智慧型切換的ANFIS-GARCH 模型應用於股市波動預測與系統實作

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Title:	智慧型切換的ANFIS-GARCH 模型應用於股市波動預測與系統實作
Authors:	洪瑞鍾
Contributors:	臺北市立教育大學資訊科學系
Keywords:	適應性網路架構的模糊推論系統;模糊系統,GARCH模型;股票市場波動,粒子群優化演算法
Date:	2011-10-26
Issue Date:	2017-07-24 11:29:49 (UTC+8)
Abstract:	計畫成果主要是分析股票市場的波動現象，從結果顯示股票市場波動存在資訊不對稱與厚尾高狹峰之特質，因此本計畫利用兩階段方式處理，第一階段以Fuzzy-Switch為正負波動中加入智慧型的門檻，來處理波動不對稱的特質。第二階段將正負波動分別以數個GARCH表示，其中GARCH模型可使用ANFIS方式處理參數的估測和做適應性的預測，此階段是處理波動群聚現象。從實驗結果得知，不論股票市場波動屬於較對稱的國家或非常不對稱的國家，此方法皆有不錯的預測能力，目前已有一些成果已發表，其相關已發表的成果如下: 1. Jui-Chung Hung, “Applying a combined fuzzy systems and GARCH model to adaptively forecast stock market volatility,” Applied Soft Computing, vol. 11, pp. 3938-3945, 2011. (SCI, IF=2.084, Rank:28/108, 2010) 2. Jui-Chung Hung, “Adaptive Fuzzy-GARCH model applied to forecasting volatility of stock markets using particle swarm optimum algorithm,” Information Sciences, vol. 181, pp. 4673-4683, 2011.(SCI, IF=2.833, Rank:9/126, 2010). 3. Jui-Chung Hung* and Chih-Lin Yu, “Combining genetic algorithm and first order Taylor series iterative searching DOA estimation for the CDMA system,“ International Computer Symposium, pp. 688-692, 2010(ICS10). (EI) 4. Jui-Chung Hung*, “A Roubst Receiver Design for CDMA System,“ International Conference on Convergence Information Technology 2010(ICCIT10), pp. 1001-1005, IEEE Computer Society (EI)
Relation:	研究期間:民9908~10007 國科會計畫編號:NSC-99-2221-E-275-004-
Appears in Collections:	[Department of Computer Science] Research Project

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