毕业论文-基于灰色系统模型对沪深300指数走势的分析预测.doc
基于灰色系统模型对沪深300指数走势的分析预测（重庆工商大学 数学与统计学院,重庆 南岸区 400063）【摘要】 金融衍生工具是一个发达的金融市场所必有的元素.我国金融衍生品市场方兴未艾，工具的种类数量以及市场发展的成熟程度都还与世界先进水平有较大差距.本文对我国开放交易的首个股票指数期货合约沪深300期指的交易标的-沪深300指数,运用灰色系统理论的相关方法,建立GM（1,1）模型,通过分析该产品交易1年以来的历史数据，预测其标的沪深300指数的变动趋势和区间,为高风险的指数期货的实际交易操作提供相关参考数据.文中所使用的数据收集于新浪财经频道(finance.sina.com.cn）.【关键词】 灰色系统理论; GM(1,1)模型; 沪深300指数; 股指期货【Abstract】Derivative instruments are requisite elements of an advanced financial market. Chinas derivative instruments market is in the ascendant, with a huge gap comparing to the world-top level about both quantity of instruments and the maturity of market development . In this paper, toward the object of transaction of the first stock index futures of ChinaShanghai Shenzhen 300 index, applying methods associated with grey system theory, form a GM (1,1) model and forecast the variation of the index, providing relevant reference data that can conduct the trading operation with huge risk of index futures. The data in the paper is gathered from SINA Finance Channel(finance.sina.com.cn）.【Keywords】Grey system theory; GM (1, 1) model; Shanghai Shenzhen 300 index; stock index futures一、引言随着我国金融市场的进一步开发,股指期货（亦称期指）这一金融衍生工具也于2010年4月进入了交易市场.期指是一种以股价指数为标的物的标准化期货合约,具有价格发现、风险管理、杠杆投资等多种功能,是一种高风险、高利润率的金融创新工具.在期指投资中,由于存在保证金制度和逐日结算制度,因而风险控制是尤为重要的.如果能有效预测其标的指数的变动,便可根据其涨跌趋势建仓,有效规避风险的同时获取尽可能多的利润.指数期货的变化趋势包含多种因素的影响,然而囿于其上市时间尚短,已有交易数据并不充分,难以挖掘出相关信息.而这种情况正适合于运用针对“信息不充分”对象的灰色系统理论进行分析.本文中,通过建立GM（1,1）模型,对由2010年全部交易日的沪深300指数点位数据计算得出的月均值、日均值等数据,采取序列预测、包络带预测等分析手段,从而获取一定该指数变动的参考信息以指导交易实践.二 背景介绍 2.1 沪深300指数 沪深300指数是沪深证券交易所于2005年4月8日联合发布的反映A股市场整体走势的指数.沪深300指数编制目标是反映中国证券市场股票价格变动的概貌和运行状况,并能够作为投资业绩的评价标准,为指数化投资和指数衍生产品创新提供基础条件.2.2 沪深300股票指数期货沪深300股票指数期货是以沪深300指数作为标的物,由中证指数公司编制的沪深300指数于2005年4月8日正式发布.沪深300指数以2004年12月31日为基日,基日点位1000点.沪深300指数是由上海和深圳证券市场中选取300只A股作为样本,其中沪市有179只,深市121只样本选择标准为规模大,流动性好的股票.沪深300指数样本覆盖了沪深市场六成左右的市值,具有良好的市场代表性.三 数据描述以及选取分析方法的考量 在新浪财经频道中,收集沪深300指数在2010年1月至2011年5月的每日点位数据记录,整理为表格如下,其中红字部分是计算得出的月均值,用于之后的模型分析.根据统计预测分析的一般习惯,选取2010年全年数据作为原始数据,尝试预测2011年前几个月该指数的变动,而利用2011年1-3月的指数点位历史记录,作为对照依据,来验证预测的精确度.沪深300指数历史点位（2010.1-2011.3）日期开盘价均值收盘价2010/1/43592.47 3563.85 3535.23 2010/1/53545.19 3554.61 3564.04 2010/1/63558.70 3550.21 3541.73 2010/1/73543.16 3507.31 3471.46 2010/1/83456.91 3468.52 3480.13 2010/1/113593.11 3537.58 3482.05 2010/1/123477.84 3506.38 3534.92 2010/1/133448.29 3434.72 3421.14 2010/1/143433.47 3451.26 3469.05 2010/1/153472.52 3477.63 3482.74 2010/1/183471.78 3486.23 3500.68 2010/1/193506.81 3507.14 3507.48 2010/1/203512.25 3453.34 3394.43 2010/1/213397.04 3402.81 3408.57 2010/1/223364.45 3365.32 3366.20 2010/1/253340.01 3334.01 3328.01 2010/1/263328.11 3285.46 3242.80 2010/1/273243.04 3220.80 3198.57 2010/1/283195.29 3200.93 3206.57 2010/1/293190.32 3197.24 3204.16 3425.27 2010/2/13198.23 3175.47 3152.71 2010/2/23170.78 3158.48 3146.19 2010/2/33160.71 3195.71 3230.72 2010/2/43206.43 3212.62 3218.80 2010/2/53147.72 3150.40 3153.09 2010/2/83152.25 3151.62 3150.99 2010/2/93147.76 3158.48 3169.19 2010/2/103195.14 3204.64 3214.13 2010/2/113216.69 3218.54 3220.40 2010/2/123232.88 3242.08 3251.28 2010/2/223248.95 3241.15 3233.35 2010/2/233225.39 3212.01 3198.63 2010/2/243177.08 3210.78 3244.48 2010/2/253252.15 3272.14 3292.13 2010/2/263286.10 3283.88 3281.67 3205.87 2010/3/13290.01 3307.22 3324.42 2010/3/23327.10 3319.17 3311.24 2010/3/33313.02 3324.05 3335.08 2010/3/43338.67 3294.62 3250.57 2010/3/53253.16 3256.46 3259.76 2010/3/83268.40 3277.29 3286.18 2010/3/93285.62 3295.74 3305.86 2010/3/103304.04 3291.87 3279.69 2010/3/113282.20 3279.45 3276.71 2010/3/123277.31 3255.22 3233.13 2010/3/153231.22 3207.20 3183.18 2010/3/163183.78 3193.87 3203.97 2010/3/173214.22 3244.07 3273.92 2010/3/183277.88 3272.72 3267.56 2010/3/193270.98 3282.42 3293.87 2010/3/223297.82 3300.23 3302.63 2010/3/233305.55 3290.56 3275.57 2010/3/243282.05 3279.36 3276.67 2010/3/253270.39 3249.76 3229.13 2010/3/263226.80 3250.90 3275.00 2010/3/293295.76 3327.15 3358.54 2010/3/303361.35 3364.03 3366.71 2010/3/313369.19 3357.40 3345.61 3283.51 2010/4/13349.88 3370.91 3391.94 2010/4/23400.14 3403.74 3407.35 2010/4/63422.85 3414.00 3405.15 2010/4/73403.09 3395.02 3386.95 2010/4/83381.31 3364.03 3346.74 2010/4/93348.77 3363.97 3379.17 2010/4/123388.36 3369.92 3351.48 2010/4/133350.73 3371.22 3391.72 2010/4/143394.64 3399.17 3403.71 2010/4/153407.03 3400.80 3394.57 2010/4/163388.29 3372.31 3356.33 2010/4/193313.50 3244.96 3176.42 2010/4/203176.41 3174.89 3173.37 2010/4/213178.88 3207.78 3236.68 2010/4/223222.68 3212.11 3201.54 2010/4/233198.78 3194.39 3190.00 2010/4/263195.46 3183.73 3172.00 2010/4/273163.10 3135.76 3108.41 2010/4/283080.32 3088.84 3097.35 2010/4/293114.94 3087.50 3060.06 2010/4/303060.12 3063.74 3067.37 3277.08 2010/5/43005.49 3012.47 3019.45 2010/5/52981.78 3009.09 3036.39 2010/5/63014.91 2955.88 2896.86 2010/5/72835.88 2836.33 2836.79 2010/5/102842.37 2850.30 2858.23 2010/5/112916.34 2858.58 2800.82 2010/5/122781.71 2799.93 2818.16 2010/5/132818.58 2852.74 2886.91 2010/5/142865.58 2866.80 2868.02 2010/5/172828.88 2771.80 2714.72 2010/5/182711.41 2741.38 2771.35 2010/5/192748.95 2755.56 2762.17 2010/5/202739.22 2732.62 2726.02 2010/5/212656.42 2712.61 2768.79 2010/5/242787.75 2830.61 2873.47 2010/5/252851.26 2832.60 2813.94 2010/5/262814.44 2814.19 2813.94 2010/5/272808.05 2834.01 2859.98 2010/5/282885.86 2868.08 2850.30 2010/5/312835.33 2804.30 2773.26 2836.99 2010/6/12755.28 2749.72 2744.16 2010/6/22729.33 2743.43 2757.53 2010/6/32769.10 2752.59 2736.08 2010/6/42721.36 2732.88 2744.39 2010/6/72692.83 2694.27 2695.72 2010/6/82694.11 2696.72 2699.34 2010/6/92711.64 2746.89 2782.13 2010/6/102755.94 2752.98 2750.02 2010/6/112766.20 2762.53 2758.87 2010/6/172778.53 2760.63 2742.73 2010/6/182739.03 2717.60 2696.17 2010/6/212698.98 2739.82 2780.66 2010/6/222772.89 2778.30 2783.72 2010/6/232768.70 2763.60 2758.50 2010/6/242753.71 2755.61 2757.50 2010/6/252744.12 2740.20 2736.29 2010/6/282734.51 2725.64 2716.78 2010/6/292717.47 2654.74 2592.02 2010/6/302572.91 2567.99 2563.07 2728.22 2010/7/12557.92 2542.00 2526.07 2010/7/22523.04 2528.57 2534.11 2010/7/52507.35 2510.00 2512.65 2010/7/62504.87 2533.89 2562.90 2010/7/72561.11 2570.79 2580.48 2010/7/82591.51 2583.72 2575.92 2010/7/92578.56 2612.83 2647.10 2010/7/122647.42 2661.82 2676.22 2010/7/132649.66 2642.13 2634.59 2010/7/142640.93 2647.27 2653.61 2010/7/152650.33 2629.43 2608.52 2010/7/162597.00 2606.56 2616.13 2010/7/192592.09 2637.28 2682.47 2010/7/202685.46 2713.48 2741.50 2010/7/212744.70 2746.02 2747.34 2010/7/222738.03 2759.66 2781.29 2010/7/232787.52 2790.30 2793.08 2010/7/262798.76 2804.91 2811.06 2010/7/272803.76 2799.74 2795.72 2010/7/282796.48 2830.10 2863.72 2010/7/292866.77 2872.37 2877.98 2010/7/302871.48 2870.16 2868.85 2676.96 2010/8/22868.28 2892.78 2917.28 2010/8/32925.25 2895.61 2865.97 2010/8/42858.35 2867.39 2876.43 2010/8/52874.66 2862.74 2850.83 2010/8/62848.16 2872.91 2897.66 2010/8/92894.10 2906.17 2918.24 2010/8/102920.40 2876.52 2832.64 2010/8/112823.15 2836.68 2850.21 2010/8/122822.79 2819.59 2816.39 2010/8/132818.41 2836.98 2855.55 2010/8/162851.22 2886.65 2922.08 2010/8/172927.26 2934.77 2942.29 2010/8/182945.98 2941.67 2937.36 2010/8/192940.77 2948.08 2955.40 2010/8/202943.33 2920.83 2898.33 2010/8/232895.71 2895.95 2896.19 2010/8/242892.13 2901.98 2911.83 2010/8/252893.99 2868.50 2843.02 2010/8/262853.11 2851.60 2850.09 2010/8/272847.45 2853.01 2858.57 2010/8/302874.25 2894.63 2915.01 2010/8/312905.15 2904.17 2903.19 2884.96 2010/9/12907.66 2895.85 2884.04 2010/9/22917.74 2919.56 2921.39 2010/9/32926.94 2923.57 2920.21 2010/9/62935.89 2955.49 2975.09 2010/9/72979.30 2981.20 2983.11 2010/9/82970.00 2975.48 2980.97 2010/9/92986.87 2956.66 2926.46 2010/9/102928.00 2930.28 2932.55 2010/9/132933.59 2947.96 2962.32 2010/9/142971.55 2968.28 2965.01 2010/9/152965.54 2939.37 2913.19 2010/9/162908.32 2883.06 2857.79 2010/9/172864.72 2863.04 2861.37 2010/9/202865.04 2857.43 2849.83 2010/9/212859.43 2858.45 2857.48 2010/9/272869.93 2887.48 2905.03 2010/9/282900.54 2890.72 2880.91 2010/9/292877.27 2876.04 2874.81 2010/9/302859.06 2897.32 2935.57 2916.17 2010/10/82965.65 3004.94 3044.23 2010/10/113069.19 3101.04 3132.90 2010/10/123121.64 3147.18 3172.73 2010/10/133176.89 3197.23 3217.58 2010/10/143245.13 3234.64 3224.14 2010/10/153204.72 3266.20 3327.68 2010/10/183345.80 3325.98 3306.16 2010/10/193300.52 3338.10 3375.67 2010/10/203304.22 3350.55 3396.88 2010/10/213404.72 3389.70 3374.69 2010/10/223365.60 3372.13 3378.66 2010/10/253386.85 3433.97 3481.08 2010/10/263491.47 3478.78 3466.08 2010/10/273451.43 3427.65 3403.87 2010/10/283390.43 3394.06 3397.69 2010/10/293400.26 3390.12 3379.98 3303.27 2010/11/13390.41 3431.70 3473.00 2010/11/23484.23 3473.68 3463.13 2010/11/33462.74 3441.54 3420.34 2010/11/43426.46 3453.48 3480.51 2010/11/53538.99 3529.89 3520.80 2010/11/83534.19 3541.38 3548.57 2010/11/93547.44 3535.70 3523.95 2010/11/103507.20 3503.15 3499.11 2010/11/113490.74 3500.36 3509.98 2010/11/123484.61 3388.22 3291.83 2010/11/153298.74 3306.82 3314.89 2010/11/163311.62 3240.58 3169.54 2010/11/173124.11 3114.01 3103.91 2010/11/183134.94 3141.45 3147.96 2010/11/193168.17 3173.51 3178.85 2010/11/223148.22 3160.08 3171.94 2010/11/233156.48 3131.83 3107.18 2010/11/243088.99 3133.02 3177.04 2010/11/253197.97 3210.72 3223.48 2010/11/263214.13 3204.49 3194.85 2010/11/293183.54 3186.80 3190.05 2010/11/303187.53 3162.26 3136.99 3316.58 2010/12/13127.26 3131.64 3136.02 2010/12/23185.76 3170.41 3155.06 2010/12/33161.93 3160.04 3158.16 2010/12/63168.88 3167.22 3165.57 2010/12/73152.73 3176.54 3200.34 2010/12/83194.90 3183.39 3171.88 2010/12/93156.00 3139.68 3123.37 2010/12/103107.38 3134.68 3161.98 2010/12/133176.34 3218.70 3261.06 2010/12/143270.20 3269.84 3269.47 2010/12/153270.78 3259.21 3247.64 2010/12/163246.01 3238.34 3230.67 2010/12/173229.30 3227.48 3225.66 2010/12/203239.02 3208.84 3178.66 2010/12/213184.70 3217.10 3249.51 2010/12/223253.82 3234.64 3215.45 2010/12/233210.67 3199.64 3188.61 2010/12/243170.64 3166.80 3162.96 2010/12/273176.11 3137.91 3099.71 2010/12/283084.82 3064.88 3044.93 2010/12/293049.93 3055.88 3061.83 2010/12/303063.05 3063.57 3064.10 2010/12/313069.05 3098.66 3128.26 3170.66 2011/1/43155.56 3172.62 3189.68 2011/1/53170.18 3172.92 3175.66 2011/1/63177.84 3168.74 3159.64 2011/1/73156.36 3161.49 3166.62 2011/1/103162.09 3135.14 3108.19 2011/1/113096.25 3110.59 3124.92 2011/1/123135.18 3138.76 3142.34 2011/1/133153.99 3147.63 3141.28 2011/1/143129.67 3110.76 3091.86 2011/1/173067.43 3020.89 2974.35 2011/1/182965.42 2971.54 2977.65 2011/1/192978.46 3011.65 3044.85 2011/1/203037.86 2991.29 2944.71 2011/1/212935.23 2959.34 2983.46 2011/1/242986.09 2970.16 2954.23 2011/1/252949.65 2944.15 2938.65 2011/1/262939.77 2959.10 2978.43 2011/1/272953.59 2990.03 3026.47 2011/1/283020.12 3028.43 3036.74 2011/1/313035.42 3055.96 3076.51 3061.06 2011/2/13083.49 3080.39 3077.28 2011/2/93055.40 3048.17 3040.95 2011/2/103034.08 3069.12 3104.16 2011/2/113100.27 3110.62 3120.96 2011/2/143123.25 3171.19 3219.14 2011/2/153223.22 3220.45 3217.67 2011/2/163211.14 3229.83 3248.53 2011/2/173255.63 3250.77 3245.91 2011/2/183240.05 3225.96 3211.88 2011/2/213192.15 3225.03 3257.91 2011/2/223267.62 3215.60 3163.58 2011/2/233152.44 3163.59 3174.74 2011/2/243170.24 3180.59 3190.94 2011/2/253190.87 3194.24 3197.62 2011/2/283200.68 3220.12 3239.56 3173.71 2011/3/13241.71 3248.30 3254.89 2011/3/23237.12 3240.21 3243.30 2011/3/33248.16 3234.94 3221.72 2011/3/43223.51 3247.09 3270.67 2011/3/73287.41 3310.96 3334.51 2011/3/83335.71 3336.58 3337.46 2011/3/93344.10 3341.48 3338.86 2011/3/103330.44 3305.35 3280.26 2011/3/113263.08 3255.23 3247.38 2011/3/143238.91 3250.91 3262.92 2011/3/153250.60 3227.28 3203.96 2011/3/163204.92 3226.56 3248.20 2011/3/173216.29 3206.69 3197.10 2011/3/183228.92 3222.30 3215.69 2011/3/213220.68 3213.89 3207.11 2011/3/223217.80 3220.38 3222.96 2011/3/233222.33 3243.63 3264.93 2011/3/243269.58 3260.47 3251.36 2011/3/253256.18 3275.33 3294.48 2011/3/283307.41 3298.99 3290.57 2011/3/293288.56 3273.27 3257.98 2011/3/303256.72 3256.40 3256.08 2011/3/313257.16 3240.23 3223.29 3258.11 2011/4/13228 3250.1465 3273 2011/4/63269 3290.1285 3311 2011/4/73313 3318.9430 3324 2011/4/83322 3337.4490 3353 2011/4/113363 3348.3985 3333 2011/4/123325 3325.7625 3327 2011/4/133311 3341.6775 3372 2011/4/143374 3363.9420 3354 2011/4/153345 3352
