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Neural Network Application in Predicting Stock Returns: Evidence from Japan
http://hdl.handle.net/10441/00016337
http://hdl.handle.net/10441/0001633736380f5d-b206-4b1e-bd60-39d4448c4126
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DPE8.2021mar.pdf (540.0 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||||||
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| 公開日 | 2021-03-15 | |||||||||
| タイトル | ||||||||||
| タイトル | Neural Network Application in Predicting Stock Returns: Evidence from Japan | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||
| 資源タイプ | technical report | |||||||||
| 著者 |
Zhong, Xin
× Zhong, Xin
× Wang, Yiwen
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| 著者所属 | ||||||||||
| ja | ||||||||||
| 令和2年度滋賀大学経済経営研究所客員研究員, 大阪大学経済学研究科博士課程 | ||||||||||
| 著者所属 | ||||||||||
| en | ||||||||||
| Independent Researcher | ||||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | The primary purpose of this study is to forecast the one-month forward Nikkei 225 stock return by employing neural networks. We first explore the predictive function of artificial neural networks by comparing the predictive power of models of different neurons and hidden layers. We find that the model with 100 neurons and two hidden layers has the best predictive ability. We also investigate the effects of different types of input variables on predictions. The results show that both technical and liquidity proxies contribute to the analysis. Finally, we combine neural networks with portfolio construction strategies and confirm that neural networks predictions can effectively distinguish good stocks and bad stocks. In summary, this study applies the neural network to the stock market and provides a new idea for using deep learning to investment decisions. | |||||||||
| 言語 | en | |||||||||
| 引用 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | Discussion Paper, Series E, No. E-8, pp. 1-7 | |||||||||
| 言語 | en | |||||||||
| 書誌情報 |
en : Discussion Paper, Series E 号 No.E-8, p. 1-7, 発行日 2021-03 |
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| 出版者 | ||||||||||
| 出版者 | The Institute for Economic and Business Research Faculty of Economics,Shiga University | |||||||||
| 言語 | en | |||||||||
| 資源タイプ | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | Technical Report | |||||||||
