主要股票市场的市场效率分析:使用卡曼滤波器作为一种方法

Beier Liu, Haiyun Zhu
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引用次数: 0

摘要

在本研究中,我们利用卡尔曼滤波分析法来评估主要股票市场的市场效率。卡尔曼滤波器分两个阶段运行,假定数据包含一条一致的趋势线,代表受噪声影响之前的真实市场价值。与传统方法不同,卡尔曼滤波器能有效预测股价走势。我们的研究结果表明,韩国、越南和马来西亚等新兴市场的投资组合回报率很高,而英国、欧洲、日本和香港等发达市场的回报率也很高。这表明,基于卡尔曼滤波器的价格反转指标在各种类型的市场中都能产生可喜的结果。
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Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
In this study, we utilize the Kalman-Filter analysis to assess market efficiency in major stock markets. The Kalman-Filter operates in two stages, assuming that the data contains a consistent trendline representing the true market value prior to being affected by noise. Unlike traditional methods, it can forecast stock price movements effectively. Our findings reveal significant portfolio returns in emerging markets such as Korea, Vietnam, and Malaysia, as well as positive returns in developed markets like the UK, Europe, Japan, and Hong Kong. This suggests that the Kalman-Filter-based price reversal indicator yields promising results across various market types.
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