扩展卡尔曼滤波神经网络算法在股市的应用-金融学专业论文.docxVIP

摘 摘 要 股票市场具有高收益与高风险并存的特性，为趋利避险，人们一直 孜孜以求，探索其内在规律，寻找有效的预测方法和工具。但是，股票 市场作为一种影响因素众多、各种不确定性共同作用的复杂巨系统，其 价格波动往往表现出较强的非线性的特征，且股市各因素间相关睦错综 复杂，主次关系变化不定，数量关系难以提取及定量分析。另外，殴市 的建模与预测所处理的信息量往往十分庞大，对算法有很高的要求。为 此，本文利用EKF(Extended Kalman Filter)算法及其改进算法对神经 网络参数进行辨识。论文的主要研究工作和成果包括以下几个方面的内 容： 首先介绍了神经网络的基本理论和网络模型，重点阐述了反向传播 BP模型的工作过程；然后，对Kalman滤波以及扩展的Kalman滤波作 了详尽的说明；在此基础上，将神经网络与扩展的Kalman滤波结合起 来并进行改进，得到了基于扩展Kalman滤波的神经网络学习算法及其 改进算法。 我们将此算法应用到股票价格预测中，分别运用单步预测和多步预 测两种方法，以浦发银行(600000)、邯郸钢铁(600001)和桂冠电力 (600236)三支股票的价格为对象进行实证，分析比较基于扩展Kalman 滤波的神经网络学习算法及其改进算法与BP算法的优劣。结果证明： 基于扩展Kalman滤波的神经网络学习算法及其改进算法在预测精度和 收敛速度上明显优于BP算法，预测数据与实际数据基本吻合，取得了 较好的效果，具有很好的推广能力和应用价值。 关键诃：神经网络扩展的Kalman滤波UD分解股价预测 AbstractHigh Abstract High return always goes with high risk in stock market．In order to pursue profit and avoid risk as much as possible，people work hard to study the inherent regulation of the market and explore efficient forecasting methods all the time．However，due to the enormous infiuential factors and complexity of the market structure，it is extremely difficult for US to discover the quantitative relation and conduct econometrical analysis．In addition，the data processing volume of stock market modeling and prediction is exceedingly huge．In the mean time，the requirement to precise and advanced algorithm is exigent．In this case，a modified learning algorithm for a multi—layered neural network based on extended Kalman filter(EKF)is proposed to predict the stock price．The main research work and achievement of the thesis include the following contents： Firstly，we introduce the basic theory of the neural network and network model，especially the explanation of the working process of the back—propagation learning algorithm．Then订e illuminated the kalman filter and the extended kalman filter method．On the basis of the theories mentioned above，we put neural network and kalman filter all together．We have the neural network learning algorithm based on the extended kalman filter． In order to compare traditional BP a