| 股市预测中的小波神经网络方法 |
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| 引用本文： | 姚洪兴,盛昭瀚,陈洪香. 股市预测中的小波神经网络方法[J]. 系统工程理论与实践, 2002, 22(6): 33-38. DOI: 10.12011/1000-6788(2002)6-33 |
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| 作者姓名： | 姚洪兴 盛昭瀚 陈洪香 |
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| 作者单位： | (1)江苏大学理学院;(2)南京大学管理科学与工程研究院;(3)江苏大学计算机科学与工程学院 |
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| 基金项目： | 国家自然科学基金 ( 6 9874 0 0 4 )，江苏大学校高级人才基金 ( 1 6 830 0 0 0 2 7) |
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| 摘 要： | 首先论述了股市时间序列中的明显随机性 ,可能是由于非线性确定性系统中混沌行为的缘故 ,利用混沌的确定性可以进行短期预测 .混沌时间序列预测首先要重构相空间 ,接着充分利用小波变换时频分析的局部化特性 ,提出了一种改进的小波网络结构 ,探讨了股市预测模型问题 .经实例验证 ,该方法能有效地提高预测精度 ,避免了人工神经网络模型和指数自回归的固有缺陷 .
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| 关 键 词： | 股市预测 小波神经网络 混沌 相空间重构 |
| 文章编号： | 1000-6788(2002)06-0033-06 |
| 修稿时间： | 2000-10-23 |
Method of the Wavelet Neural Network in the Prediction of Stock Market |
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| YAO Hong-xing+{,},SHENG Zhao-han+,CHEN Hong-xiang+. Method of the Wavelet Neural Network in the Prediction of Stock Market[J]. Systems Engineering —Theory & Practice, 2002, 22(6): 33-38. DOI: 10.12011/1000-6788(2002)6-33 |
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| Authors: | YAO Hong-xing+{ } SHENG Zhao-han+ CHEN Hong-xiang+ |
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| Affiliation: | (1) Faculty of Science, Jiangsu University;(2)Graduate School of Management Science and Engineering,Nanjing University;(3) School of Computer Sc,Jiangshu university |
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| Abstract: | This paper briefly discusses apparent randomness in stock market time serials first; it may be due to chaotic behavior of a nonlinear but deterministic system. It is possible to make short-term prediction by using the determinism. This is done by making full use of the advantages of wavelet transform time-frequency localization, the paper proposed an improved wavelet network structure, and considered the model for stock market prediction. It can be seen from the example that this method can effectively improve the prediction accuracy, the intrinsic defects of artificial neural network and exponent auto-regression are avoided. |
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| Keywords: | stock market prediction wavelet neural network chaos phase space reconstruction |
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