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对比人工神经网络架构用于巴西股票市场预测
Suellen Teixeira Zavadzki de Pauli1, Mariana Kleina1, Wagner Hugo Bonat1
1Federal University of Paraná (UFPR), Cel. Francisco H. dos Santos Avenue, 210, Curitiba, PR 81530-000 Brazil.
概括
由于市场波动和COVID-19流行病等事件,预测股价具有挑战性. 除了辐射基函数之外的神经网络,在预测巴西证券交易所 (B3) 价格方面表现有前途,提供信心区间.
科学领域:
- 计算金融是一种计算金融.
- 时间序列分析时间序列分析.
- 机器学习 机器学习
背景情况:
- 由于受到经济和政治因素影响的高波动性,金融时间序列预测是复杂的.
- 随着COVID-19大流行,股票市场动态发生了重大破坏.
- 准确的预测模型对于应对市场不确定性至关重要.
研究的目的:
- 为了比较五种不同的神经网络架构的预测性能.
- 评估巴西证券交易所 (B3) 交易量最多的六个股票的预测准确性.
- 评估模型为预测提供置信区间的能力.
主要方法:
- 利用多重线性回归,Elman,Jordan,辐射基函数和多层感知神经网络.
- 训练模型使用历史数据预测第二天的收盘价格.
- 采用了100个引导样本的修剪平均值来量化预测不确定性.
主要成果:
- 大多数神经网络架构,除了辐射基函数外,显示出合适的匹配和合理的预测.
- 调整后的网络提供了置信区间,表明预测的不确定性.
- 该研究使用B3股的根平均平方误差评估了2019年3月至2020年4月B3股的业绩.
结论:
- 神经网络架构,当适当调整时,可以为财务时间序列预测提供有效的工具.
- 提出的引导式方法成功测量了预测不确定性.
- 这些发现表明,在波动的情况下,先进的计算技术对于股票市场预测的可行性.
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