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題名 | Intelligent Stock Trading Decision Support System Using Dual Adaptive-Structure Neural Networks= |
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作者 | 張家澍; 賴飛羆; 龐臺銘; |
期刊 | Journal of Information Science and Engineering |
出版日期 | 19930600 |
卷期 | 9:2 1993.06[民82.06] |
頁次 | 頁271-297 |
分類號 | 310.15 |
語文 | eng |
關鍵詞 | Dual adaptive-structure neural networks; Stock trading decision support systems; Modeling; Trend prediction; Generalization; |
英文摘要 | This paper presents an intelligent stock trading decision support system that can generate timely stock trading suggestions according to the prediction of short-term trends of price movements using dual adaptivestructure neural networks. We have proposed a structure-level adaptive back-propagation learning algorithm that can automatically synthesize the structure of a neural network to fit the desired problem. The structure of neural networks can also be continuously adapted if the problem domain is changed later. We show that the proposed structure-level adaptive neural networks are superior to fixed-structure neural networks due to the compact size of their hidden layers and improved generalization ability. In addition, we have shown that a portfolio of dual modules of neural networks generalizes better than does a single module of neural network. Finally, for the testing period of 1990 to 1991, the annual rates of returns by using trading decision supports generated by the proposed system were higher than those using the buy-and-hold strategy. |
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