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Can the Neuro Fuzzy Model Predict Stock Indexes Better than its Rivals?
http://hdl.handle.net/2261/2441
http://hdl.handle.net/2261/244132b0da10-b74d-4eeb-ba89-e7b481b60093
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | Can the Neuro Fuzzy Model Predict Stock Indexes Better than its Rivals? | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | linear | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | nonliner | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | KD indexes | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | buy and hold | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | neuro fuzzy | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Lin, Chin-Shien
× Lin, Chin-Shien× Haider, A. Khan× Chi-Chung, Huang |
|||||
著者所属 | ||||||
著者所属 | Providence University | |||||
著者所属 | ||||||
著者所属 | University of Denver | |||||
著者所属 | ||||||
著者所属 | CIRJE | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper develops a model of a trading system by using neuro fuzzy framework in order to better predict the stock index. Thirty well-known stock indexes are analyzed with the help of the model developed here. The empirical results show strong evidence of nonlinearity in the stock index by using KD technical indexes. The trading point analysis and the sensitivity analysis of trading costs show the robustness and opportunity for making further profits through using the proposed nonlinear neuro fuzzy system. The scenario analysis also shows that the proposed neuro fuzzy system performs consistently over time. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2002-CF-165, 発行日 2002-08 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2002/2002cf165ab.html |