پیش‌بینی ارزش سهام با استفاده از شبکه عصبی فازی پیشنهادی و الگوریتم ترکیبی

نوع مقاله : مقاله پژوهشی (کاربردی)

نویسندگان

1 دانشجوی دکتری، گروه کنترل، دانشکده مهندسی برق، دانشگاه صنعتی امیرکبیر، تهران، ایران.

2 استاد، گروه کنترل، دانشکده مهندسی برق، دانشگاه صنعتی امیرکبیر، تهران، ایران.

چکیده

پیش‌بینی بازار بورس و نحوه تغییر نمادها، همواره در زمره پژوهش‌های کاربردی و پرطرفدار قرار می‌گیرد؛ بنابراین با پیش‌بینی نمادها با حداقل خطا می‌توان در بورس موفق شد. در این مقاله برای پیش‌بینی ارزش نمادها از یک شبکه جدید شامل شبکه عصبی‌فازی، تابع سینک و الگوریتم بهینه‌سازی ملخ بهبودیافته، استفاده شده است. در این خصوص، برای پیش‌بینی و مدل‌سازی شاخص نمادهای بورس از مدل‌سازی جعبه سیاه و مدل AR(Auto regressive) استفاده شده که مرتبه مدل با استفاده از الگوریتم گرگ خاکستری تعیین گردیده است. برای بهینه‌سازی پارامترهای خطی شبکه، از الگوریتم ترکیبی؛ شامل حداقل مربعات برای مقداردهی اولیه و حداقل مربعات بازگشتی برای آموزش برخط استفاده شد و برای بهینه‌سازی پارامترهای غیرخطی از الگوریتم بهینه‌سازی ملخ به‌کار رفت. در شبیه‌سازی نشان داده شد که با ارائه ساختار جدید، الگوریتم گرگ خاکستری می‌تواند به طور مؤثر مرتبه مدل و جملات با بیشترین تأثیر را در نماد فولاد مشخص کند؛ به علاوه در این قسمت بیان شده که شبکه و الگوریتم پیشنهادی نسبت به سایر روش‌ها مانند شبکه عصبی برای پیش‌بینی ارزش سهام، خطای کمتری داشتند و الگوریتم ملخ ارائه‌شده با نرخ یادگیری تطبیقی با سرعت بیشتری و به صورت تطبیقی، هم‌گرا شده است.

کلیدواژه‌ها


عنوان مقاله [English]

The prediction of stock value by using the proposed fuzzy neural network and hybrid algorithm

نویسندگان [English]

  • Vahid SafariDehnavi 1
  • Masoud Shafiee 2
1 PhD Student, Department of Control, Faculty of Electrical Engineering, Amirkabir University of Technology (Tehran Polytechnic), Tehran, Iran.
2 Professor, Department of Control, Faculty of Electrical Engineering, Amirkabir University of Technology (Tehran Polytechnic), Tehran, Iran.
چکیده [English]

The prediction of stocks on the stock market and how the symbols are changed are one of the most applied and popular researches. By predicting the symbols with the least error, a person can succeed in the stock market. In this paper, a new network including a neural-fuzzy sink function and an improved grasshopper optimization algorithm was used to predict the value of symbols. In this regard, to predict and model the stock symbols, black-box modeling and AR (Autoregressive) model were used. Model order was determined by using the gray wolf algorithm. To optimize the network’s linear parameters, a hybrid algorithm comprising of least square algorithm for initialization, recursive least square for online training, and a grasshopper optimization algorithm was used to optimize nonlinear parameters. The simulation illustrated that by providing a new structure, the gray wolf algorithm can determine the order of the model and the terms with the most impact on the steel symbol, effectively. In addition, the proposed network and algorithm had less error than other methods such as neural networks for predicting stock value, and the grasshopper optimization algorithm converged with the adaptive learning rate more rapidly.

کلیدواژه‌ها [English]

  • Stock value
  • Fuzzy sink neural network
  • Improved grasshopper algorithm
  • Predicting
  • Modeling
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