Bayes网络在汇率趋势预测中的应用

根据汇率变化特点，设计了一个用贝叶斯网络方法建立的基于消息的汇率预测模型和算法，在实际应用中得到了较高的预测准确度。     

对一种贝叶斯网络学习算法的改进及试验分析

贝叶斯网络是上世纪80年代发展起来的一种概率图形模型,它提供了不确定性环境下的知识表示、推理、学习手段,可以完成决策、诊断、预测、分类等任务,已广泛应用于数据挖掘、语音识别、工业控制、经济预测、医疗诊断等诸多领域。然而由于贝叶斯网络的推理和贝叶斯网络的学习问题都是NP难的,其实际应用受到很大限制。贝叶斯网络推理是利用它进行决策、诊断、分类、预测等应用的基础,其本质任务是计算边缘概率分布。当网络比较复杂时,推理将变得不可行。多模块的贝叶斯网络(MSBN)从简化模型本身出发,对贝叶斯网络进行了扩展。我们则提出了一种用于MSBN中的近似推理算法,这些都大大拓宽了贝叶斯网络的应用领域。     

基于贝叶斯网络的马尔科夫毯预测学习

研究变量之间的预测能力在许多领域都有重要意义,通过这种研究,能够揭示变量之间的制约机制,贝叶斯网络是研究变量之间预测能力的有力工具.本文使用依赖分析方法建立基于贝叶斯网络的马尔科夫毯预测,其核心问题是贝叶斯网络结构学习.目前,基于依赖分析的贝叶斯网络结构学习方法主要存在三个问题:(1)需要进行大量的高维条件概率计算,(2)容易丢失弱联合依赖边,(3)对边的方向的确定具有局限性.针对这些问题,本文提出了首先进行递推条件独立性检验,然后进行因果语义定向,最后进行冗余边检验的贝叶斯网络结构学习方法.该方法能够有效地避免这些问题,更准确地建立马尔科夫毯预测.     

基于贝叶斯网络的航材可修件周转比例计算

将贝叶斯网络运用于航：材可修件周转比例的计算。在贝叶斯网络学习阶段,采用BDe评分函数和贪婪算法搜索网络结构,运用贝叶斯算法进行参数学习,从而建立了可修件消耗定额预测模型,并对预测结果进行分析比较。最后利用贝叶斯网络预测结果进行周转比例的计算工作。结果表明,把贝叶斯网络应用于航材周转比例的计算是可行的。     

基于贝叶斯网络的信用卡客户价值预测

在阐述贝叶斯网络的特点和学习算法的基础上,利用先验知识选取数据样本的属性变量,通过基于K2算法的贝叶斯网络结构学习和基于极大似然方法的参数学习,建立预测模型并进行银行信用卡客户价值预测。预测结果的正确率和覆盖率表明,贝叶斯网络是信用卡客户价值预测的有效工具。     

一种小规模数据集下的贝叶斯网络学习方法及其应用

提出了一种小规模数据集下学习贝叶斯网络的有效算法—FCLBNo FCLBN利用bootstrap方法在给定的小样本数据集上进行重抽样,然后用在抽样后数据集上学到的贝叶斯网络来佑计原数据集上的贝叶斯网络的高置信度的特征,并用这些特征来指导在原数据集上的贝叶斯网络搜索。用标准的数据集验证了FCLBN的有效性,并将FCLBN应用于酵母菌细胞中蛋白质的定位预测。实验结果表明,FCLBN能够在小规模数据集上学到较好的网络模型。     

贝叶斯网络中变量的最优预测

贝叶斯网络是进行联合概率分解及研究证据传递的有效的图形模式.在贝叶斯网络中,研究变量的最优预测问题对揭示贝叶斯网络内部机制及分类器的属性选择等都具有重要意义.证明了在0-1损失下,对贝叶斯网络中任一特定变量进行预测时,联合预测是最优预测,贝叶斯网络和该变量的马尔科夫毯预测也是最优预测,同时给出了马尔科夫边界的信息结构,并使用模拟数据进行了定性与定量分析.     

基于贝叶斯网络的电信客户流失预测分析

电信客户流失分析常用的数据挖掘方法有自动聚类、决策树和人工神经网络,它们是采用数据本身来训练模型的,没有利用先验知识。电信客户流失是由客户心理、服务质量和对手竞争等诸多复杂的因素造成的,利用这些已有的先验知识,可以提高预测的精度。该文根据先验知识选取分析变量,采集样本数据,通过贝叶斯网络的结构学习和参数学习,建立客户流失模型并进行客户流失趋势预测,取得了比标准数据集更准确的结果,该结果和决策树方法的预测结果相比还具有较大的优势,说明贝叶斯网络是分析客户流失等不确定性问题的有效工具。     

基于TAN贝叶斯网络分类器的测井岩性预测

贝叶斯网络是一种建立在概率和统计理论基础上的数据分析和辅助决策工具,利用其构造出的树扩展朴素贝叶斯网络分类器是目前最优秀的分类器之一。针对石油勘探中测井数据的特殊性,利用贝叶斯网络预测出其对应的岩性,并介绍了使用此方法进行岩性预测的算法过程。通过BNT软件包用Matlab语言构建了分类器,并由实验结果的分析说明了此分类器的优点。     

基于贝叶斯网络的城市居民出行方式研究

以西安市城市居民出行方式为研究对象,收集西安市部分区域城市居民出行的调查数据。利用获得的调查数据,综合运用相关性分析方法和K2算法进行贝叶斯网络的结构学习;应用贝叶斯参数估计方法进行贝叶斯网络的参数学习,建立了应用于西安城市居民出行方式分析的贝叶斯网络。应用所建网络分析了是否有私家车、居民性别、居民年龄和出行目的对西安城市居民出行方式的影响。研究结果表明,基于贝叶斯网络建立的西安城市居民出行方式分析模型预测精度较高,具有较高的实用价值。     

Evolving Recurrent Neural Network using Cartesian Genetic Programming to Predict The Trend in Foreign Currency Exchange Rates

Forecasting the foreign exchange rate is an uphill task. Numerous methods have been used over the years to develop an efficient and reliable network for forecasting the foreign exchange rate. This study utilizes recurrent neural networks (RNNs) for forecasting the foreign currency exchange rates. Cartesian genetic programming (CGP) is used for evolving the artificial neural network (ANN) to produce the prediction model. RNNs that are evolved through CGP have shown great promise in time series forecasting. The proposed approach utilizes the trends present in the historical data for its training purpose. Thirteen different currencies along with the trade-weighted index (TWI) and special drawing rights (SDR) is used for the performance analysis of recurrent Cartesian genetic programming-based artificial neural networks (RCGPANN) in comparison with various other prediction models proposed to date. The experimental results show that RCGPANN is not only capable of obtaining an accurate but also a computationally efficient prediction model for the foreign currency exchange rates. The results demonstrated a prediction accuracy of 98.872 percent (using 6 neurons only) for a single-day prediction in advance and, on average, 92% for predicting a 1000 days’ exchange rate in advance based on ten days of data history. The results prove RCGPANN to be the ultimate choice for any time series data prediction, and its capabilities can be explored in a range of other fields.     

汇率趋势预测数据挖掘的数据预处理方法

要用数据挖掘的方法得到有关汇率变动的趋势预测,其首要任务就是对这些汇市消息摘要进行一定的数据预处理,将其转换成具有一定结构的、有利于数据挖掘方法实现的目标语言。该文就是一个这样的对汇市消息摘要的预处理方法,它对有关汇市消息摘要的领域知识进行了详细的分析,得出了相应的领域规则知识,并对基于TRIE索引树的分析词典机制犤2犦加以改进,建立了一定的相关算法,从而实现了从汇市消息摘要到Bayes语言的数据挖掘的数据预处理。     

Dynamic network signal processing using latent threshold models

We discuss multivariate time series signal processing that exploits a recently introduced approach to dynamic sparsity modelling based on latent thresholding. This methodology induces time-varying patterns of zeros in state parameters that define both directed and undirected associations between individual time series, so generating statistical representations of the dynamic network relationships among the series. Following an overview of model contexts and Bayesian analysis for dynamic latent thresholding, we exemplify the approach in two studies: one of foreign currency exchange rate (FX) signal processing, and one in evaluating dynamics in multiple electroencephalography (EEG) signals. These studies exemplify the utility of dynamic latent threshold modelling in revealing interpretable, data-driven dynamics in patterns of network relationships in multivariate time series.     

Efficient prediction of exchange rates with low complexity artificial neural network models

In recent years forecasting of financial data such as interest rate, exchange rate, stock market and bankruptcy has been observed to be a potential field of research due to its importance in financial and managerial decision making. Survey of existing literature reveals that there is a need to develop efficient forecasting models involving less computational load and fast forecasting capability. The present paper aims to fulfill this objective by developing two novel ANN models involving nonlinear inputs and simple ANN structure with one or two neurons. These are: functional link artificial neural network (FLANN) and cascaded functional link artificial neural network (CFLANN). These have been employed to predict currency exchange rate between US$ to British Pound, Indian Rupees and Japanese Yen. The performance of the proposed models have been evaluated through simulation and have been compared with those obtained from standard LMS based forecasting model. It is observed that the CFLANN model performs the best followed by the FLANN and the LMS models.     

Time series prediction using belief network models

We address the problem of generating normative forecasts efficiently from a Bayesian belief network. Forecasts are predictions of future values of domain variables conditioned on current and past values of domain variables. To address the forecasting problem, we have developed a probability forecasting methodology, Dynamic Network Models (DNMs), through a synthesis of belief network models and classical time-series models. The DNM methodology is based on the integration of fundamental methods of Bayesian time-series analysis, with recent additive generalizations of belief network representation and inference techniques.We apply DNMs to the problem of forecasting episodes of apnea, that is, regular intervals of breathing cessation in patients afflicted with sleep apnea. We compare the one-step-ahead forecasts of chest volume, an indicator of apnea, made by autoregressive models, belief networks, and DNMs. We also construct a DNM to analyse the multivariate time series of chest volume, heart rate and oxygen saturation data.     

基于预测能力的连续贝叶斯网络结构学习

通过对连续随机变量之间预测能力及其计算方法的讨论,提出基于预测能力的连续贝叶斯网络结构学习方法。该方法包括两个步骤,每个步骤都伴随环路检验。首先建立初始贝叶斯网络结构,其次调整初始贝叶斯网络结构,包括增加丢失的弧、删除多余的弧及调整弧的方向,并使用模拟数据进行了对比实验,结果表明该方法非常有致。     

Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news

This study provides an examination of the effect of public news on inter-day exchange-rate return volatility. Unlike previous studies, the impacts ofboth U.S. and foreign macroeconomic news announcements are examined in the currency futures market for the Japanese yen, British pound, and Deutsche mark. Diffusion and jump-diffusion process models are developed which contain parameters conditional on the release of news. These models are estimated using the method of maximum likelihood, and are tested versus unconditional diffusion and jump-diffusion models using likelihood ratio tests. The results reveal that conditional variance diffusion and jump-diffusion process models dominate the equivalent non-conditional models. Over the period studied (January 1988–December 1990) U.S. merchandise trade balance and industrial production announcements had a significantly greater impact on trading period volatility than money supply or inflation announcements did. Foreign news was also found to have a substantially lower effect on foreign trading-period variance than U.S. news had on U.S. trading period variance. In addition, the correlation between the yen, pound, and mark was highest on days of U.S. macroeconomic news. Thus, this study provides evidence that the currency return generating process is not characterized by a simple diffusion process over trading and non-trading periods. Further, the release of U.S. and foreign macroeconomic news has been shown to provide additional understanding of the currency return process over and above that of more complex models such as a jump-diffusion process.     

网络信息时效技术

随着大数据时代的到来,对网络信息的时效性进行评价已成为当今研究的热点。将以Web新闻作为研究对象,对大数据环境下的Web信息提取和中文分词处理等技术进行研究,并在此基础上,提出一种基于Web语义信息提取的网络信息时效性评价算法。实验结果将充分体现算法实现的有效性,既可引导网络用户关注更有价值的 Web信息,也可帮助网站管理者构建一个时效性更高的网站。     

贝叶斯网络预测平台的设计与开发

针对在实际应用中,需要根据不同的对象建立不同的贝叶斯网络来解决预测问题,设计并开发了贝叶斯网络预测平台,介绍了平台的结构和功能,重点介绍了平台实现时网络的数字化和网络拓扑结构的问题.利用数字形式描述网络的全部信息,用关系矩阵直观的描述节点间的依赖关系,并据此确定网络的拓扑结构,利用基于随机数的仿真算法对网络进行推理.该平台简单易用,为贝叶斯网络的建立和推理提供了一个通用的运行环境.