四川大学学报（自然科学版）Issue(4)：703-708,6.DOI:10.3969/j.issn.0490-6756.2013.04.008
基于GARCH类模型和BP神经网络的量价关系实证研究
Empirical research on volume-price relationship based on GARCH models and BP neural network
摘要
Abstract
Based on the theory of the relationship between volume and price ,this article studys the rela-tionship between trading volume and price in China ’s stock market ,by using EGARCH model and BP neural network .The EGARCH model parameter estimation results show that the model with trading volume added in is better ,and we can receive some Shanghai Stock Index characteristics of relationship between volume and price ,and the positive correlation between unexpected trading volume and stock market volatility .The fluctuations of China’s stock market yield exist significant leverage effect .BP models with trading volume added in have smaller mean square errors .关键词
量价关系/EGARCH/BP神经网络/Granger检验Key words
volume-price relationship/EGARCH/BP neural network/Granger test分类
数理科学引用本文复制引用
吴秋芳,王长辉,唐亚勇..基于GARCH类模型和BP神经网络的量价关系实证研究[J].四川大学学报（自然科学版）,2013,(4):703-708,6.基金项目
国家自然科学基金天元数学基金 （）
