2003 12 12 : 100026788 (2003) 1220086209,, (, 300072) :,,, ; 600062, : ; ; ; ; : C931. 1 : A A pp lication Study on R econ struction of Chao tic T im e Series and P rediction of Shanghai Stock Index M A Jun2hai, Q I E r2sh i, M O X in (M anagem ent Co llege, T ianjin U niversity, T ianjin 300072, Ch ina) Abstract: H igher accurate param eters identification can be m et by m ethod of associating neural netw o rk w ith w avelet theo ry, w here non linear au to2co rrelated chao tic m odel is app lied. Effect of reconstruction and p rediction can be imp roved by p re2treatm ent of the chao tic tim e series and use of Fourier w ave filteṙ In th is paper, w e establish non linear auto2co rrelated chao tic models w ith data of opening, m axim um, m inim um and clo sing p rices fo r stock coded 600062 of Shanghai Security m arket as w ell as identify the param eterṡ A s it can been seen, results of p rediction are comparably accurate. Key words: nonlinear auto2co rrelated chao tic model; w avelet neural netw o rk; stock data of Shanghai Secu rity M arket; param eter iden tification; tim e series p rdiction 1 :, ; ( [ 1-13 ) ],,, [ 14-17 ],, [ 18-23, ], (P ing Chen [ 24 ] ),,, : 2002210223 : (70271071). 863 (2003AA 4Z2040) : (1965- ),,,, E2m ail: hai2m ajun@ 263. net
12 87,,,, [ 25 ],,, 2. [ 14-16 y i (i= 1, 2, 3,, N ), ] x n = G [x n- 1, x n- 2,, x n- M ] + kεn, G, M. : x n = 6 M am P m (n) + Εn (1) P 0 (n) = 1, m Ε 0 P m (n) = x n- i m 1, x n- i m 2,, x n- i m j, {im j }, (1) m axm j ({im j }), (1), : x n = 6 M g mw m (n) + kεn (2) W m (n) P m (n), W 0 (n) = 1, g 0= x θ, gm (3) : : : : (9) : (3) Αm r = Αm = 6 M J = x n - 6 M gmw m (n) W m (n) = P m (n) - 6 m - 1 P m (n), gm = (W r (n) ) 2 i= m V i = - 6 i- 1 2 (3) Αm rw r (n) (4) r= 0 y nw m (n) (5) (W m (n) ) 2 g iv i, V (6) r= m ΑirV r, i = m + 1, m + 2,,M (7) Q (m ) = g 2 m Q (M ) M - 1 y 2 n - 6 g md 2 (m, m ) W 2 m (n) (8) J = x n - 6 M 2 gmw n (n) = f (Α1, 0, Α2, 0, Α2, 1,, Αm, m - 1,, ΑM, M - 1) (10) Αm, m - 1, 2,,M,. 1g2 > 2 N (9)
3 88 2003 12 : g7δ (w ) g R 7 ( ) gw gdw <. 5 = { ak 7 (akx - bk) : ak R +, bk R, k Z }, A > 0 B <, f L 2 (R ), : A f 2 Φ 6 g Υ, f g 2 Φ B f 2 (11) Υ 5 5 L 2 (R ), 5 g (x ) = 6 L i= 1 w i7 (a T i x - bi), Υi 5 (12) L 2 (R ), a i, bi Ζ, 1Ζ Sigm o id, Ζ N, (12) f (x ) L 2 (R ) Ζ 7 (x ),, (4) θ g, : 1 g (x ) = 6 L w i7 (a T i x - bi) + g θ (13) Q inghua Zhang [ 2 ], A lbert Benven iste (13), : g (x ) = 6 L i= 1 i= 1 w i7 [D i (t - ti) ] + g θ (14) ti, D t, D i= d iag (d i), g θ g (x ) Ζ L, 7 : w (s) = (1 - s 2 ) e - s2 g2 x i ( i= 1, 2, 3,, N ) m, (12) L = m, : a = m in{x (i), 1 Φ i Φ N }, b = m ax{x (i), 1 Φ i Φ N }, g θ = i= 1 (15) x (i) N 7 : 7 (x ) = w (x 1)w (x 2) w (x m ) (16) M { (x m, y m ) : y m = f (x m ),, 2,,M }, Η w i a i bi (i= 1, 2,, N ), g Η(x ) (15), : E (Η) = 1 2 6 M (g Η(x m ) - y m ) ) 2 (17) Η 3, : Η(k + 1) = Η(k) - Κ> 0, E (Η) E (Η) Η, Κ E (Η(k) ) (18) E (Η) = 6 M (g Η(x m ) - y m ) g 5 5 Η g Η (x m ) (19) g Η(x m ) (15), E (Η)
12 89 5 E (Η) 5w j 5 E (Η) 5 a j 5 E (Η) 5 bj = 6 M = 6 M = - 6 M (g Η(x m ) - y m ) g 7 (a jx m - bj) (g Η(x m ) - y m ) gw j7 (a jx m - bj) g x m (g Η(x m ) - y m ) g w j7 (a jx m - bj), j = 1, 2,, N (20) (20) (18) Η 3 Ζ, Ζ Ζ 4,, : x x i- xθ i= Ρ ( i= 0, 1, 2,, N )., Ζ 5 600062 1997 5 22 2000 3 27 ( 687 ) 683, a, b, c, d, eζ a 2, b 3, c 4, d 5, e 6 2 600062 1997 5 22 2000 3 27 687 3 600062 1997 5 22 2000 3 27 687 (9) a b c d e 5, (2) 5 a b c d 687, 683 (2),,, 5,, :
90 2003 12 4 600062 1997 5 22 2000 3 27 687 5 600062 1997 5 22 2000 3 27 687 6 600062 1997 5 22 2000 3 27 687 x n = a1x n- 1 + a2x 2 n- 1 + a3x 3 n- 1 + a4x n- 2 + a5x 2 n- 2 + a6x 3 n- 2 + a 7x n- 3 + a8x 2 n- 3 + a9x 3 n- 3 + a10x n- 4 + a11x 2 n- 4 + a12x n- 5 + a13x 2 n- 5 + a14x n- 2x n- 1 + a15x n- 3x n- 1 + a16x n- 3x n- 2 + a17x n- 4x n- 1 + a18x n- 4x n- 2 + a19x n- 4x n- 3 (21) + a20x n- 5x n- 1 + a21x n- 5x n- 2 + a22x n- 5x n- 3 + a23x n- 5x n- 4 a b c d 1 3 5 7 1 a a1 0. 097550 a7 0. 153103 a13-0. 038153 a19 0. 065333 a2 0. 077617 a8-0. 010280 a14-0. 056888 a20 0. 127818 a3-0. 006962 a9-0. 001113 a15 0. 148675 a21 0. 021570 a4 0. 076102 a10 0. 155895 a16-0. 075922 a22-0. 082600 a5 0. 024292 a11 0. 042685 a17-0. 050451 a23 0. 011656 a6 0. 005218 a12 0. 095614 a18-0. 135221 2 600062 1997 5 22 2000 3 27 687, 683, (21),, 684 687, 684 687
12 91 0. 14%, - 0. 62%, - 3. 95% - 5. 47%,,, 2 a,, x t 679 11. 99 680 12. 03 681 11. 40 682 11. 88 683 12. 20 Y t (y i- x i) gx i 684 12. 18 12. 197232 1 0. 14% 685 12. 47 12. 392825-0. 62% 686 12. 9 12. 390641-3. 95% 687 13. 15 12. 430696-5. 47% 688 12. 535532 689 12. 596757 3 b a1 0. 103341 a7 0. 097308 a13 0. 002034 a19-0. 052318 a2 0. 154397 a8-0. 022831 a14-0. 152058 a20 0. 075371 a3-0. 007090 a9 0. 000812 a15 0. 069272 a21-0. 078307 a4 0. 132646 a10 0. 121645 a16 0. 051582 a22-0. 052082 a5-0. 003979 a11-0. 044396 a17 0. 046946 a23 0. 047470 a6 0. 003202 a12 0. 067969 a18 0. 036271 a24 4 600062 1997 5 22 2000 3 27 687, 683, (21),, 684 687, 684 687-2. 5%, - 3. 16%, - 4. 6% - 8. 99%,,, 4 b,, x t Y t (y i - x i) gx i 679 12. 45 680 12. 15 681 12. 05 682 12. 34 683 12. 27 684 12. 660 12. 343406 3-2. 50% 685 12. 88 12. 472987-3. 16% 686 13. 2 12. 586893-4. 64% 687 13. 950 12. 696527-8. 99% 688 12. 801579 689 12. 904517
92 2003 12 5 c a1 0. 162616 a7 0. 167531 a13 0. 010907 a19 0. 112566 a2 0. 059958 a8 0. 046017 a14 0. 009060 a20 0. 043448 a3-0. 001677 a9 0. 000633 a15-0. 032909 a21 0. 098977 a4 0. 24437 a10 0. 172731 a16-0. 117002 a22-0. 098404 a5 0. 030620 a11 0. 021790 a17-0. 009846 a23-0. 079655 a6 0. 000277 a12 0. 162774 a18-0. 078702 a24 6 600062 1997 5 22 2000 3 27 687, 683, (21),, 684 687, 684 687 0. 34 %, - 1. 64%, - 3. 70% - 8. 13%,,, 6 c,, x t Y t (y i - x i) gx i 679 11. 91 680 11. 34 681 11. 40 682 11. 75 683 11. 97 684 12. 01 12. 051071 5 0. 34 % 685 12. 26 12. 058727-1. 64% 686 12. 53 12. 065864-3. 70% 687 13. 15 12. 081272-8. 13% 688 12. 098761 689 12. 116263 7 d a1 0. 124922 a7 0. 130079 a13-0. 017143 a19-0. 064243 a2 0. 159205 a8-0. 043668 a14-0. 214982 a20-0. 046690 a3-0. 005767 a9 0. 000459 a15 0. 094938 a21-0. 019877 a4 0. 129153 a10 0. 184027 a16-0. 099551 a22 0. 128758 a5 0. 086582 a11-0. 049962 a17 0. 132425 a23-0. 026565 a6 0. 002782 a12 0. 065007 a18 0. 042290 a24 8 600062 1997 5 22 2000 3 27 687, 683, (21),, 684 687, 684 687-1. 02%, - 4. 34%, - 2. 91% - 11. 04%,,,
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