股票市场混合预测模型的性能分析 预测

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
本文结合已有的几种金融市场预测模型，分析了融合遗传规划(GP)混合模型在金融市场预测中的性能。该方案可用于股票市场的深入分析。采用Kendalls Tau、Ginis均值差、Spearmans Rho和弱一致性解释等不同的一致性度量来寻找过去看起来与现在相似的模式。然后利用遗传程序设计将过去的趋势与现在的趋势尽可能接近地匹配。然后遗传程序根据接下来发生的事情来估计接下来会发生什么。以金融时间序列数据(S&P500和NASDAQ指数）为样本数据集验证了这一概念。将预测结果与标准ARIMA模型及其它模型进行比较，分析其性能。
---
英文标题：
《Performance Analysis of Hybrid Forecasting Model In Stock Market
  Forecasting》
---
作者：
Mahesh S. Khadka, K. M. George, N. Park, J. B. Kim
---
最新提交年份：
2013
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Computer Science        计算机科学
二级分类：Computational Engineering, Finance, and Science        计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
--

---
英文摘要：
  This paper presents performance analysis of hybrid model comprise of concordance and Genetic Programming (GP) to forecast financial market with some existing models. This scheme can be used for in depth analysis of stock market. Different measures of concordances such as Kendalls Tau, Ginis Mean Difference, Spearmans Rho, and weak interpretation of concordance are used to search for the pattern in past that look similar to present. Genetic Programming is then used to match the past trend to present trend as close as possible. Then Genetic Program estimates what will happen next based on what had happened next. The concept is validated using financial time series data (S&P 500 and NASDAQ indices) as sample data sets. The forecasted result is then compared with standard ARIMA model and other model to analyse its performance.
---
PDF链接：
https://arxiv.org/pdf/1209.4608

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：股票市场 预测模型 性能分析 股票市 Applications Genetic 时间 预测 遗传 看起来