基于Apriori算法和神经网络的模糊交易决策  

Fuzzy Trading Decision Based on Apriori Algorithm and Neural Network

作　　者：姚海祥 黎俊伟 夏晟皓 陈树敏[3] YAO Haixiang;LI Junwei;XIA Shenghao;CHEN Shumin(School of Finance,Guangdong University of Foreign Studies,Guangzhou 510006;Institute of Financial Openness and Asset Management,Guangzhou 510006;School of Management,Guangdong University of Technology,Guangzhou 510006)

机构地区：[1]广东外语外贸大学金融学院,广州510006 [2]金融开放与资本市场研究中心,广州510006 [3]广东工业大学管理学院,广州510006

出　　处：《系统科学与数学》2021年第10期2868-2891,共24页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金面上项目(71871071,72071051);国家自然科学基金创新研究群体项目(71721001);国家社科基金重点项目(重大转重点)(21AZD071);广东省自然科学重点项目(2018B030311004);广东省自然科学基金项目(2017A030313399,2020A1515010416)资助课题。

摘　　要：通过三角模糊器将技术分析指标模糊化并利用Apriori算法和神经网络生成非主观类交易规则,设计带有非主观类模糊交易规则库、Mamdani含义的乘积推理机、中心平均解模糊器的模糊决策系统.利用带有遗忘因子递推最小二乘法对系统的结构性参数进行估计,并提出两种非主观类的交易决策(Apriori策略、神经网络策略).实证结果显示,在扣除交易成本后,非主观类交易规则策略比被动的买入持有策略以及主观类的投资策略平均而言具有更高的年化收益率和夏普比率.研究结果表明,基金经理或股票投资者在进行交易决策时,非主观类的模糊决策系统能给予有效的投资指导,并建议去尝试克服自身心理以及市场基准.In this paper,the technical analysis indicators are fuzzified by a triangular fuzzifier and non-subjective transaction rules are generated using the Apriori algorithm and neural network.A fuzzy inference rule library with non-subjective categories,a product reasoning machine with the meaning of Mamdani,and a central average defuzzifier fuzzy Decision-making system,using recursive least squares method with forgetting factors to estimate the structural parameters of the system,and proposed two non-subjective types of trading decisions(Apriori strategy,neural network strategy).Empirical results show that after deducting transaction costs,non-subjective trading rules strategies have higher annualized returns and Sharpe ratios than passive buy-hold strategies and subjective investment strategies.Such a result can give decision makers effective investment guidance and suggestions to try to overcome their psychological and market benchmarks when fund managers or stock investors make trading decisions.

关 键 词：模糊系统 APRIORI算法 股票市场 交易策略 技术分析 神经网络 

分 类 号：TP183[自动化与计算机技术—控制理论与控制工程] F832.51[自动化与计算机技术—控制科学与工程]