Feedback random walk model and its application to system analysis of stock investment
Guishi Deng · Dalian Ligong Daxue xuebao · 2004
Aiming at the difficulty of random walk analysis in stock price imitation, such as fixed drift rate, aftereffect character, etc., the feedback factors are added and the imitation is used to cause its dynamic influence on random walk. Based on feedback random walk model, using the influence and effect distribution resulting from determinative and random factors, the Shanghai stock composite index from 1998 to 2000 is imitated. Furthermore, the standard deviation of imitation result and their positive order are analyzed. Statistic analyses indicate that this imitation is effective. The comparison of feedback random walk model with the current stock system analysis methods shows that the model is more suitable for the analysis of fluctuation in stock price and it can confirm the prominent factors affecting the stock price.