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題名：以深度學習建構股價預測模型：以臺灣股票市場為例
書刊名：當代商管論叢
作者：林逸青／謝孟芬／徐旺興
作者(外文)：Lin, Yi-ching／Hsieh, Meng-fen／Hsu, Wang-hsing
出版日期：2019
卷期：4:1
頁次：頁37-61
主題關鍵詞：深度學習；大數據；股票市場預測；多層神經網絡；Deep learning；Big data；Stock market prediction；Multilayer neural network
原始連結：連回原系統網址new window
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  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:6
期刊論文
1.Ang, Andrew、Bekaert, Geert(2007)。Stock Return Predictability: Is It There?。Review of Financial Studies，20(3)，651-707。  new window
2.LeCun, Yann、Bengio, Yoshua、Hinton, Geoffrey(2015)。Deep learning。Nature，521(7553)，436-444。  new window
3.Chong, Eunsuk、Han, Chulwoo、Parka, Frank C.(2017)。Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies。Expert Systems with Applications，83，187-205。  new window
4.Fischer, Thomas、Krauss, Christopher(2018)。Deep learning with long short-term memory networks for financial market predictions。European Journal of Operational Research，270(2)，654-669。  new window
5.Hinton, Geoffery E.、Salakhutdinov, Ruslan R.(2006)。Reducing the dimensionality of data with neural networks。Science，313(5786)，504-507。  new window
6.Hochreiter, Sepp、Schmidhuber, Jürgen(1997)。Long Short-term Memory。Neural Computation，9(8)，1735-1780。  new window
7.Arévalo, A.、Niño, J.、Hernández, G.、Sandoval, J.(2016)。High-frequency trading strategy based on deep neural networks。International conference on intelligent computing，12(3)，424-436。  new window
8.Blau, B. M.(2018)。Exchange rate volatility and the stability of stock prices。International Review of Economics & Finance，58，299-311。  new window
9.Cao, J.、Li, Z.、Li, J.(2019)。Financial time series forecasting model based on CEEMDAN and LSTM。Physica A: Statistical Mechanics and its Applications，519，127-139。  new window
10.Jing, D.(2019)。Financial system modeling using deep neural networks (DNNs) for effective risk assessment and prediction。Journal of the Franklin Institute，356(8)，4716-4731。  new window
11.Kim, H. Y.、Won, C. H.(2018)。Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models。Expert Systems with Applications，103，25-37。  new window
12.Marszałek, A.、Burczyński, T.(2014)。Modeling and forecasting financial time series with ordered fuzzy candlesticks。Information sciences，273，144-155。  new window
13.Philippe, B.、Mertens, E.、Wincoop, E.(2009)。Predictability in financial markets: What do survey expectations tell us?。Journal of International Money and Finance，28(3)，406-426。  new window
14.Roubauda, D.、Arouri, M.(2018)。Oil prices, exchange rates and stock markets under uncertainty and regime-switching。Finance Research Letters，27，28-33。  new window
15.Utkin, L. V.(2019)。An imprecise extension of SVM-based machine learning models。Neurocomputing，331，18-32。  new window
16.Zhao, S.、Chen, Xinyi、Zhang, J.(2019)。The systemic risk of China's stock market during the crashes in 2008 and 2015。Physica A: Statistical Mechanics and its Applications，520，161-177。  new window
17.Campbell, John Y.、Thompson, Samuel B.(2008)。Predicting excess stock returns out of sample: Can anything beat the historical average?。Review of Financial Studies，21(4)，1509-1531。  new window
會議論文
1.Yoshihara, A.、Fujikawa, K.、Seki, K.、Uehara, K.(2014)。Predicting stock market trends by recurrent deep neural networks。Pacific rim international conference on artificial intelligence。  new window
圖書
1.Granger, C. W. J.、Morgenstern, O.(1970)。Predictability of Stock Market Prices。Lexington, MA：Heath-Lexington。  new window
2.Mills, T. C.、Markellos, R. N.(2008)。The econometric modelling of financial time series。Cambridge University Press。  new window
 
 
 
 
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