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1、NeuralNetworksinFinance:GainingPredictiveEdgeintheMarketNeuralNetworksinFinance:GainingPredictiveEdgeintheMarketPaulD.McNelisAmsterdam•Boston•Heidelberg•London•NewYork•OxfordParis•SanDiego•SanFrancisco•Singapore•Sydney•TokyoElsevierAcademicPress30CorporateDrive,Suite40
2、0,Burlington,MA01803,USA525BStreet,Suite1900,SanDiego,California92101-4495,USA84TheobaldsRoad,LondonWC1X8RR,UKThisbookisprintedonacid-freepaper.Copyrightc2005,ElsevierInc.Allrightsreserved.Nopartofthispublicationmaybereproducedortransmittedinanyformorbyanymeans,electr
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4、permissions@elsevier.com.uk.Youmayalsocompleteyourrequeston-lineviatheElsevierhomepage(http://elsevier.com),byselectingCustomerSupportandthenObtainingPermissions.LibraryofCongressCataloging-in-PublicationDataMcNelis,PaulD.Neuralnetworksinfinance:gainingpredictiveedgeint
5、hemarket/PaulD.McNelis.p.cm.1.FinanceDecisionmakingDataprocessing.2.Neuralnetworks(Computerscience)I.Title.HG4012.5.M382005332.0285632dc222004022859BritishLibraryCataloguinginPublicationDataAcataloguerecordforthisbookisavailablefromtheBritishLibraryISBN:0-12-485967-4
6、ForallinformationonallElsevierAcademicPresspublicationsvisitourWebsiteatwww.books.elsevier.comPrintedintheUnitedStatesofAmerica040506070809987654321ContentsPrefacexi1Introduction11.1Forecasting,Classification,andDimensionalityReduction..........................11.2Syner
7、gies...........................41.3TheInterfaceProblems...................61.4PlanoftheBook......................8IEconometricFoundations112WhatAreNeuralNetworks?132.1LinearRegressionModel..................132.2GARCHNonlinearModels.................152.2.1PolynomialAppr
8、oximation.............172.2.2OrthogonalPolynomials...............182.3ModelTypology.......................202.4WhatIs