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Application of Neural Networks based on Monte-Carlo-Adaptation Rule in Index Futures Price Prediction

Abstract

沪深300股指期货在中国上市已经有四个年头,它在金融市场中扮演着分散风险的重要角色,不仅为机构投资提供了一种降低系统风险的渠道,也为投机者提供了一种高风险、高收益的投资机会。然而股票市场风云变幻,以其为标的物的股指期货价格也随之剧烈波动,加之期货交易自身的高杠杆性,也给投资者带来巨大的风险。因此股指期货的价格预测,一直是相关领域研究的热点问题。随着人工神经网络技术的发展,其强大的非线性逼近能力很快被用于各种金融问题的研究中。但是传统的人工神经网络方法也存在一些缺陷,例如容易对学习样本过拟合而降低泛化能力,参数优化等问题。本文将基于随机变异-优化选择规则(MCA)设计的神经网络用于股指期货的价格...Hushen 300 index futures has been on the market for four years, and play a important role in risk distribution of China's financial market: institutional investors use it to avoid systemic risk and speculators use it to get a higher risk-reward. But the stock market swings and high leverage trait put investors into a big risk, finding a way to forecast the futures price is a center problem for eve...学位:理学硕士院系专业:物理与机电工程学院_理论物理学号:1982011115286

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