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題名:卷積神經網路預測時間序列能力分析
書刊名:期貨與選擇權學刊
作者:廖四郎賴嘉蔚
作者(外文):Liao, Szu-langLai, Chia-wei
出版日期:2019
卷期:12:3
頁次:頁139-190
主題關鍵詞:深度學習卷積神經網路二維化時間序列預測演算法交易Deep learningConvolutional neural networkVisualizationPrediction of time seriesAlgorithmic trading
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:5
期刊論文
1.Chen, S. M.、Kao, P. Y.(2013)。TAIEX forecasting based on fuzzy time series, particle swarm optimization techniques and support vector machines。Information Sciences,247,62-71。  new window
2.Tino, P.、Schittenkopf, C.、Dorffner, G.(2001)。Financial volatility trading using recurrent neural networks。IEEE Transactions on Neural Networks,12(4),865-874。  new window
3.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
4.Kwon, Yung-Keun、Moon, Byung-Ro(2007)。A hybrid neurogenetic approach for stock forecasting。IEEE transactions on neural networks,18(3),851-864。  new window
5.Chapados, N.、Bengio, Y.(2001)。Cost functions and model combination for VAR-based asset allocation using neural networks。IEEE Transactions on Neural Networks,12(4),890-906。  new window
6.Bengio, Y.、Lauzon, V. P.、Ducharme, R.(2001)。Experiments on the Application of IOHMMs to Model Financial Returns Series。IEEE Transactions on Neural Networks,12(1),113-123。  new window
7.Gençay, R.、Gibson, R.(2007)。Model Risk for European-Style Stock Index Options。IEEE Transactions on Neural Networks,18(1),193-202。  new window
8.Kendall, M. G.、Hill, A. B.(1953)。The Analytics of Economic Time Series Part1: Prices。Journal of the Royal Statistical Society, Series A (General),116(1),11-34。  new window
9.Kercheval, A. N.、Zhang, Y.(2013)。Modeling High-Frequency Limit Order Book Dynamics with Support Vector Machines。Quantitative Finance,15(8),1315-1329。  new window
10.LeCun, Y.、Bottou, L.、Bengio, Y.、Haffner, P.(1998)。Gradientbased Learning Applied to Document Recognition。Proceedings of the IEE,86(11),2278-2324。  new window
11.Liew, J. K.-S.、Mayster, B.(2018)。Forecasting ETFs with Machine Learning Algorithms。Journal of Alternative Investments,20(3),58-78。  new window
12.Lu, T. H.、Chen, Y. C.(2015)。Trend Definition or Holding Strategy: What Determines the Profitability of Candlestick charting?。Journal of Banking & Finance,61,172-183。  new window
13.Pendharkar, P. C.、Cusatis, P.(2018)。Trading Financial Indices with Reinforcement Learning Agents。Expert System Applications,103,1-13。  new window
14.Platanios, E.、Chatzis, S. P.(2014)。Gaussian Process-Mixture Conditional Heteroscedasticity。IEEE Transactions on Pattern Analysis and Machine Intelligence,36(5),888-900。  new window
15.Raffinot, T.(2017)。Hierarchical Clustering-Based Asset Allocation。The Journal of Portfolio Management,44(2),89-99。  new window
16.Sitte, R.、Sitte, J.(2000)。Analysis of the Predictive Ability of Time Delay Neural Networks Applied to the S&P 500 Time Series。IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews,30(4),568-572。  new window
17.Xu, Z.、MacEachern, S.、Xu, X.(2007)。Modeling Non-Gaussian Time Series with Nonparametric Bayesian Model。IEEE Transactions on Pattern Analysis and Machine Intelligence,37(2),372-382。  new window
18.Basu, Sudipta(1997)。The conservatism principle and the asymmetric timeliness of earnings。Journal of Accounting and Economics,24(1),3-37。  new window
19.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
20.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
21.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
會議論文
1.Krizhevsky, A.、Sutskever, I.、Hinton, G. E.(2012)。Image Net Classification with Deep Convolutional Neural Networks1097-1105。  new window
2.Tsantekidis, A.、Passalis, N.、Tefas, A.、Kanniainen, J.、Gabbouj, M.、Iosifidis, A.(2017)。Using Deep Learning to Detect Price Change Indications in Financial Markets。The 25th European Signal Processing Conference,(會議日期: 28 Aug.-2 Sept, 2017)。  new window
3.Wang, Z.、Oates, T.(2015)。Imaging Time-Series to Improve Classification and Imputation。AAAI Press。3939-3945。  new window
4.Zheng, Y.、Liu, Q.、Chen, E.、Ge, Y.、Zhao, J. L.(2014)。Time Series Classification Using Multi-Channels Deep Convolutional Neural Networks。Springer International Publishing。298-310。  new window
研究報告
1.Takeuchi, L.、Lee, Y.-Y.(2013)。Applying Deep Learning to Enhance Momentum Trading Strategies in Stocks。Stanford University。  new window
學位論文
1.黃君平(2016)。基於深度學習概念之金融市場價格預測(碩士論文)。國立交通大學。  延伸查詢new window
圖書論文
1.LeCun, Y.、Bengio, Y.(1995)。Convolutional networks for images, speech, and time-series。The Handbook of Brain Theory and Neural Networks。MIT Press。  new window
 
 
 
 
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