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ID 4110
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Visualization of the Market Sentiment in Stock Markets based on Neural Network
作成者
Self DOI [info:doi/]
掲載誌名
経済理論
出版者
和歌山大学経済学会
ISSN
04516222
NCID
AN00071425
400
開始ページ
17
終了ページ
33
並び順
02
発行日
2020-03-01
本文言語
日本語
記事種別(和)
論文
キーワード(和)
株価指数時系列分析
市場心理
ニューラルネットワーク
キーワード(欧)
Stock Index Time Series Analysis
market sentiment
neural network
抄録(欧)
In this study, we tried to visualize the market sentiment that affects the judgment and behavior of stock market participants. Its purpose is to clarify the periodicity contained in the time series data of TOPIX and S&P500. The trend and volatility for a given period of time were calculated for price fluctuations from 2005 to 2014 and we used as training data for the neural network. We prepared three types of learning data: short, medium, and long term, according to the length of the period over which we calculate the trend and volatility. An agent with a neural network learns using one of these three types of training data, and each predicted a near-future price after the training was completed. Therefore, we used three agents in this study. By comparing the predictive results of these three agents, we attempted to visualize market sentiment.
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