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【WSSIT2017】過去の変動に対する類似検索を用いた短時間USD/JPY為替レート予測

umeco
March 03, 2017

 【WSSIT2017】過去の変動に対する類似検索を用いた短時間USD/JPY為替レート予測

The presentation slide of my research, "過去の変動に対する類似検索を用いた短時間USD/JPY為替レート予測".
URL : https://ipsj.ixsq.nii.ac.jp/ej/?action=pages_view_main&active_action=repository_view_main_item_detail&item_id=177687&item_no=1&page_id=13&block_id=8

umeco

March 03, 2017
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  1. ؔ࿈ݚڀ ! ۙ๣๏ʢ ! //! /FBSFTU/FJHICPSʣΛ༻͍ ͨ64%+1:ҝସϨʔτ༧ଌݚڀ<> n ! //ʹΑΔ೔ִؒͷ64%+1:ҝସϨʔτ༧

    ଌʹ͓͍ͯҰఆͷ༧ଌਫ਼౓Λࣔͨ͠ ଟ૚ύʔηϓτϩϯʹΑΔɼߴස౓ҝସϨʔτ༧ଌ ݚڀ<> n ػցֶशʹΑΔߴස౓ҝସϨʔτͷ༧ଌՄೳੑΛ ࣔͨ͠  [1] Kia, A. N., Haratizadeh, S. and Zare, H.:Predictionof USD/JPY Exchange Rate Time Series Directional Status by KNN with Dynamic Time Waring AS Distance Function, Bonfring International Journal of Data Mining, Vol. 3, No. 2, p. 12 (2013). [2] Choudhry, T., McGroarty, F., Peng, K. and Wang, S.:High-Frequency Exchange-Rate Prediction With An Artificial Neural Network, Intelligent Systems in Accounting, Finance and Management, Vol. 19, No. 3,pp.170-178 (2012).
  2. ҝସϨʔτ༧ଌ΁ͷ!//ͷద༻ ࣌ࠁ(ʹ͓͚ΔҝସϨʔτΛ)* ͱͨ࣌͠ɼ࣌ࠁ(ʹ͓ ͚Δ+࣍ݩݕࡧϕΫτϧ, ⃗* ͸ҎԼͷΑ͏ʹఆٛ͞ΕΔ , ⃗* = )*/

    0/1 , )*/ 0/3 , ⋯ ,)*/ 0/1  ݕࡧϕΫτϧͷఆٛ A3( AK0 ' BL#!& , ⃗* A3(5 … … PBL#!& 6 ⃗*
  3. ҝସϨʔτ༧ଌ΁ͷ!//ͷద༻ ࣌ࠁ( + 1ͷҝସϨʔτ)*91 Λ༧ଌ͢Δ৔߹ɼҎԼͷ ྲྀΕͰ༧ଌ஋Λܾఆ͢Δ  ݕࡧϕΫτϧ, ⃗* ͱաڈͷඃݕࡧϕΫτϧશͯͷྨ

    ࣅ౓Λܭࢉ͢Δ  ྨࣅ౓ͷߴ্͍Ґ!݅ͷඃݕࡧϕΫτϧ͔ΒҎԼ ͷࣜΛ༻͍ͯ༧ଌ஋Λܾఆ͢Δ ) : *91 = ; )*<91 =*< × ; 1 =*< ? @A1 /1 ? @A1  ༧ଌ஋ͷܾఆ๏ ) : *91:*F- =*< :#!&VSX
  4. ఏҊख๏ n ࣌ࠁ(ʹ͓͍ͯҎԼʹఆٛ͢ΔD* ͕ C%@0 < D* < C%&' Λຬͨ࣌͢ʹ༧ଌΛߦ͏ɽͦΕҎ֎ͷ৔߹͸༧ଌΛߦΘ

    ͳ͍ D* = 1 + ; F*/@ 0/1 @AG F* ͸ҝସϨʔτΛର਺ࠩऩӹ཰ʹม׵ͨ͠΋ͷͰ͋Δ F* = log)* − log)*/1  ༧ଌͷ੍ݶͷ൑ఆ n:BL#!&C.@
  5. ධՁ࣮ݧ n࣮ݧσʔλ͸ɼ(.0ΫϦοΫূ݊<>ΑΓೖखͨ͠ 64%+1:෼଍σʔλΛ༻͍ɼऴ஋Λର਺ࠩऩӹ཰ʹ ม׵͠ɼͦΕΛ༧ଌΛͨ͠ n શσʔλظؒ n ೥݄೔࣌ ͔Β ೥݄೔࣌

    ·Ͱʢαϯϓϧ਺ɿ݅ʣ n ςετσʔλظؒ n ೥݄೔͔࣌Βिؒʢαϯϓϧ਺ɿ ݅ʣ nൺֱख๏ͱͯ͠!//ɼઢܗճؼɼଟ૚ύʔηϓτϩϯ Λ༻͍ͨ  [4] https://www.click-sec.com
  6. ධՁࢦඪ n ධՁࢦඪͱͯ͠-FF<>͕ࣔͭ͢ͷධՁࢦඪΛ༻͍Δ  .FBO4RVBE'PSFDBTU&SSPS .4'&ɼೋ৐ޡࠩ  .FBO$PSSFDU'PSFDBTU%JSFDUJPO .$'%ɼಅམ༧ ଌ౓

     .FBO'PSFDBTU5SBEJOH3FUVSO .'53ɼऔҾऩӹ  [3] Lee, T.-H: Loss functions in time series forecasting, International encyclopedia of social sciences, Vol. 9, pp. 495-502 (2008). L:*F@ M*:QF- N*:*F- DON) = 1 L P ; M* − N* 3 % *A1 DCNQ = 1 L P ; R STU+ M* ×STU+ N* > 0 % *A1 DNXM = 1 L P ; STU+(M* )×N* % *A1
  7. ࣮ݧ݁Ռ Ϟσϧ .4'& ༧ଌޡࠩ .$'% ಅམ༧ଌ .'53 औҾऩӹ !// [.

    ]^_`/a b.cbRd R. cbe`/e ઢܗճؼ e. c]e`/a b.cR[R _. eb^`/e ଟ૚ύʔηϓτϩϯ e. c]]`/a b.cbbd −^. _Re`/e  ද̍ ൺֱख๏ʹΑΔҝସϨʔτ༧ଌʢσʔλ਺ɿʣ Ϟσϧ .4'& ༧ଌޡࠩ .$'% ಅམ༧ଌ .'53 औҾऩӹ ఏҊख๏ e. cc^`/a b.ceRc [. _d_`/c !// e. eeR`/a b.c]Rc ^. ca^`/c ઢܗճؼ e. c][`/a b.cRbc −c. a_c`/e ଟ૚ύʔηϓτϩϯ e. c]]`/a b.c^cc −]. _^e`/e ද̎ ֤ख๏ʹΑΔҝସϨʔτ༧ଌʢσʔλ਺ɿʣ
  8. ௥Ճ࣮ݧ  ධՁࢦඪʹΑΔධՁ ද̍ ൺֱख๏ʹΑΔҝସϨʔτ༧ଌʢσʔλ਺ɿʣ ද̎ ֤ख๏ʹΑΔҝସϨʔτ༧ଌʢσʔλ਺ɿʣ Ϟσϧ .4'& ༧ଌޡࠩ

    .$'% ಅམ༧ଌ .'53 औҾऩӹ !// d. RRc`/a b.d_eb c. ^[d`/[ ઢܗճؼ ]. e[[`/a b.c^e[ R. e^d`/c ଟ૚ύʔηϓτϩϯ ]. ee_`/a b.daae −d. eca`/[ Ϟσϧ .4'& ༧ଌޡࠩ .$'% ಅམ༧ଌ .'53 औҾऩӹ ఏҊख๏ ]. [[d`/a b.cd_c e. ^]a`/c !// ]. aba`/a b.c^[c R. cab`/c ઢܗճؼ ]. [d^`/a b.d[^c −R. ^__`/c ଟ૚ύʔηϓτϩϯ ]. [db`/a b.d_dc −R. ]aa`/c