標題: The Discovery of Financial Market Behavior Integrated Data Mining on ETF in Taiwan
作者: Yang, Bo-Wen
Wu, Mei-Chen
Lin, Chiou-Hung
Huang, Chiung-Fen
Chen, An-Pin
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Data mining;Back-propagation neural network (BPNN);Exchange-traded fund (ETF);Financial physics;Behavior discovery
公開日期: 2016
摘要: In practice, many physics principles have been employed to derive various models of financial engineering. However, few studies have been done on the feature selection of finance on time series data. The purpose of this paper is to determine if the behavior of market participant can be detected from historical price. For this purpose, the proposed algorithm utilizes back propagation neural network (BPNN) and works with new feature selection approach in data mining, which is used to generate more information of market behavior. This study is design for exchange-traded fund (ETF) to develop the day-trade strategy with high profit. The results show that BPNN hybridized with financial physical feature, as compared with the traditional approaches such as random walk, typically result in better performance.
URI: http://dx.doi.org/10.1007/978-3-662-47926-1_28
http://hdl.handle.net/11536/135903
ISBN: 978-3-662-47926-1
978-3-662-47925-4
ISSN: 2194-5357
DOI: 10.1007/978-3-662-47926-1_28
期刊: HARMONY SEARCH ALGORITHM
Volume: 382
起始頁: 285
結束頁: 294
顯示於類別:會議論文