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    题名: 應用類神經網路於預測國外股價指數期約
    Forecasting Foreign Stock Index Futures: An Application of Neural Networks
    作者: 賴俊霖
    Lai, Charles C.
    贡献者: 蔡瑞煌
    徐燕山
    Ray, Tsaih
    Hsu, Yenshan
    賴俊霖
    Lai, Charles C.
    关键词: 理解神經網路
    S&P 500 指數期貨
    類神經網路
    股價指數期貨
    Reasoning neural networks
    S&P 500 index futures
    Artificial neural networks
    Stock index futures
    日期: 1996
    上传时间: 2016-04-28 11:55:06 (UTC+8)
    摘要: 本研究嘗試整合類神經網路與法則基礎（rule-based）系統技術，以建立S&P 500指數期貨的交易策略。本研究不同於先前研究之處有下列二方面：一、本研究採用法則基礎系統的方式提供神經網路的訓練範例；二、本研究以理解神經網路（Reasoning Neural Networks）取代後向傳導網路（Back propagation networks）以解決局部最小值與隱藏結點數未知的困境，而實證結果也顯示理解神經網路之表現優於後向傳導網路。首先，由期貨的日價格資料計算出十種技術分析指標值，用這些指標值來表示期貨市場內的各種可能狀況（case）。接著，我們提出FFM（Futures Forecast Model）與EFFM（Extended Futures Forecast Model）來處理市場的各種狀況，預測出隔日的期貨價格改變方向。以法則基礎方法所建立的FFM是用來處理明顯的狀況（obvious cases），並且提供類神經網路好的訓練範例。而EFFM包括四個理解神經網路系統與一個決策機置（voting mechanism），它被用來處理那些不明顯的狀況（non-obvious
    This research adopts a hybrid approach to implementing the
    參考文獻: Bergerson, Karl and Donald C. Wunsch (1991), "A Commodity Trading Model Based on a Neural Network - Expert System Hybrid," Proceedings of the IEEE International Conference on Neural Networks, pp. 1289-1293.
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    Bosarge, W. E. (1991), "Adaptive Processes to Exploit the Nonlinear Structure of Financial Markets," The Santa Fe Institute of Complexity Conference: Neural Networks and Pattern Recognition in Forecasting Financial Markets, February 15.
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    Kee, Wong Yue and Annie Koh (1994), "Technical Analysis of Nikkei 225 Stock Index Futures Using an Expert System Advisor," Proceedings of the CBOT Conference.Minsky, M.L. and S.A. Papert (1969), Perceptrons, Cambridge: MIT Press.
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    描述: 碩士
    國立政治大學
    資訊管理學系
    83356022
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002002862
    数据类型: thesis
    显示于类别:[資訊管理學系] 學位論文

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