Research On The Influence Of The Price Limit On The Autocorrelation Of The CSI 500 Index

The setting of the price limit limits the fluctuation range of stock prices.Since the stock price index is obtained by a certain calculation method based on its price and market value,the impact of the price limit on the stock price will also affect the stock price.index.When there are more stocks in the index stocks that have a daily limit or a down limit,the price of the stock index is closer to the daily limit or the limit.The existence of the price limit has led to the restriction of normal fluctuations in stock prices,resulting in distortions in stock prices,resulting in price delay effects in the stock market.Due to the ups and downs of the system,the fluctuation range of the stock price is limited to a certain range.Therefore,the system also indirectly limits the fluctuation range of the stock price index,resulting in the inability to observe the true fluctuation of the stock price index,resulting in stocks.The price index has a price delay effect.Studies have shown that stock prices should be unpredictable when there is no price limit,that is,there is no autocorrelation.However,this paper found in the research process that the CSI 500 index has significant autocorrelation.In order to show that the autocorrelation of the index is caused by the price delay effect caused by the price limit,this paper first calculates the daily limit and the number of daily limit stocks in the closing price of the constituent stocks of the CSI 500 Index based on the daily closing price.And the number of daily limit and the number of downtimes as time series variables,added to the linear regression model,observe the changes in the coefficients and coefficients of the independent variables.The results show that after adding the daily limit variable and the down limit variable,the coefficient of the independent variable is significantly reduced,and the autocorrelation disappears,indicating that the autocorrelation of the CSI 500 is caused by the price limit.Because the price limit effect will lead to price delay effect,this paper uses BP neural network to correct stocks with daily limit or down limit,and simulates the price of stocks when there is no limit of stock limit,that is,through neural network to correct stocks affected by price discovery delay effect.In order to ensure the accuracy of neural network prediction,this paper deals with the data used in neural network training and reduces the noise.After obtaining the expected neural network,this paper shows the closing price of the daily limit and the daily limit for all constituents of the CSI 500 Index.After obtaining the revised closing price,the revised closing price is used to recalculate the daily closing price of the CSI 500 Index.It is found through calculation that the index closing price is lower than the correlation coefficient and is no longer significant.The research in this paper proves that the price delay effect caused by the price limit will make the CSI 500 index autocorrelation,and the price delay effect caused by the down limit is stronger than the price delay effect caused by the daily limit.It can also be said that the impact of the down limit on market sentiment is higher than the impact of the daily limit on market sentiment.That is,when the index has a down limit or is close to the down limit,the trader is more willing to sell the assets in his hand,and when the daily limit is close to or close to the daily limit,the trader is slightly weaker.