【摘要】：與現(xiàn)代經(jīng)濟不斷的發(fā)展相適應(yīng)，大眾的投資意識不斷地發(fā)生變化，股票投資已經(jīng)成為人們投資理財?shù)闹匾侄�，股票投資日益變成社會大眾關(guān)心的熱門話題，因此股票市場的質(zhì)量以及繁榮程度成為了管理人員和投資者關(guān)注和研究的熱點。股票投資有收益-風(fēng)險成正比的特點，即預(yù)期收益越高，伴隨的可能的風(fēng)險也越大。因而，對股票市場預(yù)測方法的探索具有非常高的經(jīng)濟價值和理論意義。由于股票的價格形成機制十分復(fù)雜，有很多的外部因素都會對其產(chǎn)生影響，因此要準(zhǔn)確的預(yù)測股票市場不是一項容易的任務(wù)，以往使用過的預(yù)測方法在股市預(yù)測的應(yīng)用中都不能取得非常滿意的效果。 本文在深入分析了行為金融學(xué)理論以及神經(jīng)網(wǎng)絡(luò)建模理論的基礎(chǔ)上，選取交易價格和交易者情緒這兩個能夠反映市場信息和價格形成過程的維度對上證指數(shù)建立一個BP神經(jīng)網(wǎng)絡(luò)模型進行短期的預(yù)測，用以檢驗BP神經(jīng)網(wǎng)絡(luò)在股價預(yù)測方面的應(yīng)用效果。在以往關(guān)于投資者情緒的研究中通常的作法是選取一個技術(shù)指標(biāo)作為交易者情緒的代理變量，，本文在前人研究的基礎(chǔ)上，應(yīng)用主成分分析法構(gòu)造了一個交易者情緒指數(shù)用來代表市場上交易者的情緒，進而作為預(yù)測模型的一個輸入變量。同時，對上證指數(shù)進行線性模型的建模，作為對比模型來檢測神經(jīng)網(wǎng)絡(luò)的預(yù)測效果。 理論分析和實驗結(jié)果說明，應(yīng)用神經(jīng)網(wǎng)絡(luò)對上證指數(shù)進行預(yù)測具有一定的有效性，加入構(gòu)造的情緒指數(shù)能夠顯著的提高模型的預(yù)測精度，在股指預(yù)測領(lǐng)域有一定的應(yīng)用價值。
[Abstract]:In keeping with the constant development of modern economy, the public's investment consciousness is constantly changing, and stock investment has become an important means for people to invest and manage money. Stock investment has increasingly become a hot topic of public concern. Therefore, the quality and prosperity of stock market have become the focus of attention and research by managers and investors. The higher the expected return, the greater the possible risk associated with stock investment. Therefore, the exploration of stock market forecasting method has high economic value and theoretical significance. Because the stock price formation mechanism is very complex, there are many external factors will have an impact on it, so it is not an easy task to accurately predict the stock market. The prediction methods used in the past can not achieve very satisfactory results in the application of stock market forecasting. Based on the in-depth analysis of behavioral finance theory and neural network modeling theory, Selecting the two dimensions which can reflect the process of market information and price formation, the transaction price and the traders' sentiment are selected to establish a BP neural network model for short-term prediction of Shanghai Stock Exchange Index. It is used to test the application effect of BP neural network in stock price prediction. In the past studies on investor sentiment, the usual method is to select a technical index as the proxy variable of traders' sentiment. The principal component analysis (PCA) is used to construct a trader's emotion index to represent the traders' emotion in the market, and then it is used as an input variable of the prediction model. At the same time, the linear model of Shanghai Stock Exchange Index is built to detect the prediction effect of neural network as a contrast model. The theoretical analysis and experimental results show that the application of neural network to the prediction of Shanghai stock index has a certain effectiveness, adding the constructed emotional index can significantly improve the prediction accuracy of the model, and has a certain application value in the field of stock index prediction.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 孫延風(fēng),梁艷春,孟慶福;改進的神經(jīng)網(wǎng)絡(luò)最近鄰聚類學(xué)習(xí)算法及其應(yīng)用[J];吉林大學(xué)學(xué)報(信息科學(xué)版);2002年01期

2 孫丹,張秀艷;基于人工神經(jīng)網(wǎng)絡(luò)的股市預(yù)測模型[J];吉林大學(xué)學(xué)報(信息科學(xué)版);2002年04期

3 高琴;談玲;;基于BP神經(jīng)網(wǎng)絡(luò)的股市預(yù)測模型[J];電腦知識與技術(shù)(學(xué)術(shù)交流);2007年02期

4 劉煜輝,熊鵬;資產(chǎn)流動性、投資者情緒與中國封閉式基金之謎[J];管理世界;2004年03期

5 李國平;;中國股票市場的可預(yù)測性研究[J];高職論叢;2006年03期

6 張立軍;苑迪;;基于GA-Elman動態(tài)回歸神經(jīng)網(wǎng)絡(luò)的股價預(yù)測模型研究[J];華東經(jīng)濟管理;2008年09期

7 黃少軍;中國股票市場可預(yù)測性研究[J];華南師范大學(xué)學(xué)報(社會科學(xué)版);2004年02期

8 郝勇;;基于MATLAB神經(jīng)網(wǎng)絡(luò)工具箱的上海證券商業(yè)指數(shù)的預(yù)測分析[J];經(jīng)濟師;2005年12期

9 李心丹,王冀寧,傅浩;中國個體證券投資者交易行為的實證研究[J];經(jīng)濟研究;2002年11期

10 王美今,孫建軍;中國股市收益、收益波動與投資者情緒[J];經(jīng)濟研究;2004年10期

本文編號：2149656