| 341 | 7 | 17 |
| Downloads | Citas | Reads |
The prediction of financial time series is one of the hot researches in finance.Based on the existence of weak chaos in financial market,we make an empirical study on prediction of Chinese financial market based on the recurrent predictor neural network(RPNN).We train the network by using genetic algorithm(GA) to optimize the weight and threshold,also the amplitude and slope of the excitation function.We test some typical varieties of Chinese stock market,futures market and gold market.Two performance measures(root-mean-square error(RMSE) and prediction accuracy(PA)) are calculated and compared to two classic neural networks-back propagation neural network(BPNN) and radial basis function neural network(RBFNN).The result shows that the proposed method is more effective and accurate.
[1]马超群,邹琳,李红权.股票市场的非线性结构与混沌效应检验——基于BDS与CR方法[J].湖南大学学报:自然科学版,2008,35(5).
[2]谢朝花,李忠,郑咏梅,文凤华.中国股票市场分形与混沌特征:1994～2008[J].系统工程,2010,28(6).
[3]黄腾飞,李帮义,熊季霞.中国期货市场的混沌性检验[J].系统工程,2012,30(1).
[4]唐衍伟,陈刚,张晨宏.中国农产品期货市场价格波动的长程相关性研究[J].系统工程,2005,23(12).
[5]李锬,李鹏,齐中英.农产品期货价格时间序列R/S分析[J].商业研究,2006(5).
[6]何凌云,周曙东,徐才华.基于PSRT的大连豆粕期货价格的混沌判据[J].系统工程,2008,26(6).
[7]黄腾飞,李帮义,熊季霞.中外黄金市场混沌特性比较--基于相空间重构技术[J].技术经济,2012,31(10).
[8]陈敏,叶晓舟.混沌理论在股票价格预测中的应用[J].系统仿真技术,2008,4(4).
[9]马明,李松.基于遗传算法优化混沌神经网络的股票指数预测[J].商业研究,2011(11).
[10]张中华,丁华福.基于混沌神经网络的股票分析及其预测[J].计算机技术与发展,2009,19(3).
[11]任亚,李萍.基于RBF神经网络的中国CPI预测研究[J].西安财经学院学报,2011,24(1).
[12]牛国鹏.小波网络与混沌时间序列预测[D].兰州大学博士论文集,2009.
[13]杨新斌,黄晓娟.基于支持向量机的股票价格预测研究[J].计算机仿真,2010,27(9).
[14]向昌盛,周子英,余喜林,张林峰.遗传算法在混沌时间序列预测中的应用研究[J].计算机应用研究,2011,20(8).
[15]王海军,白玫,贾兆立.基于粒子群神经网络的期货价格预测[J].计算机工程与设计,2009,30(10).
[16]Han M,Xi J,Xu S,Yin F L.Prediction of Chaotic Time Series Based on the Recurrent Predictor Neural Network[J].IEEE Transactions on Signal Processing,2004,52(12).
[17]韩敏.混沌时间序列预测理论与方法[J].北京:中国水利水电出版社,2007.
[18]Chen J L,Islam S,Biswas P.Nonlinear Dynamics of Hourly Ozone Concentrations:Nonparametric Short Termprediction[J].Atomospheric Environment,1998,32(11).
Basic Information:
China Classification Code:F832.5;F224
Citation Information:
[1]Huang Teng-fei1,Li Bang-yi1,Xiong Ji-xia2(1.College of Economics and Management,Nanjing University of Aeronautics and Astronautics,Nanjing 210016,China, 2.College of Economics and Management,Nanjing University of Chinese Medicine,Nanjing 210046,China).Empirical Study on Prediction of Chinese Financial Market Based on the Recurrent Predictor Neural Network[J].Journal of Statistics and Information,2013,28(01):14-21.
Fund Information:
国家社会科学基金项目《发展循环经济与中国特色的再制造产业协调发展研究》(10BGL010)
2013-01-10
2013-01-10