摘要
汇率变动对我国金融市场具有不可忽视的影响力。因此,首先对上证企债指数进行主成分分析,筛选出最具代表性的特征值,根据特征值构建企债收益指标,在考虑美元人民币汇率影响的基础上,建立LSTM的预测模型,研究企债收益的规律,并对未来60个交易日的企债对数指数收益率进行仿真预测。希望研究结果可以为广大企债投资者做投资买卖决策时提供重要的参考依据。
The exchange rate change has an important influence on China’s financial market.Therefore,firstly,the principal component analysis of Shanghai enterprise bond index is carried out,and the most representative eigenvalues are screened out. According to the characteristic value,the index of enterprise bond income is constructed.On the basis of considering the influence of US dollar RMB exchange rate,the prediction model of LSTM is established,the law of enterprise bond return is studied,and the rate of return of enterprise bond logarithmic index in the next 60 trading days is simulated and predicted.It is hoped that the research results can provide an important reference for the majority of corporate bond investors to make investment and trading decisions.
作者
周颖
ZHOU Ying(Managament college,Shanghai University of Science and Technology,Shanghai 200093,China)
出处
《经济研究导刊》
2019年第17期149-151,154,共4页
Economic Research Guide
关键词
收益预测
上证企债指数
汇率
LSTM
earnings forecast
Shanghai Enterprise Bond Index
Exchange rate
LSTM
