Neural Network Application For Predicting Stock Index神经网络在股票指数预测中的应用.pptVIP

下载本文档

0
0
约8.05千字
约 21页
2017-03-08 发布于上海
举报
版权申诉

Neural Network Application For Predicting Stock Index神经网络在股票指数预测中的应用.ppt

1、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。。
2、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
3、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
4、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
5、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
6、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
7、VIP文档为合作方或网友上传，每下载1次，网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档

Neural Network Application For Predicting Stock Index神经网络在股票指数预测中的应用

Neural Network Application For Predicting Stock Index Volatility Using High Frequency Data Project No CFWin03-32 Presented by: Venkatesh Manian Professor : Dr Ruppa K Tulasiram Outline Introduction and Motivation Background Problem Statement Solution Strategy and Implementation Results Conclusion and Future Work Introduction and Motivation Index is defined as “a statistical measure of the changes in the portfolio of stocks representing a portion of the overall market”[3]. Hol and Koopman [2] calculates volatility using high frequency intraday returns. The noise present in the daily squared series decreases as the sampling frequency of the returns increases. Pierre et.al[7] says that price change are correlated only over a short period of time whereas “absolute value has the ability to show correlation on time up to many years”. Predicting capability of neural networks. Background Schwert in [9] points out the importance of intraday data on stock prices to keep track of market trends. Market decline on October 13, 1987. Refenes in [8] explains about different problem available and its solution strategies. He says that neural networks is used in cases where the behavior of the system cannot be predicted. Problem Statement The goal of this project is to predict the volatility of stock index using Radial Basis Function (RBF) Neural Networks The project focuses on the following aspects. Using high frequency intraday returns so as to reduce the noise present in the input. Using RBF networks which can calculate the number of hidden nodes needed for predicting volatility at runtime so as to reduce the problems involved in using more hidden nodes or less. Prediction of stock index volatility is also tested using multilayer feedforward network. In this case sigmoidal function is used as activation function. Solution Strategy and Implementation Collection of every five-minute value of stock index. Intraday returns are calculated by subtracting successive log prices