【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

Transcript

1. աڈͷมಈʹର͢ΔྨࣅݕࡧΛ༻͍ͨ ୹࣌ؒ64%+1:ҝସϨʔτ༧ଌ കຊ੖໻ɼ๛ా఩໵ɼେݪ߶ࡾ ੨ࢁֶӃେֶ ཧ޻ֶ෦ 
2. ݚڀഎܠ n ۙ೥Ͱ͸σΠτϨʔυͱݺ͹ΕΔ୹ظతͳऔҾΛ ܁Γฦ͢ख๏ͷೝ஌౓΋ߴ͘ͳΓɼ୹࣌ؒͷҝସ Ϩʔτ༧ଌͷधཁ͕ߴ·͍ͬͯΔ n ैདྷͷҝସϨʔτ༧ଌͷݚڀͷଟ͘͸ɼ೔Ҏ্ ͷ௿ස౓ͷҝସϨʔτΛର৅ʹ͍ͯ͠Δ n ߴස౓σʔλͷॏཁੑ͕ೝࣝ͞Ε࢝Ίɼߴස౓ σʔλΛର৅ʹͨ͠ݚڀ͕૿͍͑ͯΔ 
3. ؔ࿈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).
4. ݚڀ໨త n ߴස౓64%+1:ҝସϨʔτͷऴ஋ͷΈΛ༻͍ͨ ༧ଌख๏ͷఏҊͱɼͦΕΛ༻͍ͨߴස౓औҾઓུͷ ఏҊ n ௿ϦεΫͳߴස౓औҾઓུΛ༻͍ͯɼେ͖ͳརӹ ΛಘΒΕΔΑ͏ʹ͢Δ 
5. ఏҊख๏  ఏҊख๏ͷྲྀΕ %"' U6 ' Validation Data !-NN ! ' JT#, *F2W $%&' ,BL *F /4
6. ҝସϨʔτ༧ଌ΁ͷ!//ͷద༻ ࣌ࠁ(ʹ͓͚ΔҝସϨʔτΛ)* ͱͨ࣌͠ɼ࣌ࠁ(ʹ͓ ͚Δ+࣍ݩݕࡧϕΫτϧ, ⃗* ͸ҎԼͷΑ͏ʹఆٛ͞ΕΔ , ⃗* = )*/ 0/1 , )*/ 0/3 , ⋯ ,)*/ 0/1  ݕࡧϕΫτϧͷఆٛ A3( AK0 ' BL#!& , ⃗* A3(5 … … PBL#!& 6 ⃗*
7. ҝସϨʔτ༧ଌ΁ͷ!//ͷద༻ ࣌ࠁ( + 1ͷҝସϨʔτ)*91 Λ༧ଌ͢Δ৔߹ɼҎԼͷ ྲྀΕͰ༧ଌ஋Λܾఆ͢Δ  ݕࡧϕΫτϧ, ⃗* ͱաڈͷඃݕࡧϕΫτϧશͯͷྨ ࣅ౓Λܭࢉ͢Δ  ྨࣅ౓ͷߴ্͍Ґ!݅ͷඃݕࡧϕΫτϧ͔ΒҎԼ ͷࣜΛ༻͍ͯ༧ଌ஋Λܾఆ͢Δ ) : *91 = ; )*<91 =*< × ; 1 =*< ? @A1 /1 ? @A1  ༧ଌ஋ͷܾఆ๏ ) : *91:*F- =*< :#!&VSX
8. ఏҊख๏ n ߴස౓σʔλͰ͸ɼେ͖͘཭Εͨ࣌఺ͷσʔλʹ ΑΔ༧ଌੑೳ͸௿͘ͳΔ  ༧උతղੳʹجͮ͘Ծఆʢ̍ʣ G9 U6 ݕࡧൣғΛ੍ݶ͢Δᮢ஋$%&' Λಋೖ $%&'
9. ఏҊख๏ n ߴස౓σʔλͰ͸ɼࢢ৔มಈ͕ۃ୺ʹେ͖͍࣌ͱ খ͍࣌͞͸༧ଌਫ਼౓͸௿͘ͳΔ  ༧උతղੳʹجͮ͘Ծఆʢʣ ༧ଌΛ੍ݶ͢Δᮢ஋C%@0 ɼC%&' Λಋೖ < :5 ;:5
10. 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.@
11. 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
12. ධՁࢦඪ n ධՁࢦඪͱͯ͠-FF<>͕ࣔͭ͢ͷධՁࢦඪΛ༻͍Δ  .FBO
    4RVBE
    'PSFDBTU
    &SSPS .4'&ɼೋ৐ޡࠩ  .FBO
    $PSSFDU
    'PSFDBTU
    %JSFDUJPO .$'%ɼಅམ༧ ଌ౓  .FBO
    'PSFDBTU
    5SBEJOH
    3FUVSO .'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
13. ࣮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
14. ධՁ࣮ݧ݁Ռͷߟ࡯ n .4'&͕࠷খͰ͋ͬͨଟ૚ύʔηϓτϩϯ͸ .$'%ɼ.'53ͷͲͪΒʹ͓͍ͯ΋ྑ͍݁Ռ͸࢒ ͤͳ͔ͬͨ n ϞσϧͷධՁʹܦࡁతͳࢦඪΛ࢖͏ॏཁੑΛࢦఠ ͨ͠(SBOHFS<>ͷҙݟΛࢧ࣋͢Δ݁Ռͱͳͬͨ  *FR=7>1IJM  [5] Granger, C.W.J.:Outlineof Forecast Theory Using Generalized Cost Functions, Spanish Economic Review, Vol. 1, No. 2, pp. 161-173 (1999).
15. ٙࣅτϨʔυʹΑΔධՁ n ख਺ྉ͸Ұ཯υϧʹ͖ͭમ n ॳظࢿ࢈͸ԁͱ͠ɼࢿ࢈͕ԁҎ্Ͱ΋ҎԼͰ΋ ຖճԁͷऔҾΛߦ͏ n औҾઓུͱͯ͠༧ଌΛ์غͨ͠৔߹ɼϙδγϣϯ Λܾࢉ͢Δઓུͱอ࣋͢Δઓུͷ̎ͭΛ༻͍Δ 
16. ख਺ྉΛߟྀ͠ͳ͍৔߹ͷ֤ख๏ʹΑ ΔٙࣅτϨʔυ݁Ռ  ੺ɿఏҊख๏ ੨ɿ!// ࢵɿઢܗճؼ փɿଟ૚ύʔηϓτϩϯ
17. ख਺ྉΛߟྀͨ͠৔߹ͷ֤ख๏ʹΑΔ ٙࣅτϨʔυ݁Ռ  ੺ɿఏҊख๏ ੨ɿ!// ࢵɿઢܗճؼ փɿଟ૚ύʔηϓτϩϯ
18. ༧ଌ์غΛ͢Δ֤ख๏ʹΑΔٙࣅτ Ϩʔυ݁Ռʢख਺ྉߟྀʣ  ੺ɿఏҊख๏ ੨ɿ!// ࢵɿઢܗճؼ փɿଟ૚ύʔηϓτϩϯ
19. ༧ଌ์غΛͨ͠৔߹ʹϙδγϣϯΛอ࣋͢ Δ֤ख๏ʹΑΔτϨʔυ݁Ռʢख਺ྉߟ ྀʣ  ੺ɿఏҊख๏ ੨ɿ!// ࢵɿઢܗճؼ փɿଟ૚ύʔηϓτϩϯ
20. ٙࣅτϨʔυ݁Ռ n ༧ଌ์غΛͨ͠৔߹ʹϙδγϣϯΛച٫͢Δઓུ Ͱ͸ɼఏҊख๏͸!//ΑΓ΋ྑ޷ͳ݁ՌΛ࢒ͨ͠ n༧ଌ์غΛͨ͠৔߹ʹϙδγϣϯΛอ࣋͢ΔઓུͰ ͸ɼఏҊख๏͸!//ͱ΄΅ಉҰͷ݁Ռͱͳͬͨ  ར༻σʔλͷ੍ݶʹΑͬͯੑೳΛҡ࣋ͭͭ͠ɼ ܭࢉྔ͸͔Βఔʹͳͬͨ
21. ௥Ճ࣮ݧ n ௥Ճ࣮ݧશظؒɿ೥݄೔࣌෼͔Β ೥݄೔࣌·Ͱ  ҟͳΔτϨϯυͰͷݕূ
22. ௥Ճ࣮ݧ  ධՁࢦඪʹΑΔධՁ ද̍ ൺֱख๏ʹΑΔҝସϨʔτ༧ଌʢσʔλ਺ɿʣ ද̎ ֤ख๏ʹΑΔҝସϨʔτ༧ଌʢσʔλ਺ɿʣ Ϟσϧ .4'& ༧ଌޡࠩ .$'% 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
23. ༧ଌ์غΛ͢Δ֤ख๏ʹΑΔٙࣅτ Ϩʔυ݁Ռʢख਺ྉߟྀʣ  ੺ɿఏҊख๏ ੨ɿ!// ࢵɿઢܗճؼ փɿଟ૚ύʔηϓτϩϯ
24. ༧ଌ์غΛͨ͠৔߹ʹϙδγϣϯΛอ࣋͢ Δ֤ख๏ʹΑΔτϨʔυ݁Ռʢख਺ྉߟ ྀʣ  ੺ɿఏҊख๏ ੨ɿ!// ࢵɿઢܗճؼ փɿଟ૚ύʔηϓτϩϯ
25. ·ͱΊ n ఏҊख๏͸ɼ !//
    ʹछྨͷᮢ஋Λಋೖ͢Δ͜ ͱͰಅམ༧ଌɼऔҾརӹͷ఺ʹ͓͍ͯߴ͍ੑೳΛ ࣔͨ͠ n ఏҊख๏͸ख਺ྉΛߟྀͨ͠ݱ࣮తͳٙࣅτϨʔ υʹ͓͍ͯ΋ଞख๏ͱൺ΂ࢿ࢈Λ૿΍͠ɼ༏ҐੑΛ ࣔͨ͠ n ͭͷऔҾઓུΛఏҊ͠ɼٙࣅτϨʔυͰ͸ϙδ γϣϯΛอ࣋͢Δઓུ͕ΑΓࢿ࢈Λ૿΍ͨ 
26. ࠓޙͷ՝୊ n ଟ༷ͳσʔλͰͷݕূ n ࠓճͷςετظؒͰ͸ҰఆͷԼ߱τϨϯυ͕ܧଓ n ଞͷڑ཭ई౓Λ༻͍ͨ৔߹ͷධՁ n ؔ࿈ݚڀͰ͸ಈతλΠϜϫʔϐϯάڑ཭Λ༻͍ͨ !//Λ࢖༻͍ͯͨͨ͠Ί 
27.  EN