和国际贸易的持续增长，汇率在国际经济中具有越来越重要的地位，因此汇率预测也变得越来越重要。控制理论研究中一种新兴的代数快速估计法让我们得以对时间序列有了全新的研究视角，它是一种用于动态数据处理的统计方法，在我国发展较晚但发展速度较为迅速。本毕业设计对如何将这种代数估计法的成果应用到汇率预测中进行了初步研究。课题首先介绍了时间序列分析技术和金融预测的概念、研究意义、背景及研究现状，然后通过对典型对象的模型设置，通过滤波在较短的滑动时间窗口对系统模型迭代运算识别，最后模拟仿真初步实现汇率的趋势预测。
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