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[[関連論文サーベイ]] #contents *書籍 [#y0f35a39] - Excelで学ぶファイナンス 2: 証券投資分析 01 ([[Amazon.co.jp:http://www.amazon.co.jp/EXCEL%e3%81%a7%e5%ad%a6%e3%81%b6%e3%83%95%e3%82%a1%e3%82%a4%e3%83%8a%e3%83%b3%e3%82%b9%e3%80%882%e3%80%89%e8%a8%bc%e5%88%b8%e6%8a%95%e8%b3%87%e5%88%86%e6%9e%90%2dEXCEL%e3%81%a7%e5%ad%a6%e3%81%b6%e3%83%95%e3%82%a1%e3%82%a4%e3%83%8a%e3%83%b3%e3%82%b9%2d2%2d%e8%97%a4%e6%9e%97%2d%e5%ae%8f/dp/4322102263/]]) - 証券投資論 98 ([[Amazon.co.jp:http://www.amazon.co.jp/%e8%a8%bc%e5%88%b8%e6%8a%95%e8%b3%87%e8%ab%96%2d%e6%a6%8a%e5%8e%9f%2d%e8%8c%82%e6%a8%b9/dp/4532131561/]]) *解説,チュートリアル [#ifc0720d] **資産配分,ポートフォリオ管理 [#k8b18e57] - Martin B. Haugh, Andrew W. Lo: [[Computational Challenges in Portfolio Management.:http://doi.ieeecomputersociety.org/10.1109/5992.919267]] Computing in Science & Engineering, Vol. 3, No. 3, pp. 54-59 (2001). - Benjamin Van Roy: [[Temporal-Difference Learning and Applications in Finance.:http://books.google.co.jp/books?id=ZTkFszCxwdAC&lpg=PA447&ots=MI1kocfwCX&lr=&pg=PA447#v=onepage&q=&f=false]] Proc. of the 6th International Conference on Computational Finance, pp. 447-480 (1999) **倒産予測,信用リスク評価 [#ke17a5e3] - Atiya, A.F.: [[Bankruptcy prediction for credit risk using neural networks: A survey and new results.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935101&count=24&index=22]] IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 929-935 (2001) - Lyn C. Thomas: [[A survey of credit and behavioural scoring: Forecasting financial risk of lending to consumers.:http://dx.doi.org/10.1016/S0169-2070(00)00034-0]] International Journal of Forecasting, Vol. 16, No. 2, pp. 149-172 (2000). *論文 [#p0afbbcc] **資産配分,ポートフォリオ管理 [#jb7fdf47] ***強化学習 [#ab3d5bc1] - Jian Li, Kun Zhang, and Laiwan Chan: [[Independent Factor Reinforcement Learning for Portfolio Management.:http://www.springerlink.com/content/5502727885t3u104/]] Proc. of the 8th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2007), pp. 1020-1031 (2007) - Jae Won Lee, Jonghun Park, Jangmin O, Jongwoo Lee, Euyseok Hong: [[A Multiagent Approach to Q-Learning for Daily Stock Trading.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=4342801]] IEEE Transactions on Systems, Man and Cybernetics, Part A, Vol. 37, No. 6, pp. 864-877 (2007). - Li, H., C. Dagli, and D. Enke: Optimal Asset Allocation using Reinforcement Learning: A Case Study. Intelligent Engineering Systems through Artificial Neural Networks, Vol. 15, pp. 645-650 (2005) - Thorsten Hens, Peter Wöhrmann: [[Strategic asset allocation and market timing: a reinforcement learning approach.:http://www.springerlink.com/content/3650l8t018813663/]] Computational Economics, Vol. 29, No. 3-4, pp. 369-381 (2007). - Moody, J.; Saffell, M.: [[Learning to trade via direct reinforcement.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=935097]] IEEE Transactions on Neural Networks, Vol. 12, No. 4, pp. 875-889 (2001). - Jian Li, Kun Zhang, [[Laiwan Chan:http://www.cse.cuhk.edu.hk/~lwchan/]]: [[Independent Factor Reinforcement Learning for Portfolio Management.:http://www.springerlink.com/content/5502727885t3u104/]] Proceedings of the 8th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2007), pp. 020-1031 (2007). - Dirk Ormoneit and Peter Glynn: [[Kernel-Based Reinforcement Learning in Average-Cost Problems: An Application to Optimal Portfolio Choise.:http://books.nips.cc/nips13.html]] Advances in Neural Information Processing Systems, Vol. 13 (NIPS 2000), pp. 1068-1074 (2001). - Dempster, M.A.H.; Payne, T.W.; Romahi, Y.; Thompson, G.W.P.: [[Computational learning techniques for intraday FX trading usingpopular technical indicators.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=935088]] IEEE Transactions on Neural Networks, Vol. 12, No. 4, pp. 744-754 (2001). - X. Gao, [[Laiwan Chan:http://www.cse.cuhk.edu.hk/~lwchan/]]: An Algorithm for Trading and Portfolio Management Using Q-learning and Sharpe Ratio Maximization. Proceedings of the 7th International Conference on Neural Information Processing (ICONIP 2000), pp. 576-582 (2000). - John Moody, Lizhong Wu, Yuansong Liao, Matthew Saffell: [[Performance functions and reinforcement learning for trading systems and portfolios.:http://www3.interscience.wiley.com/journal/2985/abstract]] Journal of Forecasting, Vol. 17, No. 5-6, pp. 441-470 (1998). - Moody, J.; Lizhong Wu: [[Optimization of trading systems and portfolios.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=618952]] Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr 1997), pp. 300-307 (1997). ***ニューラル・ネットワーク (NN) [#y50abac9] - B. Vanstone, G. Finnie, C. Tan: [[Evaluating the Application of Neural Networks and Fundamental Analysis in the Australian Stockmarket.:http://epublications.bond.edu.au/infotech_pubs/15/]] Proc. of the IASTED International Conference on Computational Intelligence (CI 2005) - Monica Lam: [[Neural network techniques for financial performance prediction: integrating fundamental and technical analysis.:http://dx.doi.org/10.1016/S0167-9236(03)00088-5]] Decision Support Systems, Volume 37, Issue 4, Pages 567-581 (2004) - B. Vanstone, G. Finnie, C. Tan: [[Applying Fundamental Analysis and Neural Networks in the Australian Stockmarket.:http://epublications.bond.edu.au/infotech_pubs/19/]] Proc. of the International Conference on Artificial Intelligence in Science and Technology (AISAT 2004) - B. Vanstone, G. Finnie, C. Tan: [[Enhancing Security Selection in the Australian Stockmarket using Fundamental Analysis and Neural Networks.:http://epublications.bond.edu.au/infotech_pubs/14/]] Proc. of the 8th IASTED International Conference on Artificial Intelligence and Soft Computing (ASC 2004) - Chapados, N. and Bengio, Y.: [[Cost functions and model combination for VaR-based asset allocation using neural networks.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935098&count=24&index=19]] IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 890-906 (2001) - Ngai Hang Chan and Genovese, C.R.: [[A comparison of linear and nonlinear statistical techniques in performance attribution.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935100&count=24&index=21]] IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 922-928 (2001) - Dempster, M.A.H.; Payne, T.W.; Romahi, Y.; Thompson, G.W.P.: [[Computational learning techniques for intraday FX trading using popular technical indicators.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=935088]] IEEE Transactions on Neural Networks, Vol. 12, No. 4, pp. 744-754 (2001). - John Moody, Lizhong Wu, Yuansong Liao, Matthew Saffell: [[Performance functions and reinforcement learning for trading systems and portfolios.:http://www3.interscience.wiley.com/journal/2985/abstract]] Journal of Forecasting, Vol. 17, No. 5-6, pp. 441-470 (1998). ***GA (Genetic Algorithm) [#ec94da26] - Shozo Tokinaga and Andrew B. Whinston: [[Applying Adaptive Credit Assignment Algorithm for the Learning Classifier System Based upon the Genetic Algorithm.:http://search.ieice.org/bin/summary.php?id=e75-a_5_568]] IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences, Vol. E75-A, No. 5, pp. 568-577 (1992) ***GP (Genetic Programming) [#bd6b479e] - Yan Chen, Shingo Mabu, and Kotaro Hirasawa: [[A model of portfolio optimization using time adapting genetic network programming.:http://dx.doi.org/10.1016/j.cor.2009.12.003]] Computers & Operations Research, in Press (2010) - Yan Chen, Etsushi Ohkawa, Shingo Mabu, Kaoru Shimada, and Kotaro Hirasaw: [[A portfolio optimization model using Genetic Network Programming with control nodes.:http://dx.doi.org/10.1016/j.eswa.2009.02.049]] Expert Systems with Applications, Volume 36, Issue 7, September 2009, Pages 10735-10745 (2009) ***学習クラシファイアー・システム (LCS) [#tbaafe62] - Mei-Chih Chen, Chang-Li Lin and An-Pin Chen: [[Application of XCSR Model for Dynamic Portfolio Selection.:http://www.cmr-journal.org/article/viewArticle/1152]] Contemporary Management Research, Vol. 5, No. 1, pp. 67-76 (2009). - Wen-Chih Tsai and An-Pin Chen: [[Global Asset Allocation Using XCS Experts in Country-Specific ETFs.:http://doi.ieeecomputersociety.org/10.1109/ICCIT.2008.418]] Proc. of the 3rd International Conference on Convergence and Hybrid Information Technology (ICCIT 2008), Vol. 2, pp. 1170-1176 (2008). - Mei-Chih Chen, Chang-Li Lin and An-Pin Chen: [[Constructing a dynamic stock portfolio decision-making assistance model: using the Taiwan 50 Index constituents as an example.:http://www.springerlink.com/content/x08040552182u672/]] Soft Computing, Vol. 11, No. 12, pp. 1149-1156 (2007) - An-Pin Chen and Mu-Yen Chen: [[Integrating extended classifier system and knowledge extraction model for financial investment prediction: An empirical study.:http://dx.doi.org/10.1016/j.eswa.2005.09.030]] Expert Systems with Applications, Vol. 31, No. 1, pp. 174-183 (2006) - An-Pin Chen, Yi-Chang Chen, and Yu-Hua Huang: [[Applying Two-Stage XCS Model on Global Overnight Effect for Local Stock Prediction.:http://www.springerlink.com/content/5c9r8bcux4hex785/]] Proc. of International Conference on Knowledge-Based Intelligent Information and Engineering Systems (KES 2005), Part 1, pp. 34-40 (2005). - Shozo Tokinaga and Andrew B. Whinston: [[Applying Adaptive Credit Assignment Algorithm for the Learning Classifier System Based upon the Genetic Algorithm.:http://search.ieice.org/bin/summary.php?id=e75-a_5_568]] IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences, Vol. E75-A, No. 5, pp. 568-577 (1992) ***アンサンブル学習 [#rc7f6ea7] - Valeriy V. Gavrishchaka: [[Boosting-based framework for portfolio strategy discovery and optimization.:http://dx.doi.org/10.1142/S1793005706000506]] New Mathematics and Natural Computation (NMNC), Vol. 2, No. 3, pp. 315-330 (2006). ***その他,不明 [#nb340d51] - Kai-Chun Chiu, Lei Xu: [[Arbitrage pricing theory-based Gaussian temporal factor analysis for adaptive portfolio management.:http://dx.doi.org/10.1016/S0167-9236(03)00082-4]] Decision Support Systems, Vol. 37, No. 4, pp. 485-500 (2004). - Ngai Hang Chan and Genovese, C.R.: [[A comparison of linear and nonlinear statistical techniques inperformance attribution.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935100&count=24&index=21]] IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 922-928 (2001) **資産評価 [#dd1c21cb] - Lei Xu: [[BYY harmony learning, independent state space, and generalized APT financial analyses.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935094&count=24&index=15]] IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 822-849 (2001) **倒産予測,信用リスク評価 [#f0745664] ***決定木 [#y7bcf542] - Jie Sun, Hui Li: [[Data mining method for listed companies’ financial distress prediction.:http://dx.doi.org/10.1016/j.knosys.2006.11.003]] Knowledge-Based Systems, Vol. 21, No. 1, pp. 1-5 (2008). - Efstathios Kirkos, Charalambos Spathis, Yannis Manolopoulos: [[Data Mining techniques for the detection of fraudulent financial statements.:http://dx.doi.org/10.1016/j.eswa.2006.02.016]] Expert Systems with Applications, Vol. 32, No. 4, pp. 995-1003 (2007). ***ニューラル・ネットワーク (NN) [#s08c225d] - Wei-Sen Chen, Yin-Kuan Du: [[Using neural networks and data mining techniques for the financial distress prediction model.:http://dx.doi.org/10.1016/j.eswa.2008.03.020]] Expert Systems with Applications (in press). - Efstathios Kirkos, Charalambos Spathis, Yannis Manolopoulos: [[Data Mining techniques for the detection of fraudulent financial statements.:http://dx.doi.org/10.1016/j.eswa.2006.02.016]] Expert Systems with Applications, Vol. 32, No. 4, pp. 995-1003 (2007). - Chi-Bin Cheng, Ching-Lung Chen, Chung-Jen Fu: [[Financial distress prediction by a radial basis function network with logit analysis learning.:http://dx.doi.org/10.1016/j.camwa.2005.07.016]] Computers & Mathematics with Applications, Vol. 51, No. 3-4, pp. 579-588 (2006). - Victor M. Becerra, Roberto K. H. Galvão, Magda Abou-Seada: [[Neural and Wavelet Network Models for Financial Distress Classification.:http://www.springerlink.com/content/vk331789565h7123/]] Data Mining and Knowledge Discovery, Vol. 11, No. 1, pp. 35-55 (2005). - Atiya, A.F.: [[Bankruptcy prediction for credit risk using neural networks: Asurvey and new results.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935101&count=24&index=22]] IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 929-935 (2001) - Kaski, S., Sinkkonen, J., and Peltonen, J.: [[Bankruptcy analysis with self-organizing maps in learning metrics.:http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935102&count=24&index=23]] IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 936-947 (2001) - Ehsan Habib Feroz, Taek Mu Kwon, Victor S. Pastena, Kyungjoo Park: [[The efficacy of red flags in predicting the SEC's targets: An artificial neural networks approach.:http://www3.interscience.wiley.com/journal/75502548/abstract]] Intelligent Systems in Accounting, Finance & Management, Vol. 9, No. 3, pp. 145-157 (2000). - Carsten Lanquillon: [[Dynamic aspects in neural classification.:http://www3.interscience.wiley.com/journal/68502013/abstract]] Intelligent Systems in Accounting, Finance & Management, Vol. 8, No. 4, pp. 281-296 (1999). ***EMアルゴリズム [#ec08d21f] - A.J. Feelders: [[Credit scoring and reject inference with mixture models.:http://www3.interscience.wiley.com/journal/68502010/abstract]] Intelligent Systems in Accounting, Finance & Management, Vol. 8, No. 4, pp. 271-279 (1999). ***アンサンブル学習 [#q005c3f8] - Bhekisipho Twala: [[Multiple classifier application to credit risk assessment.:http://dx.doi.org/10.1016/j.eswa.2009.10.018]] Expert Systems with Applications, Volume 37, Issue 4, Pages 3326-3336 (2010). - Sung Woo Shin, Kun Chang Lee, Suleyman Bilgin Kilic: [[Ensemble Prediction of Commercial Bank Failure Through Diversification of Input Features.:http://www.springerlink.com/content/g112w67115234004/]] Proceedings of the 19th Australian Joint Conference on Artificial Intelligence, pp. 887-896 (2006). ***ノンパラメトリック [#g9cedd2d] - Hui Li, Jie Sun: [[Ranking-order case-based reasoning for financial distress prediction.:http://dx.doi.org/10.1016/j.knosys.2008.03.047]] Knowledge-Based Systems (in press). - Efstathios Kirkos, Charalambos Spathis, Yannis Manolopoulos: [[Data Mining techniques for the detection of fraudulent financial statements.:http://dx.doi.org/10.1016/j.eswa.2006.02.016]] Expert Systems with Applications, Vol. 32, No. 4, pp. 995-1003 (2007). ***その他・不明 [#h1dfb59b] - Dirk-Emma Baestaens: [[Credit risk modeling strategies: The road to serfdom?:http://www3.interscience.wiley.com/journal/68502009/abstract]] Intelligent Systems in Accounting, Finance & Management, Vol. 8, No. 4, pp. 225-235 (1999).