رویکردهای نوین در مدل سازی و پیش بینی بازارهای مالی: پیشرفت های اخیر و افق های آینده

رجبی, مهسا; خالوزاده, حمید

دوره 17، شماره 2 - ( مجله کنترل، جلد 17، شماره 2، تابستان 1402 ) جلد 17 شماره 2,1402 صفحات 163-149 | برگشت به فهرست نسخه ها

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Rajabi M, Khaloozadeh H. New approaches in modeling and forecasting financial markets: recent progress and future horizons. JoC 2023; 17 (2) :149-163
URL: http://joc.kntu.ac.ir/article-1-1001-fa.html

رجبی مهسا، خالوزاده حمید. رویکردهای نوین در مدل سازی و پیش بینی بازارهای مالی: پیشرفت های اخیر و افق های آینده. مجله کنترل. 1402; 17 (2) :149-163

URL: http://joc.kntu.ac.ir/article-1-1001-fa.html

رویکردهای نوین در مدل سازی و پیش بینی بازارهای مالی: پیشرفت های اخیر و افق های آینده

مهسا رجبی¹

، حمید خالوزاده^*

1- دانشکده مهندسی برق، گروه کنترل و سیستم، دانشگاه صنعتی خواجه نصیرالدین طوسی،تهران، ایران

چکیده: (2047 مشاهده)

سری¬های زمانی مالی اساسا پیچیده، دینامیک، نویزی، غیرخطی، غیرپارامتری و آشوبگونه هستند، لذا پیش بینی بازارهای مالی به عنوان یکی از چالش برانگیزترین زمینه ها در حوزه مهندسی و اقتصاد مطرح می باشد. با پیشرفت روزافزون هوش مصنوعی و روی کارآمدن روش های نوین یادگیری عمیق، مسأله پیش بینی بازار سهام با تحولات چشمگیری بخصوص در زمینه مدل های پیاده سازی و نیز حجم عظیمی از انواع داده های ورودی همراه شده است. چهار گام مهم برای ایجاد یک ساختار پیش بینی هوشمند سیستماتیک شامل: ورودی های مدل، انتخاب الگوریتم های پیش بینی و ارائه ساختار کلی مدل پیش بین، بکاربردن توابع خطای متناسب با مسأله جهت آموزش الگوریتم یادگیری و در نهایت ارزیابی صحیح نتایج با توجه به معیارهای مورد نظر می باشد. در این مقاله مرور جامعی بر رویکردهای أخیر مسأله پیش بینی بازار سهام با تمرکز بر چهار عامل فوق ارائه گردیده است. مهم ترین دست آورد های این مقاله عبارتند از: 1- بررسی همه جانبه مسأله شامل: مرور انواع ورودی های مدل، ساختارهای مختلف پیش بینی، آموزش مدل و انواع توابع خطای بکار برده شده، و نیز سنجه های ارزیابی نتایج، بصورت کاملا طبقه بندی شده و ساختاریافته بطوریکه نقشه راه مسأله و چالش های موجود را بسادگی در اختیار علاقه مندان قرار دهد و هر بخش زمینه پژوهشی مهمی را به پژوهشگران ارائه نماید. 2- تحلیل کامل هر بخش، مشخص کردن کاربرد هریک از روش ها و بحث و بررسی مزایا و معایب آن ها براساس آخرین پیشرفت ها و ارائه چشم اندازهایی از مرزهای پژوهشی مسأله 3- مشخص کردن مسیر تحقیقاتی درحال انجام، رویکردهای آینده و مسائل باز جهت کمک به محققان و پژوهشگران علاقه مند به این حوزه.

واژه‌های کلیدی: بازارهای مالی، پیش بینی سری زمانی، روش های یادگیری عمیق، توابع خطا، سنجه های ارزیابی

متن کامل [PDF 562 kb] (461 دریافت)

نوع مطالعه: پژوهشي | موضوع مقاله: شماره ویژه (رویکرد های نو در مهندسی کنترل)
دریافت: 1402/5/15 | پذیرش: 1402/6/25 | انتشار الکترونیک پیش از انتشار نهایی: 1402/6/28 | انتشار: 1402/6/30

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