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題名 股價預測:專家系統給例學習法之應用 作者 白晉榮 貢獻者 劉維琪
白晉榮日期 1989 上傳時間 4-五月-2016 14:20:12 (UTC+8) 摘要 摘要:本篇論文之目的在研究如何建立一具備証券價格變化預測能力之專家系統。專家系統通常需要一個知識庫，在這個知織庫之中包含了許多決策規則和事實。而這些規則和事實都是經由和專家們長時間反覆的會談及討論而產生。但是在建立一個執行証券投資決策的專家系統時，卻發現証券投資領域之中之專家所憑藉的往往都只是經驗與直覺，即使是經由深度訪談也難以整理出明確的規則和事實來。職是之故，如何汲取專業知識遂成為建立專家系統之瓶頸。為了解決知識汲取的困難，本研究首先探討各種學習法則之特性以及其與証券投資知識領域之間的配合程度，據以選出一項最合適的學習法則。最後發現此一最合適之法則即為『連結模型』(或稱『類神經網路』)中之『向後傳播網路』(Back-Propagation Network)。接著，為了對人工學習技術在証券投資領域上之應用，進行先導研究，本文乃實際利用向後傳播網路東學習有關証券價格變動行為之知識。研究結果發現本文所設計之網路模式在經過多次的訓練之後，其所具備之知識在預測己學習過之資料上，僅有極微小之誤差，平均週收盤指數之預測誤差為59.9點。此外，本研究在『向後傳播網路之應用』上亦獲致數項結論。 參考文獻 參考資料一.英文部分Brothick. A. Faye & West, Owen D. (1987). "Expert System – A New Tool for the Professional." Accounting Horizons,6, PP. 9-16.Braun. H. & Chandler, J. S. (987). "Predicting Stock Market Behavior through Rule Induction: An Application of the Learing-From-Example approach." Decision Science,18, pp. 415-429.Carter, C. & Catlett, J. (1987). "Credit Card Applications Using Machine Learning," IEEE EXPERT. Fall 1987, PP.71-79.Caudill, M. (1987). "Network paradigm selection guidelines for application development," Proc. of IEEE International Conference on Neural Networks. PP. 298-302.Cohen, P. R. & Feigenbaum, E. A. (1982). The Handbook of Artificial Intelligence. Vol. 3. Los Altos: Willian Kaufmann, Inc.Dietterich. T. G. & Michalski, R. S. (1981). "Inductive learning of structuresl descriptions: Evaluation criteria and comparative review of selected methods," IJCAI 6,PP. 223-231.Edward, R. D. & Magee, J. (1966). Technical Analysis of Stock Trends, 5th ed. Springfield, Mass.: Stock Trend service.P. 86.Fama. E. F. (1965). "Random Walk of Stock Market Prices,"Financial Analysts Journal, XXI, No.5, P. 57.Franc is, J. C. (1976). Investment: Analysis and Management, McGraw-Hill Co. N.Y., 2nd., p. 543.Gondran, Michael (1986). An Intrduction to Expert Systems.translated by Joanna Gosling. London: McGraw-Hill,, p3.Hass, N. and Hendrix, G. G. (1983). "Learning by Being Told:Acquiring Knowledge for Information Management.Machine Learning: An Artificial Intelligence Approach,"Michalski R.S., Carbonell J., Mitchell T. ed., Tioga Publishing Company.Heubner, S. S. (1934). The Stock Market. Rev. ed.Holsapple, C. W., Tam, K. Y., and Winston, A. B. (1988)."Adapting Expert System Technology to Financial Management." Financial Management, Autumn, pp. 12-22.Hunt, E. B., Marin, J., & Stone, P. 1. (1966). Experiments in Induction. New York: Academic Press.Jackson, Peter (1986). Introduction to Expert System. Great British: Addison-Wesley, pl.Karpoff, J. M. (1987). "The Relationship between Price and Changes and Trading Volume: A Survey," Journal of Finacial and Quantitative Analysis, 22 No.1.,pp. 109-126.Lapedes, A. & Farber, R. (1987). Noneliner Singal Processing using Neural Networks: Prediction and System Modeling. Los Alamos National Labratory report LA-UR-87-2662.Lenat, D. B. (1978). "The Ubiquity of discovery." Artificial Intelligence, 18, PP. 203-226.Lenat, D. B. (1983). "EURISKO: a program that learns new heuristics and domain concepts." Artificial Intelligence,21, pp. 61-98.Lenat, D. B., Hayes-Roth, F., and Klahr, P. (1979 ) . "Cogntive economy in artificial intelligence system." IJCAI 6,531-536.Michalski, R. S. & Chilausky, R. L. (1980). "Learning by being told and learning from example: An experimental comparision of the two methods of lnowledge acqusition inthe context of developing an expert system for soybean disease diagnosis," International Journal of Policy Analysis and Information System, 4, pp. 125-161.Mitchell, T. M. (1977). "Version spaces: A candidate elimination approach to rule learning." IJCAI 5, PP. 305-310.Mitchell, T. M. (1979). "An analysis of generalization as a search problem." IJCAI 6, PP. 577-582.Mitchell, T. M., Utgoff P. E. & Benerji, R. (1983). "Leraning by Experimentation: Acquiring and Refining Problem Solving Heuristics," chapter in Machine Learning: AnArtificial Intelligence Approach, Michalski R. S.,Carbonell J., Mitchell T. ed., Tioga Publishing Company.Mitchell, T. M ., Kellar R. M. & Kedar-Caballi. S. T. (1986)."Explanation-based generalization: a unifying view."Machine Learning. 1. pp. 47-80.NeuralWare Inc. (1987). "Back-propagation. "Chapter in NeuralWorks. Sewickley: NeuralWare Inc.Pinches. G. E. (1970 ). "The Random Walk Hypothesis and Technical Analysis." Financial Analysts Journal. 26. No.2. pp.108-109.Quilan. J. R. (1979). "Discovering Rule from large collections of examples : A case study. " In Michie ed., Expert systems in the micro electrocnic age. Edinburgh. Scotland:Edinburgh University Press.Quilan. J. R. (1986). "Induction Decision Tree." Machine Learning,1. pp. 81-106.Rumelhart. D. E., Hinton. G. E. & Willians. R. J. (1986)."Learning Internal Representations by Error Propagation."chapter in Parallel Distributed Processing: Explanations in the Microstructure of Cognition. Vol. 1 : foundations. Rumelhart. D. E., McClelland,J. L., and the PDP Reasearch Group (ed. ) . MIT Press /Bradford Books. Cambridge MA. USA.Shapiro. Allen D. (1987 ) . Structured Introduction in expert System. Great British: Addison-Wisley. pl.Shaw. M. J. & Gentry. J. A. (1988) . "Using an Epert System with Inductive Learning to Evaluate Businiss Loans."Financial Management. Autumn. pp. 45-56.Witten. I. H. & MacDonald. B. A. (1988). "Using concept learning for knowledge acquisition." Int. J. Man-Machine Studies. 29. PP. 171-196.二、中文部分朱忠園(民76) .我國証券市場中市場因素行業因素及公司因素之探討，中興企研所未出版碩士論文。劉偉仲(民76 ) 應用於股票投資基本分析知識庫系統研究與設計，台大商研所未出版碩士論文。揚建民(民79 ) .投資專家系統－以人工智慧技術預測台灣股票市場行為.國科會研究計劃。 描述 碩士
國立政治大學
企業管理學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005576 資料類型 thesis dc.contributor.advisor 劉維琪 zh_TW dc.contributor.author (作者) 白晉榮 zh_TW dc.creator (作者) 白晉榮 zh_TW dc.date (日期) 1989 en_US dc.date.accessioned 4-五月-2016 14:20:12 (UTC+8) - dc.date.available 4-五月-2016 14:20:12 (UTC+8) - dc.date.issued (上傳時間) 4-五月-2016 14:20:12 (UTC+8) - dc.identifier (其他 識別碼) B2002005576 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90394 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 企業管理學系 zh_TW dc.description.abstract (摘要) 摘要:本篇論文之目的在研究如何建立一具備証券價格變化預測能力之專家系統。專家系統通常需要一個知識庫，在這個知織庫之中包含了許多決策規則和事實。而這些規則和事實都是經由和專家們長時間反覆的會談及討論而產生。但是在建立一個執行証券投資決策的專家系統時，卻發現証券投資領域之中之專家所憑藉的往往都只是經驗與直覺，即使是經由深度訪談也難以整理出明確的規則和事實來。職是之故，如何汲取專業知識遂成為建立專家系統之瓶頸。為了解決知識汲取的困難，本研究首先探討各種學習法則之特性以及其與証券投資知識領域之間的配合程度，據以選出一項最合適的學習法則。最後發現此一最合適之法則即為『連結模型』(或稱『類神經網路』)中之『向後傳播網路』(Back-Propagation Network)。接著，為了對人工學習技術在証券投資領域上之應用，進行先導研究，本文乃實際利用向後傳播網路東學習有關証券價格變動行為之知識。研究結果發現本文所設計之網路模式在經過多次的訓練之後，其所具備之知識在預測己學習過之資料上，僅有極微小之誤差，平均週收盤指數之預測誤差為59.9點。此外，本研究在『向後傳播網路之應用』上亦獲致數項結論。 zh_TW dc.description.tableofcontents 目錄第一章 緒論………1第一節 研究背景………1第二節 研究動機與目的………2第三節 研研範圍………4本章註釋………6第二章 人工學習法則………7第一節 基本的學習策略………7第二節 AQ11演算法則………14第三節 ID03演算法則………20第四節 向後傳播網路演算法則………25第五節 各種結例演算法則之比較………33本章註釋………41第三章 模式設計與研究結果………43第一節 股價決定理論………43第二節 指數預測模式設計………46第三節 研究結果………53本章註釋………63第四章 結論與建議………65第一節 結論………65第二節 未來研究建議………69本章註釋………70附錄一 WEEK6各連結線之參數值………71附錄二 WEEK6之預測結果………80 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005576 en_US dc.title (題名) 股價預測:專家系統給例學習法之應用 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考資料一.英文部分Brothick. A. Faye & West, Owen D. (1987). "Expert System – A New Tool for the Professional." Accounting Horizons,6, PP. 9-16.Braun. H. & Chandler, J. S. (987). "Predicting Stock Market Behavior through Rule Induction: An Application of the Learing-From-Example approach." Decision Science,18, pp. 415-429.Carter, C. & Catlett, J. (1987). "Credit Card Applications Using Machine Learning," IEEE EXPERT. Fall 1987, PP.71-79.Caudill, M. (1987). "Network paradigm selection guidelines for application development," Proc. of IEEE International Conference on Neural Networks. PP. 298-302.Cohen, P. R. & Feigenbaum, E. A. (1982). The Handbook of Artificial Intelligence. Vol. 3. Los Altos: Willian Kaufmann, Inc.Dietterich. T. G. & Michalski, R. S. (1981). "Inductive learning of structuresl descriptions: Evaluation criteria and comparative review of selected methods," IJCAI 6,PP. 223-231.Edward, R. D. & Magee, J. (1966). Technical Analysis of Stock Trends, 5th ed. Springfield, Mass.: Stock Trend service.P. 86.Fama. E. F. (1965). "Random Walk of Stock Market Prices,"Financial Analysts Journal, XXI, No.5, P. 57.Franc is, J. C. (1976). Investment: Analysis and Management, McGraw-Hill Co. N.Y., 2nd., p. 543.Gondran, Michael (1986). An Intrduction to Expert Systems.translated by Joanna Gosling. London: McGraw-Hill,, p3.Hass, N. and Hendrix, G. G. (1983). "Learning by Being Told:Acquiring Knowledge for Information Management.Machine Learning: An Artificial Intelligence Approach,"Michalski R.S., Carbonell J., Mitchell T. ed., Tioga Publishing Company.Heubner, S. S. (1934). The Stock Market. Rev. ed.Holsapple, C. W., Tam, K. Y., and Winston, A. B. (1988)."Adapting Expert System Technology to Financial Management." Financial Management, Autumn, pp. 12-22.Hunt, E. B., Marin, J., & Stone, P. 1. (1966). Experiments in Induction. New York: Academic Press.Jackson, Peter (1986). Introduction to Expert System. Great British: Addison-Wesley, pl.Karpoff, J. M. (1987). "The Relationship between Price and Changes and Trading Volume: A Survey," Journal of Finacial and Quantitative Analysis, 22 No.1.,pp. 109-126.Lapedes, A. & Farber, R. (1987). Noneliner Singal Processing using Neural Networks: Prediction and System Modeling. Los Alamos National Labratory report LA-UR-87-2662.Lenat, D. B. (1978). "The Ubiquity of discovery." Artificial Intelligence, 18, PP. 203-226.Lenat, D. B. (1983). "EURISKO: a program that learns new heuristics and domain concepts." Artificial Intelligence,21, pp. 61-98.Lenat, D. B., Hayes-Roth, F., and Klahr, P. (1979 ) . "Cogntive economy in artificial intelligence system." IJCAI 6,531-536.Michalski, R. S. & Chilausky, R. L. (1980). "Learning by being told and learning from example: An experimental comparision of the two methods of lnowledge acqusition inthe context of developing an expert system for soybean disease diagnosis," International Journal of Policy Analysis and Information System, 4, pp. 125-161.Mitchell, T. M. (1977). "Version spaces: A candidate elimination approach to rule learning." IJCAI 5, PP. 305-310.Mitchell, T. M. (1979). "An analysis of generalization as a search problem." IJCAI 6, PP. 577-582.Mitchell, T. M., Utgoff P. E. & Benerji, R. (1983). "Leraning by Experimentation: Acquiring and Refining Problem Solving Heuristics," chapter in Machine Learning: AnArtificial Intelligence Approach, Michalski R. S.,Carbonell J., Mitchell T. ed., Tioga Publishing Company.Mitchell, T. M ., Kellar R. M. & Kedar-Caballi. S. T. (1986)."Explanation-based generalization: a unifying view."Machine Learning. 1. pp. 47-80.NeuralWare Inc. (1987). "Back-propagation. "Chapter in NeuralWorks. Sewickley: NeuralWare Inc.Pinches. G. E. (1970 ). "The Random Walk Hypothesis and Technical Analysis." Financial Analysts Journal. 26. No.2. pp.108-109.Quilan. J. R. (1979). "Discovering Rule from large collections of examples : A case study. " In Michie ed., Expert systems in the micro electrocnic age. Edinburgh. Scotland:Edinburgh University Press.Quilan. J. R. (1986). "Induction Decision Tree." Machine Learning,1. pp. 81-106.Rumelhart. D. E., Hinton. G. E. & Willians. R. J. (1986)."Learning Internal Representations by Error Propagation."chapter in Parallel Distributed Processing: Explanations in the Microstructure of Cognition. Vol. 1 : foundations. Rumelhart. D. E., McClelland,J. L., and the PDP Reasearch Group (ed. ) . MIT Press /Bradford Books. Cambridge MA. USA.Shapiro. Allen D. (1987 ) . Structured Introduction in expert System. Great British: Addison-Wisley. pl.Shaw. M. J. & Gentry. J. A. (1988) . "Using an Epert System with Inductive Learning to Evaluate Businiss Loans."Financial Management. Autumn. pp. 45-56.Witten. I. H. & MacDonald. B. A. (1988). "Using concept learning for knowledge acquisition." Int. J. Man-Machine Studies. 29. PP. 171-196.二、中文部分朱忠園(民76) .我國証券市場中市場因素行業因素及公司因素之探討，中興企研所未出版碩士論文。劉偉仲(民76 ) 應用於股票投資基本分析知識庫系統研究與設計，台大商研所未出版碩士論文。揚建民(民79 ) .投資專家系統－以人工智慧技術預測台灣股票市場行為.國科會研究計劃。 zh_TW
