DC Field | Value | Language |
---|---|---|
dc.contributor.author | 오경주 | ko |
dc.contributor.author | 김경재 | ko |
dc.contributor.author | 한인구 | ko |
dc.date.accessioned | 2011-01-12T07:17:14Z | - |
dc.date.available | 2011-01-12T07:17:14Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2001-01 | - |
dc.identifier.citation | 경영정보학 연구, v.11, no.4, pp.99 - 111 | - |
dc.identifier.issn | 1229-0270 | - |
dc.identifier.uri | http://hdl.handle.net/10203/21563 | - |
dc.description.abstract | The prediction of stock price index is a very difficult problem because of the complexity of stock market data. It has been studied by a number of researchers since they strongly affect other economic and financial parameters. The movement of stock price index has a series of change points due to the strategies of institutional investors. This study presents a two-stage forecasting model of stock price index using change-point detection and artificial neural networks. The basic concept of this proposed model is to obtain intervals divided by change points, to identify them as change-point groups, and to use them in stock price index forecasting. First, the proposed model tries to detect successive change points in stock price index. Then, the model forecasts the change-point group with the backpropagation neural network(BPN). Finally, the model forecasts the output with BPN. This study then examines the predictability of the integrated neural network model for stock price index forecasting using change-point detection. | - |
dc.description.sponsorship | 이 논문은 1998년도 한국과학재단 연구지원(과제번호:98-0102-08-01-3)에 의하여 연구되었음. | en |
dc.language | Korean | - |
dc.language.iso | ko | en |
dc.publisher | 한국경영정보학회 | - |
dc.title | 주가 지수예측에서의 변환시점을 반영한 이단계 신경망 예측모형 | - |
dc.title.alternative | Two-Stage Forecasting Using Change-Point Detection and Artificial Neural Networks for Stock Price Index | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 11 | - |
dc.citation.issue | 4 | - |
dc.citation.beginningpage | 99 | - |
dc.citation.endingpage | 111 | - |
dc.citation.publicationname | 경영정보학 연구 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | 한인구 | - |
dc.contributor.nonIdAuthor | 오경주 | - |
dc.contributor.nonIdAuthor | 김경재 | - |
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