时间连续的马尔柯夫过程在汇率预测中的应用

为克服应用传统统计方法进行汇率预测时,因误选模型而导致的误差,提出了基于时间连续马尔柯夫过程的汇率预测方法。通过确定马尔柯夫过程的转移速度矩阵,建立汇率短期预测模型,并对其用拉普拉斯变换进行求解。将此模型应用于欧元/美元汇率的短期波动预测,实例表明,预测结果与实际观测值符合较好。     

A Novel Hybrid FA-Based LSSVR Learning Paradigm for Hydropower Consumption Forecasting

Due to the nonlinearity and nonstationary of hydropower market data, a novel hybrid learning paradigm is proposed to predict hydropower consumption, by incorporating firefly algorithm(FA) into least square support vector regression(LSSVR), i.e., FA-based LSSVR model. In the novel model, the powerful and effective artificial intelligence(AI) technique, i.e., LSSVR, is employed to forecast hydropower consumption. Furthermore, a promising AI optimization tool, i.e., FA, is especially introduced to address the crucial but difficult task of parameters determination in LSSVR(e.g.,hyper and kernel function parameters). With the Chinese hydropower consumption as sample data,the empirical study has statistically confirmed the superiority of the novel FA-based LSSVR model to other benchmark models(including existing popular traditional econometric models, AI models and similar hybrid LSSVRs with other popular parameter searching tools), in terms of level and directional accuracy. The empirical results also imply that the hybrid FA-based LSSVR learning paradigm with powerful forecasting tool and parameters optimization method can be employed as an effective forecasting tool for not only hydropower consumption but also other complex data.     

A Machine Learning Approach for Mechanism Selection in Complex Negotiations

Automated negotiation mechanisms can be helpful in contexts where users want to reach mutually satisfactory agreements about issues of shared interest, especially for complex problems with many interdependent issues. A variety of automated negotiation mechanisms have been proposed in the literature. The effectiveness of those mechanisms, however, may depend on the characteristics of the underlying negotiation problem (e.g. on the complexity of participant’s utility functions, as well as the degree of conflict between participants). While one mechanism may be a good choice for a negotiation problem, it may be a poor choice for another. In this paper, we pursue the problem of selecting the most effective negotiation mechanism given a particular problem by (1) defining a set of scenario metrics to capture the relevant features of negotiation problems, (2) evaluating the performance of a range of negotiation mechanisms on a diverse test suite of negotiation scenarios, (3) applying machine learning techniques to identify which mechanisms work best with which scenarios, and (4) demonstrating that using these classification rules for mechanism selection enables significantly better negotiation performance than any single mechanism alone.     

Forecasting US Stock Market Returns: A Japanese Candlestick Approach

A Japanese candlestick chart consists of not only the closing price but also the high, low and opening price information. Using the Japanese candlestick, this paper investigates the forecasting power of the shadow in Japanese candlestick chart. Empirical studies performed with the US stock market show that 1) there is a significant Halloween effect in the shadow; 2) shadow is valuable for predicting the stock market returns in both statistical and economic sense; 3) the predictability reported by the shadow can not be explained by either the CAPM model or the Fama-French three-factor model.This paper confirms that predictability of the stock market can be improved if more price information is used.     

基于人工神经网络的汇率预报

本文将人工神经网络应用于汇率预报．应用从１９８７年５月至１９９２年１２月伦敦和纽约两大外汇市场马克对美元的市场即期汇率数据，建立前向组合神经网络预报模型．训练后的神经网络不仅能准确地拟会汇率的过去值，而且能较精确地预报汇率的未来趋势．计算结果表明：汇率的神经网络预报方法比统计预报方法优越．     

一种基于模型共享的半监督多标签图像学习法

提出一种快速且有效的半监督多标签学习方法:模型共享半监督推举。该方法能发现、共享并组合多个基模型,每个基模型是在某个标签上利用半监督支持向量机(S3VM)上学习的。通过使用模型共享,标签关联被显示地利用且对于每个标签来说只需要少量的基模型即可生成最后的决策结果。在Corel5k和Mediamill数据集上评估方法,实验结果显示的方法与当前流行的监督和半监督多标签学习方法是可比的。     

基于数据分割和集成学习的大规模SVM分类算法

支持向量机对分类问题的求解过程相当于解一个线性约束的二次规划问题,求解的变量个数与训练样本数相等,且需要计算和存储的核矩阵大小与训练样本数的平方相关.随着样本数目的增多,经典的求解二次规划问题的算法不再适用.针对大规模二分类问题,基于数据分割和集成学习策略,本文提出了一种快速支持向量机学习算法.其主要思想是:首先对数据集进行预处理,自动将正负类分别聚成若干子簇;然后对两两组合的正负子簇用SMO算法进行交叉学习,得到多个基本分类器;最后对这些基本分类器进行集成学习.在UCI的5个数据集上的实验表明,与SMO学习算法相比,这种基于数据分割的训练策略在精度几乎没有损失的情况下显著地提高了训练速度.     

前向神经网络学习速率的白适应算法

学习速率是控制神经网络学习过程的一个重要参数，影响神经网络的稳定性和快速性．提出了一种能够满足实时性要求的神经网络学习速率的自适应算法，并证明了在该学习速率下，神经网络的学习过程是Lyapunov意义稳定的。试方法通过为神经网络的输出增加一个输出修正量来补偿多个未知因素对学习误盖的影响，从而构造使学习误差快速收敛到零的学习速率自适应算法。通过对神经网络在线逼近一个非线性对象的过程进行仿真，结果证明了该方法的有效性。     

前向神经网络学习速率的自适应算法

学习速率是控制神经网络学习过程的一个重要参数,影响神经网络的稳定性和快速性。提出了一种能够满足实时性要求的神经网络学习速率的自适应算法,并证明了在该学习速率下,神经网络的学习过程是Lyapunov意义稳定的。该方法通过为神经网络的输出增加一个输出修正量来补偿多个未知因素对学习误差的影响,从而构造使学习误差快速收敛到零的学习速率自适应算法。通过对神经网络在线逼近一个非线性对象的过程进行仿真,结果证明了该方法的有效性。     

新加坡汇率管理的SETAR模型研究及启示

目前新加坡采用的是具有汇率目标区管理的汇率制度。本文通过采用自我激励阈值自回归（SETAR）模型对新元名义有效汇率的运动行为特征进行实证分析，从而更好地了解新加坡金融管理局是如何实施这种汇率管理的，并在此基础上，探讨新加坡汇率管理对于目前人民币汇率管理改革的启示和借鉴意义。     

汇率调整对外向型企业的影响

采用计算机建模的方法，定量分析汇率调整对外向型企业的影响。分析过程主要是利用基于主体的计算机模拟方法，结合经济学相关理论，通过建立反映外向型企业与汇率关系的模型，并在模型的基础上比较汇率不变，汇率小幅上调，汇率大幅上调这3种情况下的运行结果，对比分析关于汇率改革的3种决策对外向型企业的影响，从而得出保持汇率稳定最有利于我国外向型企业的发展的结论。     

Modelling State Foreign Exchange Reserves under the Managed Floating Exchange Rate System in China

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Wavelet-Based Elman Neural Network with the Modified Differential Evolution Algorithm for Forecasting Foreign Exchange Rates

It is challenging to forecast foreign exchange rates due to the non-linear characters of the data. This paper applied a wavelet-based Elman neural network with the modified differential evolution algorithm to forecast foreign exchange rates. Elman neural network has dynamic characters because of the context layer in the structure. It makes Elman neural network suit for time series problems. The main factors, which affect the accuracy of the Elman neural network, included the transfer functions of the hidden layer and the parameters of the neural network. We applied the wavelet function to replace the sigmoid function in the hidden layer of the Elman neural network, and we found there was a "disruption problem" caused by the non-linear performance of the wavelet function. It didn't improve the performance of the Elman neural network, but made it get worse in reverse. Then, the modified differential evolution algorithm was applied to train the parameters of the Elman neural network. To improve the optimizing performance of the differential evolution algorithm, the crossover probability and crossover factor were modified with adaptive strategies, and the local enhanced operator was added to the algorithm. According to the experiment, the modified algorithm improved the performance of the Elman neural network, and it solved the "disruption problem" of applying the wavelet function.These results show that the performance of the Elman neural network would be improved if both of the wavelet function and the modified differential evolution algorithm were applied integratedly.     

人民币汇率决定因素分析

根据现阶段我国的实际经济背景和管理浮动汇率制度的特点,运用系统分析方法,通过对人民币汇率决定机制的分析,建立了人民币汇率决定模型．根据所建立的模型,得出如下结论：人民币对美元汇率的变化率是由西方主要货币对美元汇率的变化率、商品的相对价格的变化率、国内外利率差、外债余额对收入比率的变化率及国内货币供应量的变化率共同决定的．实证分析表明本文所建立的模型能反映现阶段人民币汇率的客观实际．     

预测支持系统中的人机界面Agent及其机器学习

人机界面 agent是一种具有一定智能性 ,并能增强应用系统与用户间交互的计算机程序 .通过机器学习机制 ,这种 agent能够适应用户的习惯 ,使系统更有效的服务于用户 .本文将界面 agent( Interface agent)技术应用于预测支持系统 ( FSS:Forecasting Support System)中 ,并采用适当的学习方法 ,可以很好地解决其中的复杂人机交互问题     

一种语言模型的精确学习方法

语言模型具有很好的可解释性，但面对复杂问题时，其精确性不能满足要求。为此结合微粒群算法和遗传算法各自的演化特点，采用两阶段学习策略。对语言模型进行分层演化，首先利用微粒群算法优化各输入变量的语言值数目及对应的模糊集参数。形成候选规则集，再应用遗传算法选择规则，得到精确的语言模型．该方法几乎无需先验知识，可直接从样本数据获取语言模型，应用函数近似为例说明其有效性。     

移动体姿态率检测的一种方法

介绍了一种利用全球卫星定位系统(GPS)的载波相对多普勒频移来实现近地和地面移动体的姿态变化率检测的方法。此系统包括两个GPS接收天线、一个信号处理电路和算法程序。系统的重量、功耗和成本都较低。     

一种灰色预测模型的新方法

给出了一种灰色预测模型的新方法。该方法运用线性回归对数据进行分组,并对各组数据进行指数插值;运用二次规划进行权重选择;运用灰色灾变预测确定权重的时序集,从而求得预测值。这种方法提高了预测精度,并反映了事物波浪式前进发展的本质,拓广了灰色预测的范围。     

基于跳-扩散过程的人民币汇率收益率波动模型

通过对人民币汇率收益率波动性的统计分析,发现其存在"尖峰厚尾"现象.鉴于此,引进跳-扩散过程,建立汇率收益率波动模型,并给出了模型参数估计方法.利用人民币/美元的实际日汇率数据进行实证分析,得出用跳-扩散过程拟合人民币汇率收益序列能更好地解决"尖峰厚尾"问题.进一步,利用跳-扩散过程与无跳随机扩散过程的模拟数据与真实观测数据进行拟合分析,发现前者的拟合效果更好.     

A Two-Dimensional Approach to Iterative Learning Control with Randomly Varying Trial Lengths

In this paper, iterative learning control(ILC) is considered to solve the tracking problem of time-varying linear stochastic systems with randomly varying trial lengths. Using the two-dimensional Kalman filtering technique, the authors can establish a recursive framework for designing the learning gain matrix along both time and iteration axes by optimizing the trace of input error covariance matrix.It is strictly proved that the input error converges to zero asymptotically in mean square sense and thus the tracking error covariance converges. The extensions to that prior distribution of nonuniform trial lengths is unknown are also investigated with an asymptotical estimation method. Numerical simulations are provided to verify the effectiveness of the proposed framework.