政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124709

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124709

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政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 > Item 140.119/124709

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題名:	以序列型學習演算法預測牛市與熊市之轉折點 The sequentially-learning-based algorithm and the pre-diction of the turning points of bull and bear markets
作者:	張瑄芸 Chang, Hsuan-Yun
貢獻者:	蔡瑞煌盧敬植 Tsaih, Rua-Huan Lu, Chinh-Chih 張瑄芸 Chang, Hsuan-Yun
關鍵詞:	概念飄移離群值偵測人工神經網路決策支援機制移動視窗 concept drifting outlier detection artificial neural network moving window cramming mechanism softening mechanism integrating mechanism
日期:	2019
上傳時間:	2019-08-07 16:06:39 (UTC+8)
摘要:	在機器學習領域中，對於人工神經網絡（ANN）的架構中，輸入值是實數，輸出值是二元的問題是有挑戰性的，尚未有任何神經網路學習演算法可以解決過度擬合（overfitting）問題，同時可以完美地學習所有訓練數據；另外，在概念飄移環境中要如何去處理離群值的偵測也變得重要，現今的很多資料多為動態性且具概念漂移的特性。為了解決上述挑戰，本研究提出了DSM（決策支持機制）和CSI（強記、軟化、整合）學習演算法。決策支持機制運用了移動視窗的概念，不僅可以識別牛市/熊市中的潛在轉折點檢測，還可以幫助決策者檢視所有轉折點候選者。所提出的CSI學習算法具有以下特點：（1）採用單層隱藏層的神經網絡（ASLFN）和ReLU激活函數；（2）採用LTS原理加速訓練時間；（3）完美的學習所有訓練的數據；（4）實行正則化（regularization），軟化和整合機制，以減輕過度擬合趨勢的模型。我們進行了檢測牛市/熊市轉折點的實驗，以驗證所提出的演算法具有有效性和效率，以及偵測出轉折點候選人幫助決策者作出最終決定。 In the field of machine learning, there is a challenge to the Artificial Neural Networks (ANN) application whose input values are real numbers and the output values are binary. Whether any of ANN learning algorithms can solve the overfitting problem, while it can perfectly learn all of training data. Besides, the problem of outlier detection in the concept environment is becoming an issue. The nature data now has the dynamic and unstable property in the concept drifting environment. To address the aforementioned challenge, this study proposes the DSM (Decision Support Mechanism) and CSI (Cramming, Softening, and Integrating) learning algorithm. DSM apply the moving window mechanism, and it can not only identify the potential turning point detection in the bull/ bear market but also assist the decision maker to double check merely all of turning point candidates. The proposed CSI learning algorithm has the follow-ing features: (1) the adoption of adaptive single-hidden layer feed-forward neural network (ASLFN) and ReLU activation function, (2) the usage of least trimmed squares (LTS) prin-ciple to speed up the training time, (3) the practice to precisely learn all training data, and (4) the implementations of the regularization term, the softening and integrating mechanism to alleviate the obtained model from the overfitting tendency. We conduct an experiment of detecting the turning points of bull/bear markets to validate the effectiveness and efficiency of the proposed algorithm in the addressing challenge.
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Wilson, “Two centuries of bull and bear mar-ket cycles,” International Review of Economics & Finance, vol. 14 no. 4, pp. 469-486, 2005. [28] G. Bry, & C. Boschan, “Front matter to" Cyclical Analysis of Time Series: Selected Procedures and Computer Programs,” In Cyclical analysis of time series: Selected procedures and computer programs, pp. 13-2. NBER, 1971. [29] B. Babcock, S. Babu, M. Datar, R. Motwani, & J. Widom, “Models and issues in data stream systems,” In Proceedings of the twenty-first ACM SIGMOD-SIGACT-SIGART symposium on Principles of database systems, pp. 1-16, ACM, 2002. [30] M. N. Kashani, J. Aminian, S. Shahhosseini,& M. Farrokhi, “Dynamic crude oil foul-ing prediction in industrial preheaters using optimized ANN based moving window technique,” Chemical Engineering Research and Design, vol.90, no.7, pp.938-949, 2012.
描述:	碩士國立政治大學資訊管理學系 106356017
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0106356017
資料類型:	thesis
DOI:	10.6814/NCCU201900325
顯示於類別:	[資訊管理學系] 學位論文

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