Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/86204


Title: 利用演化性神經網路預測高頻率時間序列:恆生股價指數的研究
Forecasting High-Frequency Financial Time Series with Evolutionary Neural Trees:The Case of Hang Seng Stock Price Index
Authors: 王宏碩
Wang, Hung-Shuo
Contributors: 陳樹衡
Cheng, Shu-Heng
王宏碩
Wang, Hung-Shuo
Keywords: 演化性神經網路
神經樹
加/乘神經樹
生長式遺傳演算法
遺傳程式
Evolutionary Artificial Neural Networks
Neural Trees
Sigma-Pi Neural Trees
Breeder Genetic Algorithm
Genetic Programming
Date: 1998
Issue Date: 2016-04-27 11:12:29 (UTC+8)
Abstract: 為了瞭解影響演化性神經網路(ENT)預測表現的四項重要的機制:輸入資料性質、訓練樣本大小、網路搜尋密度以及控制模型複雜度,進而找出能使ENT充分發揮效果的組合。在本論文中首先設計ENT在模擬資料上的實驗,探討上述四項機制個別對預測表現的影響,再依照實驗結果的建議,設計能讓ENT發揮功效的組合,並以實際金融高頻率資料:香港恆生指數在一九九八年十二月報酬率為標的,探討模擬資料的結果在實際金融資料需要調整的部份。實驗結果顯示,當輸入資料經過線性過濾後,搭配大樣本訓練、高搜尋強度與適當地模型複雜度控制,會是能讓神經網路提高預測能力的組合。在實際金融資料的實驗當中同時發現,資料中偶而出現特別高或特別低的變化,會對ENT的預測表現有相當程度的影響。
In this thesis, Evolutionary Neural Trees (ENTs) are applied to forecast the artificial data generated by financial and chaos models — iid random, linear process (Auto Regressive-Moving Average;ARMA), nonlinear processes (AutoRegressive Conditional Heteroskedasticity;ARCH, General AutoRegressive Conditional Heteroskedasticity;GARCH, Bilinear), mixed linear and nonlinear process (AR and GARCH). Experiments of the artificial data were conducted to understand the characteristics of ENTs mechanism. – data pre-processing procedures, search intensity, sample size and complexity regularization. From the experiment results of artificial data, the combination of pure linear or nonlinear time series, large sample size, intensive search and simple neural trees are suggested for the parameters setting of ENTs. And for the sake of computational burden, we have a trade-off between search intensity and sample size. Ten experiments are designed for ENTs modeling on the high-frequency stock returns of Heng Sheng stock index on December, 1998, in order to have an efficient combination of the factors of ENTs.
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Description: 碩士
國立政治大學
經濟學系
86258014
Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001629
Data Type: thesis
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