数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2014年
12期
116~126
,共null页
贺筱君 陈俊男 吴佳懋
賀篠君 陳俊男 吳佳懋
하소군 진준남 오가무
生存分析 Cox模型 预测
生存分析 Cox模型 預測
생존분석 Cox모형 예측
Survival Analysis; Cox Regression Model; Prediction
运用生存分析(Survival Analysis)方法和台湾2009-2011年每日发布的公开数据,建立Cox回归模型(Cox Regression Model),预测台湾隔日加权股价指数期货涨跌。实证分析显示:涨幅模型预测结果的正确率为74.47%,绩效验证中平均收益为35.73点;跌幅模型预测结果的正确率为75.32%,绩效验证中平均收益为37.99点;将涨跌幅模型综合在一起考虑时,在绩效验证中可知平均收益可达38.68点。
運用生存分析(Survival Analysis)方法和檯灣2009-2011年每日髮佈的公開數據,建立Cox迴歸模型(Cox Regression Model),預測檯灣隔日加權股價指數期貨漲跌。實證分析顯示:漲幅模型預測結果的正確率為74.47%,績效驗證中平均收益為35.73點;跌幅模型預測結果的正確率為75.32%,績效驗證中平均收益為37.99點;將漲跌幅模型綜閤在一起攷慮時,在績效驗證中可知平均收益可達38.68點。
운용생존분석(Survival Analysis)방법화태만2009-2011년매일발포적공개수거,건립Cox회귀모형(Cox Regression Model),예측태만격일가권고개지수기화창질。실증분석현시:창폭모형예측결과적정학솔위74.47%,적효험증중평균수익위35.73점;질폭모형예측결과적정학솔위75.32%,적효험증중평균수익위37.99점;장창질폭모형종합재일기고필시,재적효험증중가지평균수익가체38.68점。
In this article, we apply the Cox Regression Model to predict the changes of Taiwan Stock Price Index Futures by using the daily public information provided by mass media. The sample period covers from 2009 to 2011. Empirical results indicate that: The accuracy rate of predicting the rising change is 74.47% and the return in the performance of verification is 35.73; The accuracy rate of predicting the falling change is 75.32%and the return in the performance of verification is 37. 99; overall, the return in the performance of verification is up to 38. 68.