The Analysis Of Stock Index

This paper mainly analyses the properties of Shanghai Stock Exchange Composite Index, which is the weighted mean of all stocks'price in the market. First, it is affected by macro-economy and policies; second, speculations of the stock market add great volatility to the index; third, some events can cause sudden changes to the index; forth, there is sheep-flock effect in the market.However, it is too difficult to quantify the effect of these factors. This paper found that when these factors began to cause changes to the index, there are also great changes in trading volume or turning over rate.So this article discards the exact reason that plays a part in the market, and focuses on the turning over rate and the index. Firstly we transform the common rate sequence and volume rate(the rate of turning over rate)sequence into two new sequences, and then design the new model for predicting, by which we calculate the mathematical expectation and variance of volume rate when time approaches infinity. By the same method we got the mathematical expectation and variance of rate when time approaches infinity.