收藏本站
《第36届中国控制会议论文集(C)》2017年
收藏 | 手机打开
二维码
手机客户端打开本文

Stock Market Index Prediction Using Deep Neural Network Ensemble

Bing Yang  Zi-Jia Gong  Wenqi Yang  
【摘要】:In this paper,we put forward deep neural network ensemble to model and predict Chinese stock market index(including Shanghai composite index and SZSE component index),based on the input indices of recent days.A set of component networks are trained by historical data for this task,where Backpropagation and Adam algorithm are used to train each network efficiently.Bagging approach combines these component networks to generate ensemble,which reduces the generalization error.Indices of test examples are predicted with the model,and the trend predictions is calculated based on the predicted indices.Finally,relative errors between actual indices and predicted indices,as well as accuracy of trend predictions are computed to measure the performance of predictions.It turns out that the model proposed in this paper can partially model and predict the Chinese stock market.The accuracy of trend predictions of the daily barycenter,high,low are 71.34%,74.15%,74.15%respectively for Shanghai composite index and 75.95%,73.95%,72.34%respectively for SZSE component index.But the predictions on close are unsatisfactory.
【作者单位】:School of Mathematics and Statistics,Shandong University School of Mathematics,Shandong University
【分类号】:F832.51;TP183
【正文快照】:
1Introduction During the past few decades,forecasting of price fluctuations for stock markets have been investigated via various artificial intelligence methods[l-3].According to the effi?cient market hypothesis[5-7],stock prices rapidly adjust to new

【相似文献】
中国期刊全文数据库 前10条
1 何增友;Clustering Categorical Data:A Cluster Ensemble Approach[J];High Technology Letters;2003年04期
2 ;AN ACTIVE AMATEUR ARTISTS GROUP——Shanghai Posts and Telecommunications Worker Amateur Ensemble[J];中国邮政;1984年01期
3 施彦;黄聪明;;An Improved Particle Swarm Optimization Algorithm Based on Ensemble Technique[J];Journal of China Ordnance;2006年04期
4 王博;彭长根;;基于Ensemble的医疗应用集成系统设计与实现[J];科技创新导报;2008年33期
5 ;A new ensemble feature selection and its application to pattern classification[J];Journal of Control Theory and Applications;2009年04期
6 ;Novel ensemble learning based on multiple section distribution in distributed environment[J];Journal of Systems Engineering and Electronics;2008年02期
7 Qiang Chen;Xuefeng Chen;Xiaojun Zhu;Zhi Zhai;Shaohua Tian;Zhengjia He;;Hybrid Intelligent Damage Identification of Composite Plate Based on Ensemble Empirical Mode Decomposition and Support Vector Machine[J];纤维复合材料;2013年04期
8 姚国正;王孟;陶霖密;;Connection Ensemble Model of Local Neural Circuits[J];Science in China(Series B);1994年10期
9 徐昶;;但愿清风不被污染——与瑞士Ensemble老板URS WAGNER先生谈谈心[J];中国电子商情(视听博览);1998年03期
10 李烨;尹汝泼;蔡云泽;许晓鸣;;Support Vector Machine Ensemble Based on Genetic Algorithm[J];Journal of DongHua University;2006年02期
中国重要会议论文全文数据库 前10条
1 ;Microcanonical ensemble analysis for ALADIN caloric curve[A];High Energy Multi-Particle Production and Heavy Ion Collisions--Proceedings of CCAST (World Laboratory) Workshop[C];2000年
2 ;Improving the Prediction of Human MicroRNA Target Genes by Using Ensemble Algorithm[A];2008年全国生物化学与分子生物学学术大会论文摘要[C];2008年
3 ;Identification of Triplet State and Photoisomerization by Means of Ensemble and Single-Molecule Measurements[A];中国化学会第二十五届学术年会论文摘要集(下册)[C];2006年
4 Xiaojun Wang;Yuan Ping;Zhizhong Mao;;The Move Ensemble Method[A];第25届中国控制与决策会议论文集[C];2013年
5 ;Conductance of an Ensemble of Molecular Wires:a Statistical Analysis[A];2005年纳米和表面科学与技术全国会议论文摘要集[C];2005年
6 乐新安;;Data assimilation of incoherent scatter radar observation into a one-dimensional midlatitude ionospheric model by applying ensemble Kalman filter[A];中国科学院地质与地球物理研究所2007学术论文汇编(第一卷)[C];2008年
7 Haisong Liu;Jiechang Wu;Guojun Chen;;Analog Circuit Fault Diagnosis with Small Samples Based on Selective SVM Ensemble[A];proceedings of 2010 3rd International Conference on Computer and Electrical Engineering (ICCEE 2010 no.1)[C];2012年
8 ;Principal Component Analysis and Neural Network Ensemble Based Economic Forecasting[A];第25届中国控制会议论文集(下册)[C];2006年
9 ;Comparison of Centralized Multi-Sensor Measurement and State Fusion Methods with Ensemble Kalman Filter for Process Fault diagnosis[A];Proceedings of 2010 Chinese Control and Decision Conference[C];2010年
10 ;Identification of Triplet State and Photoisomerization by Means of Ensemble and Single-Molecule Measurements[A];第九届全国化学动力学会议论文摘要集[C];2005年
中国重要报纸全文数据库 前3条
1 王继中研究员;Ensemble,方便信息交换[N];中国计算机报;2006年
2 边歆;集中员工智慧[N];网络世界;2007年
3 谢;BEA展示新的Web 2.0产品[N];电脑商报;2007年
中国硕士学位论文全文数据库 前4条
1 王博;基于Ensemble的医疗应用集成系统设计与实现[D];贵州大学;2009年
2 龙凤舞;基于Ensemble的医院信息集成平台的设计与实现[D];中南大学;2014年
3 郭龙;基于Ensemble平台的电子健康档案互操作系统研发[D];浙江大学;2012年
4 王义;基于Ensemble技术的非平衡数据挖掘[D];西北农林科技大学;2010年
 快捷付款方式  订购知网充值卡  订购热线  帮助中心
  • 400-819-9993
  • 010-62791813
  • 010-62985026