SIG-FIN-012-08

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[[第12回研究会]]

*Deep Belief Network を用いた日経平均株価の予測に関する研究 [#xb33e7f1]

**著者 [#p1d200f3]
小牧 昇平, 白山 晋(東京大学)
小牧 昇平, 白山 晋(東京大学大学院工学系研究科)

**概要 [#s3e46383]
In this study, we propose a new forecasting method of a financial time series based on
Deep Belief Network (DBN) by enhancing the approach of the Chao et al. First, a new topology for
a regression training is proposed. Second, we forecast a Nikkei Stock Average renewing a training
term. Third, Self-Organized-Map (SOM) is introduced for reducing the computational time in
DBN. It is shown by some experiments that some improved performance indexes can be obtained,
and reduction of the computation time is achieved.
**論文 [#x934b7a5]
&ref(SIG-FIN-012-08.pdf);
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