標題: Application of Self-Organizing Mapping Neural Network for Discovery of Market Behavior of Equity Fund
作者: Chen, Jen-Hua
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: Equity Fund;Neural Network;Self-Organizing Mapping;Investment Strategy
公開日期: 2009
摘要: Maximizing the profit and minimizing the loss notwithstanding the trend of the market is always desirable in any investment strategy. The present research develops an investment strategy, which has been verified effective in the real world, by employing self-organizing map neural network for mutual funds and tracking the trends of stock market indices according to macro-economy indicators, weighted indices, and rankings of mutual funds. Our experiment shows if utilizing strategy 3 according to our model during a period from January 2002 to December 2008 the total returns could be at 122 percents even though the weighted index falls 22 percents and averaged investment returns for random transaction strategies stand at minus 25 percents during the same period. As such, we conclude that our model does efficiently increase the investment return.
URI: http://hdl.handle.net/11536/17029
ISBN: 978-960-474-144-1
期刊: PROCEEDINGS OF THE 8TH WSEAS INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE, MAN-MACHINE SYSTEMS AND CYBERNETICS (CIMMACS '09)
起始頁: 190
結束頁: 195
顯示於類別:會議論文