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Nonlinear ARMA-GARCH Forecasting for S&P500 Index based on Recurrent Neural Networks : 순환신경망 기반 비선형 ARMA-GARCH 모형을 이용한 S&P500 지수 예측
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 이상열 | - |
dc.contributor.author | 정용진 | - |
dc.date.accessioned | 2019-10-18T18:22:36Z | - |
dc.date.available | 2020-03-02T02:36:16Z | - |
dc.date.issued | 2019-08 | - |
dc.identifier.other | 000000156578 | - |
dc.identifier.uri | https://hdl.handle.net/10371/161660 | - |
dc.identifier.uri | http://dcollection.snu.ac.kr/common/orgView/000000156578 | ko_KR |
dc.description | 학위논문(석사)--서울대학교 대학원 :자연과학대학 통계학과,2019. 8. 이상열. | - |
dc.description.abstract | A nonlinear ARMA-GARCH model is proposed for forecasting daily stock market returns. The only difference from the linear ARMA-GARCH is the conditional mean component. Two parameters are added and the hyperbolic tangent function is utilized to give a nonlinearity. The nonlinear ARMA-GARCH is solved by the recurrent neural network concept. In order to show the practical applicability of the proposed nonlinear ARMA-GARCH model, daily algorithmic trading is carried out with historical S&P500 daily closing index from 1950 to 2018. It is shown that the proposed nonlinear ARMA-GARCH model outperforms the linear ARMA-GARCH model in terms of financial and statistical measures. | - |
dc.description.abstract | 일별 주가 예측을 위한 순환신경망 기반 비선형 ARMA-GARCH 모형이 제안되었다. 기본적인 선형 ARMA-GARCH 모형에 두 개의 모수가 더해지고 쌍곡탄젠트함수를 이용하여 비선형성이 추가된 모형이다. 제안된 비선형 ARMA-GARCH 모형의 해는 순환신경망 개념을 이용하여 얻었다. 제안된 모형의 현실적 적용 가능성을 보이기 위하여 1950년부터 2018년까지 S&P500 지수의 일별 종가를 이용하여 알고리즘 기반 거래를 수행하였다. 금융 및 통계적 측도로 비교하였을 때 제안된 비선형 ARMA-GARCH 모형이 기존의 선형 ARMA-GARCH 모형보다 뛰어남을 보였다. | - |
dc.description.tableofcontents | Abstract i
List of Figures iii List of Tables iv Chapter 1 Introduction 1 Chapter 2 Data Description 3 Chapter 3 Model Description 6 3.1 Nonlinear ARMA-GARCH Model 7 3.2 Recurrent Neural Networks Structure 8 3.3 Model Selection 10 3.4 Trading Strategies 12 Chapter 4 Results 13 Chapter 5 Concluding Remarks 17 Bibliography 18 국문초록 22 | - |
dc.language.iso | eng | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | Nonlinear ARMA-GARCH | - |
dc.subject | recurrent neural networks | - |
dc.subject | financial time series forecasting | - |
dc.subject | S&P500 | - |
dc.subject.ddc | 519.5 | - |
dc.title | Nonlinear ARMA-GARCH Forecasting for S&P500 Index based on Recurrent Neural Networks | - |
dc.title.alternative | 순환신경망 기반 비선형 ARMA-GARCH 모형을 이용한 S&P500 지수 예측 | - |
dc.type | Thesis | - |
dc.type | Dissertation | - |
dc.contributor.AlternativeAuthor | Yongjin Jeong | - |
dc.contributor.department | 자연과학대학 통계학과 | - |
dc.description.degree | Master | - |
dc.date.awarded | 2019-08 | - |
dc.contributor.major | 통계학 | - |
dc.identifier.uci | I804:11032-000000156578 | - |
dc.identifier.holdings | 000000000040▲000000000041▲000000156578▲ | - |
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