Artificial Neuron Network and Its Application to Financial Forecasting

Acta Scientiarum Naturalium Universitatis Pekinensis

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Artificial Neuron Network and Its Application to Financial Forecasting

XIE Zhongjie¹, WONG Heung²，IP Wai-Cheung², LIU Yali³

¹Dept. of Prob. & Statist. and Dept. of Finan. Math., Peking University, Beijing 100871, China; ²Dept. of Appl. Math., The Hong Kong Polytechnic University; ³Dept. of Statist., Purdue University, USA

Received:2001-01-10 Online:2001-05-20 Published:2001-05-20

人工神经网络及其在金融预报中的应用

谢衷洁¹,黄香²,叶伟彰²,刘亚利³

¹北京大学概率统计系与金融数学系，100871；²香港理工大学应用数学系，香港；³普渡大学统计系，美国

Abstract

Abstract: The main purpose of this paper is to investigate the application of the neuron network (NN) for the daily exchange rate forecasting. Generalized Cross Validation (GCV) is introduced to determine the number of nodes of the hidden layer, several well known time series forecasting methods are also compared with the NN method in this paper.

Key words: artificial neuron network, generalized cross validation, exchange rate forecasting

摘要： 讨论了人工神经网络在金融汇率预报中的应用。其中介绍了广义交互验证(Generalized Cross Validation)法如何应用于确定神经网络中隐层的个数，并用实例说明了该方法甚至对复杂的非线性函数也可以得到很好的逼近。详细地介绍了运用人工神经网络作两周向前汇率预报的计算步骤。其平均相对误差(APE)为10*E-3的数量级，而国际上通用的状态空间模型及Box-Jenkins的ARIMA模型的预报误差都在10*E-2的数量级。

关键词: 人工神经网络, 广义交互验证法, 汇率预报

CLC Number:

O211.64
F740

XIE Zhongjie,WONG Heung,IP Wai-Cheung,LIU Yali. Artificial Neuron Network and Its Application to Financial Forecasting[J]. Acta Scientiarum Naturalium Universitatis Pekinensis.

谢衷洁,黄香,叶伟彰,刘亚利. 人工神经网络及其在金融预报中的应用[J]. 北京大学学报（自然科学版）.

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URL: https://xbna.pku.edu.cn/EN/

https://xbna.pku.edu.cn/EN/Y2001/V37/I3/421

[1]	TANG Hongmin,XIE Zhongjie. Stationarizing Two Classes of Nonstationary Processes by Wavelet [J]. Acta Scientiarum Naturalium Universitatis Pekinensis, 2004, 40(1): 19-28.
[2]	XIE Zhongjie,LIU Yali,IP Wai-Cheung,WONG Heung. Statistical Modeling of J-effect and Policy Experiments [J]. Acta Scientiarum Naturalium Universitatis Pekinensis, 2000, 36(1): 142-148.
[3]	FANG Xiangzhong. Law of Iterated Logarithms of MLE for Non-homogeneous Poisson Processes [J]. Acta Scientiarum Naturalium Universitatis Pekinensis, 1998, 34(5): 563-573.

Artificial Neuron Network and Its Application to Financial Forecasting

人工神经网络及其在金融预报中的应用

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