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引文資料
題名:
Using Artificial Neural Networks to Automatically Construct Rule Base for Forecasting Taiwan Electronic Companies' Stock Return and ROE Performance
書刊名:
財務金融學刊
作者:
左杰官
/
簡旭生
作者(外文):
Tsoand, Brandt
/
Jiang, Shad S.
出版日期:
2009
卷期:
17:1
頁次:
頁173-195
主題關鍵詞:
類神經網路
;
股票報酬率
;
股東權益報酬率
;
專家系統
;
ANN
;
Stock return
;
ROE
;
TREPAN
;
Expert system
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:16
The stock returns and ROE are meaningful to the shareholders to realize the level of investment feedbacks and companies’ profitability. The accurate forecasts for both factors thus can be very important to the investors. Instead of consulting to the financial experts, this study proposes an approach by decoding artificial neural networks (ANN) to automatically construct a rule base for performing forecasts. The ANN being implemented is the so-called back-propagation neural network. The algorithm known as TREPAN is introduced to uncover the hidden knowledge from ANN for building the relationship between company’s current financial indices and the probable performance in the next season. The study uses Taiwan stock market electronic companies in the time period from years 2000 to 2005 as a basis for carrying out experiments. The inputs for the ANN in this preliminary study are only concerned with the fundamental factors. It is expected that, through this empirical study, one may accelerate the rule base construction for the financial expert systems and to provide the more clear traces to improve the diagnosis to the companies. The results reveal that, using fundamental factors as inputs, the ANN can perform up to 70.68% accuracy in the experiments. In terms of TREPAN algorithm, the knowledge of companies’ financial performance can be successfully extracted from ANN, though the minor error may occur. Some interesting discoveries are also addressed.
以文找文
期刊論文
1.
Murthi, B.(1997)。Efficiency of mutual funds and portfolio performance measurement: a non-parametric approach。European Journal of Operational Research,98(2),408-418。
2.
Lev, Baruch、Thiagarajan, S. Ramu(1993)。Fundamental Information Analysis。Journal of Accounting Research,31(2),190-215。
3.
Rumelhart, David E.、Williams, Ronald J.、Hinton, Geoffrey E.(1986)。Learning Representations by Back-propagating Errors。Nature,323(6088),533-536。
4.
Deng, Zhen、Lev, Baruch、Narin, Francis(1999)。Science and Technology as Predictors of Stock Performance。Financial Analysts Journal,55(3),20-32。
5.
Ariff, M.、Lim, T. K.、Skully, M.。Accurate Prediction of Analyst Forecast Revisions and Stock Returns: EPS versus Non-EPS Variables。Global Business and Finance Review,8,61-75。
6.
Browne, A.、Hudsonb, B. D.、Whitley, D. C.、Fordb, M. G.、Pictonc, P.。Biological Data Mining with Neural Networks : Implementation and Application of a Flexible Decision Tree Extraction Algorithm to Genomic Problem Domains。Neurocomputing,57,275-293。
7.
Chen, A. P.、Chen, M. Y.。Integrating Extended Classifier System and Knowledge Extraction Model for Financial Investment Predictions: An Empirical Study。Expert Systems with Applications,31,174-183。
8.
Duch, W.、Adamczak, R.、Grabczewski, K.。A New methodology of Extraction, Optimization and Application of Crisp and Fuzzy Logical Rules。IEEE Transactions on Neural Networks,11,1-31。
9.
Dunis, C. L.、Jalilov, J.。Neural Network Regression and Alternative Forecasting Techniques for Predicting Financial Variables。Neural Network World,12,113-139。
10.
George, J. H.、Miller, P.、Kerber, R.。Stock Selection Using Rule Induction。IEEE Transactions on Intelligent System,11,52-58。
11.
Hüsken, M.、Stagge, P.。Recurrent Neural Networks for Time Series Classification。Neurocomputing,50,223-235。
12.
Jasic, T.、Wood, D.。The Profitability of Daily Stockmarket Indices Based on Neural Network Predictions。Applied Financial Economics,14,285-297。
13.
Kavajecz, K. A.、Odders-White, E. R.。Technical Analysis and Liquidity Provision。Review of Financial Studies,17,1043-1071。
14.
Milaré, C. R.、Carvalho, A. C. P. L. F.、Monard, M. C.。An Approach to Explain Neural Networks using Symbolic Algorithms。International Journal of Computational Intelligence and Applications,2,365-376。
15.
Morgan, S. P.、Teachman, J. D.。Logistic Regression: Description, Examples, and Comparisons。Journal of Marriage and the Family,50,925-936。
16.
Pesaran, M. H.、Timmermann, A.。Market Timing and Return Prediction under Model Instability。Journal of Empirical Finance,9,495-510。
17.
Schmitz, G. P. J.、Aldrich, C.、Gouws, F. S.。ANN-DT: An Algorithm for Extraction of Decision Trees from Artificial Neural Networks。IEEE Transactions on. Neural Networks,10,1392-1401。
18.
Taha, I. A.、Ghosh, J.。Symbolic Interpretation of Artificial Neural Networks。IEEE Transactions on Neural Networks,11,448-463。
19.
Towell, G.、Shavlik, J. W.。The Extraction of Refined Rules from Knowledge Based Neural Networks。Machine Learning,31,71-101。
會議論文
1.
Andrews, R.、Geva, S.。Rule Extraction from a Constrained Error Back-propagation Multi-layer Perceptron9-12。
2.
Chen, A. P.、Chen, Y. C.、Huang, U. H.。Applying Two-stage XCS Model on Global Overnight Effect for Local Stock Prediction34-40。
3.
Chen, Q.、Goldstein, I.、Jiang, W.。Price Informativeness and Investment Sensitivity to Stock Price。
4.
Chen, Q.、Li, C. D.。Comparison of Forecasting Performance of AR, STAR and ANN Models on the Chinese Stock Market Index。Chengdu。464-470。
5.
Ford, M.、Browne, A.、Whitley, D.。A comparison of Neural Network and Symbolic Techniques。
研究報告
1.
Richardson, S. A.、Sloan, R. G.。External Financing and Future Stock Returns。
學位論文
1.
Craven, M. W.。Extracting Comprehensible Models from Trained Neural Networks,Madison, WI。
2.
Jiang, S. S.。Rule Extraction from Neural Networks - A Study for Financial Performance Prediction of Taiwan Listed Companies。
3.
Wang, V.。Stock Return Dynamics under Earnings Management。
4.
Zekic, M.。Structure Optimization of Neural Networks in Relation to Underlying Data。
圖書
1.
Tso, B.、Mather, P. M.。Classification Methods for Remotely Sensed Data。Classification Methods for Remotely Sensed Data。United Kingdom。
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