Research Of Outlier Data Mining Algorithm Of Stock Market

In the current development process of China, the stock market has played a very important role in promoting.to the adjustment of economic structure and economic development and mechanisms convert of enterprise management, etc. Structure break co-integration is a new research method, which not only reflects changes in economic relations and economic structure, but also reflects the long-run equilibrium relationship of internal economic system. From the perspective of structural changes relationship, this article study on the mechanism of the financial securities market linkage effects. In connection with the presence of structural changes for the securities market, improve co-integration algorithm, design algorithm platform, and find operation rules in the financial securities market.First, the article analyzes the linkage effects of stock market and the theoretical of co-integration. Combined with market segmentation theory and infection theory,analyzes the inter-linkage between the stock markets. Defines the meaning of the securities market linkage effects, analyzes the formation mechanism of the linkage effects between market financial policies and macroeconomic variables. Linkage effect from the stock market in order to achieve long-term equilibrium between different markets starting, leads connotation of co-integration relationship and its linkage effect, to explore the inter-linkage effects of the stock market,which exhibited by co-whole relationship of the stock markets.Secondly, based on the linkage effects, we designed structure break co-integration algorithms. The linkage effects of the stock markets with a lag and mutation underlying assumptions, explains the structure mutant characteristics of the stock market linkage. On the basis of the basic assumptions, we constructed algorithm of variable break co-integration which includes mean mutation, trends mutation and trends mean double mutant corresponding co-integration model.Lastly, this article has made empirical analysis of the stock market effects linkage. Selecting the data of the SZ and SH stock market as well as the three sections as the study, and using the structure break co-integration algorithm interface, making the empirical analysis of the stock market linkage effects test both the stock market and the three sections, corresponding to the presence of different models of the structure break co-integration.