基于技术指标、ARIMA模型的股票预测分析-以上证A50成分股为例摘要随着证券市场的发展，国内外学者对于股票价格预测的研究也发展众多研究方法，其中美国的著名统计学家所研究而提出的时间序列预测方法，即ARIMA模型，它是目前研究我国股票市场价格预测的模型中最为普遍和受欢迎的模型之一。本文首先在选题的背景下简要介绍了其研究的背景及其发展意义，阐述了股票价格预测在国内外相关研究的应用现状，然后通过介绍ARIMA模型及MACD技术指标，以上海证券综合指数中招商银行调整后的收盘价为研究对象，对其进行了建模分析，根据以上两种预测方法综合评价了实证的结果，预测值与实际值误差很小，即将MACD技术指标与ARIMA模型结合的方法适用于股票价格的短期预测。最后，根据两种预测方法的相关实证分析所得到的结论进行了分析，进而会有助于为短期市场投资者决策行为提供了决策参考。关键词：股价预测ARIMA模型异同移动平均线时间序列分析StockforecastingAnalysisbasedontechnicalindicatorsandARIMAmodel:AcasestudyofShanghaiA50constituentstocksAbstractWiththedevelopmentofthestockmarket,scholarsathomeandabroadhavealsodevelopedmanyresearchmethodsforstockpriceprediction.Amongthem,thetimeseriespredictionmethodproposedbythefamousstatisticiansintheUnitedStates,namelyARIMAmodel,isoneofthemostcommonandpopularmodelsforstudyingthepricepredictionofChina'sstockmarket.Firstly,underthebackgroundofthetopicselection,thispaperbrieflyintroducestheresearchbackgroundanddevelopmentsignificance,andexpoundstheapplicationstatusofstockpricepredictioninrelevantresearchathomeandabroad.Then,byintroducingARIMAmodelandMACDtechnicalindicators,takingtheadjustedclosingpriceofChinaMerchantsBankinShanghaiSecuritiesCompositeIndexastheresearchobject,thispapermakesamodelinganalysis,andcomprehensivelyevaluatestheempiricalresultsaccordingtotheabovetwopredictionmethods,Theerrorbetweenthepredictedvalueandtheactualvalueisverysmall,thatis,themethodofcombiningMACDtechnicalindicatorswithARIMAmodelissuitablefortheshort-termpredictionofstockprice.Finally,itisanalyzedaccordingtotheconclusionsobtainedfromtherelevantempiricalanalysisofthetwopredictionmethods,whichwillhelptoprovidedecision-makingreferenceforthedecision-makingbehaviorofinvestorsintheshort-termmarket.Keywords:stockpriceprediction;ARIMAmodel;MACD;timeseriesanalysis目录...........................................................................................................................1.................................................................................................1.........................................................................................2.................................................................................................3.......................................................................................................4.........................................................................4............................................................4.......................................................................................................5...................................................................................................7.............................................................................................................7.........................................................................................................7.................................................................................................................11........
