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| Title: | 應用RNN於股價漲跌預測之研究
Applying Recurrent Neural Networks to Stock Price Prediction |
| Authors: | 李俊逸
Lee, Chun-Yi |
| Contributors: | 梁定澎
周彥君
Liang, Ting-Peng
Chou, Yen-Chun
李俊逸
Lee, Chun-Yi |
| Keywords: | 股價預測
遞歸神經網路
深度學習
人工智慧
Recurrent Neural Network
Stock Price Prediction
Deep learning
Artificial Intelligence |
| Date: | 2019 |
| Issue Date: | 2019-09-05 15:44:55 (UTC+8) |
| Abstract: | 股票是現代人投資理財的重要工具，藉由投資股票可以成為公司的股東直接參與並分享公司的成長，並從中獲利。股票的價格受到了短期與長期的商業、交易活動影響，這些影響的模式往往非常難以預估，因為股價往往受到了現實中許多不確定的政治、經濟因素影響，例如企業績效、政府政策、跨國家的突發事件新聞，又或者說川普上台後的美股就是一例。此外，股票價格的時間序列是非線性、非固定模式的，因此對未來的股票價格做預測非常具有挑戰性的。
為了解決這個問題，本研究嘗試以「價值投資」的角度，使用深度學習當中的的遞歸神經網路(Recurrent Neural Network)來捕捉過去市場的交易模式，隨著時間的推移對於股價做「長期預測」。也由於影響股價的因素非常的多，包括了許多已被基金金理人、投資專家、或者是一般股民廣泛利用的指標，本研究使用深度學習的遞歸神經網路當作架構，根據交易量(流動性)、市值、選擇了台灣的大型股票台積電(2330.TW)、鴻海(2317.TW)、聯發科(2454.TW)、大立光(3008.TW)以及台灣50(0050.TW)做漲跌的預測。透過遞歸神經網路(RNN)自我學習特徵的方式，本研究將比較不同特徵及參數設定的影響，包括(1)神經元數目 (2)隱藏層數目(3)不同預測週期(4)不同的標準化方法(5)不同的指標(如，財務報表指標、技術分析指標、基本分析指標、股市交易資料、總體經濟資料) (6)運用優良之預測模型於股票市場之獲利率。
With the rapid growth of computing equipment in Moore`s Law and the rapid development of computing devices, humans now have computers with faster speeds, which makes artificial intelligence rise again. The reason is that the branch of artificial intelligence — deep learning becomes dominant, and many people are working on how to implement deep learning skill on difficult questions and make contribution to human society. This study attempts to use one of the deep learning skills, RNN (Recurrent Neural Network) to make predictions about the stock market. The factors affecting the stock market are very many, including many indicators that have been widely used by fund managers, investment experts, or general investors. This study uses RNN (Recurrent Neural Network) as an architecture. Based on the transaction volume (liquidity) and market value, choose from Top 50 largest company, this research chooses Taiwan Semiconductor Manufacturing Company (2330.TW), Foxconn Technology Group (2317.TW), MediaTek Inc. (2454.TW), Largan Precision Co., Ltd (3008.TW) as predicting the target. Through the self-learning recurrent neural network (RNN), we use the LSTM model in order to make useful predictions. This study compares the influence on (1) Number of neurons (2) the number of hidden layers (3) For how long or how many months backwards are the excellent periods to forecast next month(4) Different standardization methods (5) Different indicators (financial statement indicators, technical analysis indicators, fundamental analysis indicators, stock market trading data, macroeconomics data) and do One-hot Encoding on months to see the seasonal influence on market and make predictions. |
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| Description: | 碩士
國立政治大學
資訊管理學系
106356024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106356024 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201900772 |
| Appears in Collections: | [資訊管理學系] 學位論文
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