The Application Of Kalman Filter To Intervention Analysis On China Stock Market And Currency Supply

Kalman filter method mainly focus on estimation and analysis in engineering, fewer applied on economic research at present, but accounting for the merit of real time tracing. Therefore, this thesis integrated the traditional intervention analysis and Kalman filter method creatively, in order to import the digital signal processing from information sciences to the field of economy, and then extend the applied range of Kalman theory.In the thesis, Kalman filter method were applied to two economic phenomenons, for one hand, empirical analysis of stock market affected by policies, for another hand, demonstrate research about the seasonal accommodation of currency related to stock market.Firstly, the background knowledge of Kalman filter will be introduced, including the state space model and the algorithm of "filter" and "predictor", also the counter part of the traditional intervention analysis.Secondly, the traditional intervention analysis method will be improved creatively by constructing the time sequence ARMA model into state space model which adapted to filter estimate. Then it can figure out the parameters of the model then extrapolate predict. Moreover,a new type intervention analysis model will be promoted, which helped to discuss in a thorough-going way from the angles of statistics, econometrics and cybernetics.The result of analysis indicated that the model based on Kalman filter tools was fitter than the OLS one, contributed to the improvement of the traditional intervention method. Furthermore, combined with analysis of cybernetics, it could draw an important conclusion that, although the policies gave rise to the great fluctuation in stock market, the whole market could still be stable.Thirdly, the model which mixed seasonal analysis and intervention analysis was reconstructed into state space model. Then we could separate the seasonal effect and other intervention factors by filter tools. In this part, we can truly uncover the dialectical relationship among the independent variable "Stock market fluctuate", intervention variable "Stock policy" and the currency problem,including provision and policies execution.