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Stock Price Prediction Based on the Bi-GRU-Attention Model
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作者 Yaojun Zhang Gilbert M. Tumibay 《Journal of Computer and Communications》 2024年第4期72-85,共14页
The stock market, as one of the hotspots in the financial field, forms a data system with a huge volume of data and complex relationships between various factors, making stock price prediction an area of keen interest... The stock market, as one of the hotspots in the financial field, forms a data system with a huge volume of data and complex relationships between various factors, making stock price prediction an area of keen interest for further in-depth mining and research. Mathematical statistics methods struggle to deal with nonlinear relationships in practical applications, making it difficult to explore deep information about stocks. Meanwhile, machine learning methods, particularly neural network models and composite models, which have achieved outstanding results in other fields, are being applied to the stock market with significant results. However, researchers have found that these methods do not grasp the essential information of the data as well as expected. In response to these issues, researchers are exploring better neural network models and combining them with other methods to analyze stock data. Thus, this paper proposes the ABiGRU composite model, which combines the attention mechanism and bidirectional gated recurrent unit (GRU) that can effectively extract data features for stock price prediction research. Models such as LSTM, GRU, and Bi-LSTM are selected for comparative experiments. To ensure the credibility and representativeness of the research data, daily stock price indices of BYD are chosen for closing price prediction studies across different models. The results show that the ABiGRU model has a lower prediction error and better fitting effect on three index-based stock prices, enhancing the learning efficiency of the neural network model and demonstrating good prediction stability. This suggests that the ABiGRU model is highly adaptable for stock price prediction. 展开更多
关键词 Machine Learning Attention Mechanism LSTM Neural Network ABiGRU Model stock price Prediction
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The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula 被引量:3
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作者 Melike Bildirici 《Petroleum Science》 SCIE CAS CSCD 2019年第1期217-228,共12页
This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, an... This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run. 展开更多
关键词 Oil price Expectations of INVESTORS - stock returns Chaos Lyapunov exponent Kolmogorov entropy TAR-TR-GARCH and TAR-TR-TGARCH COPULA methods
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The time‑varying effects of oil prices on oil-gas stock returns of the fragile five countries 被引量:1
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作者 Begüm Yurteri Köedağlı Gül Huyugüzel Kışla A.NazifÇtık 《Financial Innovation》 2021年第1期39-60,共22页
This study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020.The endogenou... This study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020.The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study.Moreover,the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market.The results further suggest that,except for Indonesia,oil prices have a positive impact on the sectoral returns of all markets,whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries. 展开更多
关键词 Sectoral stock return Oil price Time-varying parameter model Fragile five
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The Prediction of Stock Price Based on Improved Wavelet Neural Network 被引量:1
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作者 Qinglan Ye Lianxin Wei 《Open Journal of Applied Sciences》 2015年第4期115-120,共6页
To improve the accuracy of forecasting stock prices, a new method is proposed, which based on improved Wavelet Neural Network (WNN). Firstly, the Genetic Algorithm (GA) is used to optimize initial weights, stretching ... To improve the accuracy of forecasting stock prices, a new method is proposed, which based on improved Wavelet Neural Network (WNN). Firstly, the Genetic Algorithm (GA) is used to optimize initial weights, stretching parameters and movement parameters. Then, comparing with traditional WNN, the momentum are added in parameters adjusting and learning of network, what’s more, learning rate and the factor of momentum are self-adaptive. The prediction system is tested using Shanghai Index data, simulation result shows that improved WNN performs very well. 展开更多
关键词 WNN Forecasting stock priceS MOMENTUM Learning RATE SELF-ADAPTIVE
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Currency exposures of the oil and natural gas stock prices in the Hushen-300 stock market: A nonlinear model approach 被引量:1
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作者 Yap Teck Lee 《Chinese Business Review》 2008年第9期15-19,共5页
The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital... The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model (CAPM) and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated. 展开更多
关键词 exchange rate exposures energy stock prices Hushen-300 stock market
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Bankruptcy Probability and Stock Prices: The Effect of Altman Z-Score Information on Stock Prices Through Panel Data 被引量:1
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作者 Nicholas Apergis John Sorros Panagiotis Artikis Vasilios Zisis 《Journal of Modern Accounting and Auditing》 2011年第7期689-696,共8页
There is an extensive branch of literature that examines the success of Altman's Z-score in predicting bankruptcy or financial distress. The goal of this research paper is to investigate the stock price performance o... There is an extensive branch of literature that examines the success of Altman's Z-score in predicting bankruptcy or financial distress. The goal of this research paper is to investigate the stock price performance of firms that exhibit a large probability of bankruptcy according to the model of Airman. Regardless of the validity of Airman's Z-score, we utilize a new empirical design that relates stock price movements to Altman's Z-score. We focus and examine, through the methodology of panel data, whether stocks that have a high probability of bankruptcy underperform stocks with a low probability of bankruptcy or if there are differences in the way the markets react to the financial health of the sample firms. 展开更多
关键词 Airman's Z-score stock prices panel data
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A Mathematical Model Reveals That Both Randomness and Periodicity Are Essential for Sustainable Fluctuations in Stock Prices 被引量:1
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作者 Motohisa Osaka 《Applied Mathematics》 2019年第6期383-396,共14页
Is it true that there is an implicit understanding that Brownian motion or fractional Brownian motion is the driving force behind stock price fluctuations? An analysis of daily prices and volumes of a particular stock... Is it true that there is an implicit understanding that Brownian motion or fractional Brownian motion is the driving force behind stock price fluctuations? An analysis of daily prices and volumes of a particular stock revealed the following findings: 1) the logarithms of the moving averages of stock prices and volumes have a strong positive correlation, even though price and volume appear to be fluctuating independently of each other, 2) price and volume fluctuations are messy, but these time series are not necessarily Brownian motion by replacing each daily value by 1 or –1 when it rises or falls compared to the previous day’s value, and 3) the difference between the volume on the previous day and that on the current day is periodic by the frequency analysis. Using these findings, we constructed differential equations for stock prices, the number of buy orders, and the number of sell orders. These equations include terms for both randomness and periodicity. It is apparent that both randomness and periodicity are essential for stock price fluctuations to be sustainable, and that stock prices show large hill-like or valley-like fluctuations stochastically without any increasing or decreasing trend, and repeat themselves over a certain range. 展开更多
关键词 stock price Volume Brownian Motion RANDOMNESS
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ON THE INCREMENTS DISTRIBUTION OF STOCK PRICES
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作者 Korolev V Yu 1 Zhao Xuanmin 2 Bening V E 11 Faculty of Computational Mathematics and Cybenetics,Moscow State Univ., Moscow 119899. 2 Dept. of Appl. Math., Northwestern Polytechnical Univ., Xi’an 710072. 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2001年第3期315-322,共8页
In this paper,the models of increment distributions of stock price are constructed with two approaches. The first approach is based on limit theorems of random summation. The second approach is based on the statistica... In this paper,the models of increment distributions of stock price are constructed with two approaches. The first approach is based on limit theorems of random summation. The second approach is based on the statistical analysis of the increment distribution of the logarithms of stock prices. 展开更多
关键词 Increment distributions of stock price Cox process mixing distribution.
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Analysis of Pig Price Fluctuation in Recent Decade Based on the Changes in Breeding Scale
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作者 Xu Chi 《Animal Husbandry and Feed Science》 CAS 2018年第2期94-96,98,共4页
In recent decade, the fluctuation of pig price has become more and more acute with obvious periodicity. Currently, the pig breeding mode dominated by individual households leads to acute fluctuation of pig price to so... In recent decade, the fluctuation of pig price has become more and more acute with obvious periodicity. Currently, the pig breeding mode dominated by individual households leads to acute fluctuation of pig price to some extent. The scale expansion of recent decade intensified the fluc- tuation of pig price in the short term but will stabilize the price in the long term. Therefore. it is necessary to expand breeding scale for maintaining long-term price stability and the optimal scale should be chosen according to the circumstances to ensure the social benefit maximization. 展开更多
关键词 Pig production price fluctuation Breeding scale
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Effects of Financial Market Variables on Stock Prices:A Review of the Literature
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作者 Fatima Ruhani Md.Aminul Islam +1 位作者 Tunku Salha Tunku Ahmad Muhammad Ruhul Quddus 《Journal of Modern Accounting and Auditing》 2018年第11期597-610,共14页
Stock market plays a pivotal role in firms’expansion and turns economic growth.In the literature,because of the importance of stock markets to the real economy,the smooth and risk-free operation of the stock market h... Stock market plays a pivotal role in firms’expansion and turns economic growth.In the literature,because of the importance of stock markets to the real economy,the smooth and risk-free operation of the stock market has attracted significant attention.The finance literature contains a large number of studies that examine the stock price behaviour with some emphasis on the determinants of the relationship between the equity prices and the financial market activities.The present study reviews the previous works of the effect of financial market variables and stock price.Five selected financial market variables,market capitalization,earnings per share,price earnings multiples,dividend yield,and trading volume are reviewed in this study.In the past literature,there are the opinions of the positive significant relationship between market capitalization and stock price.To find the relationship between dividend yield and stock price,there are two broad schools of thoughts.Both of the relevance and irrelevance theory of Gordon and Modigliani have the strong evidence in the current literature that keeps on the dilemma and provides the scopes for future research.Price-earnings multiples are analyzed in the past literature by using different variables.Based on that,it is evidenced that price-earnings multiples have a negative significant effect on stock price.The reviewed studies state the cointegrating relationship between the stock price and the trading volume as the trading volume is a source of risk. 展开更多
关键词 market CAPITALIZATION DIVIDEND yield GORDON MODEL Modigliani and Miller MODEL EARNINGS per share price EARNINGS multiples trading volume and stock price
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Impact of Sharp Fluctuations of Live Pig Prices on Financial Capacity of Pig Breeding Enterprises : An Analysis Based on the Data of Listed Enterprises from 2018 to 2021
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作者 Qi XUE Ruihan LI Shufen LI 《Asian Agricultural Research》 2023年第8期24-30,共7页
Based on the general equilibrium theory of microeconomics,this study first analyzed the causes of sharp fluctuations in live pig prices,and then explored the financial capabilities of enterprises during the sharp fluc... Based on the general equilibrium theory of microeconomics,this study first analyzed the causes of sharp fluctuations in live pig prices,and then explored the financial capabilities of enterprises during the sharp fluctuations of live pig prices by using the financial data of 4 typical top listed enterprises from 2018 to 2021.By comparing the changes in the capabilities of enterprises,the impact of price on the financial capability of enterprises and differences were identified.The research results showed that the price of live pigs played a decisive role in enterprise profits,and there were huge differences in the fluctuation period.In the sharp increase period of price,price temptation is easy to cause enterprises to over-invest,resulting in excessive growth of enterprise assets,and increasing the business risk of enterprises.Based on the above conclusions,some policy suggestions were put forward to promote the stable development of industry from the three levels of enterprises,industries and government departments. 展开更多
关键词 Live pig price price fluctuation Pig breeding enterprise Financial capacity
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A Machine Learning Approach: Enhancing the Predictive Performance of Pharmaceutical Stock Price Movement during COVID
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作者 Beilei He Weiyi Han Suet Ying Isabelle Hon 《Journal of Data Analysis and Information Processing》 2022年第1期1-21,共21页
Predicting stock price movement direction is a challenging problem influenced by different factors and capricious events. The conventional stock price prediction machine learning models heavily rely on the internal fi... Predicting stock price movement direction is a challenging problem influenced by different factors and capricious events. The conventional stock price prediction machine learning models heavily rely on the internal financial features, especially the stock price history. However, there are many outside-of-company features that deeply interact with the companies’ stock price performance, especially during the COVID period. In this study, we selected 9 COVID vaccine companies and collected their relevant features over the past 20 months. We added handcrafted external information, including COVID-related statistics and company-specific vaccine progress information. We implemented, evaluated, and compared several machine learning models, including Multilayer Perceptron Neural Networks with logistic regression and decision trees with boosting and bagging algorithms. The results suggest that the application of feature engineering and data mining techniques can effectively enhance the performance of models predicting stock price movement during the COVID period. The results show that COVID-related handcrafted features help to increase the model prediction accuracy by 7.3% and AUROC by 6.5% on average. Further exploration showed that with data selection the decision tree model with gradient, boosting algorithm achieved 70% in AUROC and 66% in the accuracy. 展开更多
关键词 Machine Learning stock price Trend Prediction Feature Engineering
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Why Are There Great Fluctuations in the Prices of Vegetables? 被引量:1
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作者 Shuang CHEN Lijia HU 《Asian Agricultural Research》 2013年第3期1-6,10,共7页
The normal supply of vegetables is related to the people's livelihood and social stability,and smooth prices of vegetables are vital to social development. Based on the phenomenon of great fluctuations in the pric... The normal supply of vegetables is related to the people's livelihood and social stability,and smooth prices of vegetables are vital to social development. Based on the phenomenon of great fluctuations in the prices of vegetables in recent years,we use living example to analyze the real reasons for great fluctuations in the prices of vegetables from the perspective of supply chain node of vegetables and macroeconomic policies. Finally,from the balance of supply and demand,industry standardization,circulation,market order and the government mechanism,we put forth the following management strategies for controlling great fluctuations in the prices of vegetables: establishing and improving the channels of information transmission,making the production and marketing information symmetrical,and balancing supply and demand; actively promoting the industry standardization of vegetables; reducing the intermediate links,and curtailing the circulation cost of vegetables; regulating the " green channel" of vegetables,and preventing uptick in the prices of vegetables in the " last mile" ; cracking down on the vegetable speculation behavior to ensure the healthy development of the vegetable market; actively giving play to the role of government,and building the vegetable protection system. 展开更多
关键词 Supply chain of VEGETABLES fluctuationS in the PRI
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The Impact of Macroeconomic Fluctuations on Stock Exchange Markets: A Comparative Analysis on CEECs
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作者 Imre Ersoy 《Journal of Modern Accounting and Auditing》 2011年第1期1-13,共13页
Stock exchange market responses to macroeconomic fluctuations show deviations between countries in terms of direction, magnitude and duration due to the idiosyncratic characteristics of the countries. The paper empiri... Stock exchange market responses to macroeconomic fluctuations show deviations between countries in terms of direction, magnitude and duration due to the idiosyncratic characteristics of the countries. The paper empirically searches for the identification of these variations for CEECs, namely Czech Republic, Hungary, Poland, Slovak Republic and also Turkey for the period of December, 1999 to December, 2009. The empirical analyses demonstrate that for each CEEC, stock exchange market responds positively to industrial production and to appreciation of local currency. Czech Republic and Hungary display negative and the rest display positive response to M1, whereas the response of stock market to CB policy rate shows mixed results for each country. Besides, foreign exchange market returns are found to be the variable with the highest significance in explaining the stock exchange market returns. These findings point out to arbitrage opportunities for investors and give insight to Monetary Policy Authorities about the Monetary Transmission Mechanisms of the countries. 展开更多
关键词 macroeconomic fluctuations stock exchange returns ARDL bounds test vector autoregressive (VAR) model CEECS
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The Voice of Physics in Finance:A Glance on the Theoretical Application of Heat Equation to Stock Price Diffusions
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作者 Leonard Mushunje 《Journal of Economic Science Research》 2021年第1期1-4,共4页
Stock price volatility is considered the main matter of concern within the investment grounds.However,the diffusivity of these prices should as well be considered.As such,proper modelling should be done for investors ... Stock price volatility is considered the main matter of concern within the investment grounds.However,the diffusivity of these prices should as well be considered.As such,proper modelling should be done for investors to stay healthy-informed.This paper suggest to model stock price diffusions using the heat equation from physics.We hypothetically state that,our model captures and model the diffusion bubbles of stock prices with a better precision of reality.We compared our model with the standard geometric Brownian motion model which is the wide commonly used stochastic differential equation in asset valuation.Interestingly,the models proved to agree as evidenced by a bijective relation between the volatility coefficients of the Brownian motion model and the diffusion coefficients of our heat diffusion model as well as the corresponding drift components.Consequently,a short proof for the martingale of our model is done which happen to hold. 展开更多
关键词 stock prices VOLATILITY Diffusion Heat equation Brownian motion model PHYSICS
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Theory Analysis of Model for Price Fluctuations in a Single Commodity Market
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作者 Cheng Cui 《Chinese Business Review》 2005年第3期79-81,共3页
The price model for a single commodity market is a very important economic model that describes the basic rules for price fluctuations in a single commodity market. In this paper, we investigated the general case for ... The price model for a single commodity market is a very important economic model that describes the basic rules for price fluctuations in a single commodity market. In this paper, we investigated the general case for the model, and proved that every positive solution is bounded and we obtained a necessary and sufficient condition for oscillation of every positive solution concerning positive state solution. 展开更多
关键词 price price function fluctuation and oscillation
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The Prediction of Stock Prices Based on PCA and BP Neural Networks
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作者 Xiaoping Yang 《Chinese Business Review》 2005年第5期64-68,共5页
There are many factors to influence stock prices indeed. The research method combining models and examples is applied to study how the factors affect stock prices here. Firstly, the principal component analysis is use... There are many factors to influence stock prices indeed. The research method combining models and examples is applied to study how the factors affect stock prices here. Firstly, the principal component analysis is used to deal with a set of variables as the input of a BP Neural Network. Therefore, not only is the number of variables less, but also most of the information of original variables is kept. Then, the BP Neural Network is established to analyze and predict stock prices. Finally, the analysis of Chinese stock market illustrates that the method predicting stock prices is satisfying and feasible. 展开更多
关键词 BP neural networks prediction PCA stock prices
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Comparative Analysis of Machine Learning Models for Stock Price Prediction: Leveraging LSTM for Real-Time Forecasting
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作者 Bijay Gautam Sanif Kandel +1 位作者 Manoj Shrestha Shrawan Thakur 《Journal of Computer and Communications》 2024年第8期52-80,共29页
The research focuses on improving predictive accuracy in the financial sector through the exploration of machine learning algorithms for stock price prediction. The research follows an organized process combining Agil... The research focuses on improving predictive accuracy in the financial sector through the exploration of machine learning algorithms for stock price prediction. The research follows an organized process combining Agile Scrum and the Obtain, Scrub, Explore, Model, and iNterpret (OSEMN) methodology. Six machine learning models, namely Linear Forecast, Naive Forecast, Simple Moving Average with weekly window (SMA 5), Simple Moving Average with monthly window (SMA 20), Autoregressive Integrated Moving Average (ARIMA), and Long Short-Term Memory (LSTM), are compared and evaluated through Mean Absolute Error (MAE), with the LSTM model performing the best, showcasing its potential for practical financial applications. A Django web application “Predict It” is developed to implement the LSTM model. Ethical concerns related to predictive modeling in finance are addressed. Data quality, algorithm choice, feature engineering, and preprocessing techniques are emphasized for better model performance. The research acknowledges limitations and suggests future research directions, aiming to equip investors and financial professionals with reliable predictive models for dynamic markets. 展开更多
关键词 stock price Prediction Machine Learning LSTM ARIMA Mean Squared Error
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The interaction between stock prices and interest rates in Turkey:empirical evidence from ARDL bounds test cointegration 被引量:1
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作者 Turgut Tursoy 《Financial Innovation》 2019年第1期110-121,共12页
This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated ... This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated using the autoregressivedistributed lag bounds(ARDL Bounds)test and vector autoregressive cointegration.Additionally,cointegrating equations such as the fully modified ordinary least square,dynamic ordinary least squares,and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship.The ARDL Bounds and Johansen Cointegration test results show that,dynamically,both prices are significantly related to each other.The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs.Additionally,the same results are corroborated by the impulse response where all variables respond negatively to each other. 展开更多
关键词 stock price Interest rates COINTEGRATION ARDL VAR
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Study on Long-Term Generation Expansion Planning upon the LNG Price Fluctuations
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作者 Min-Chul Kim Soon-Hyun Hwang +1 位作者 Seok-Man Han Balho. H. Kim 《Energy and Power Engineering》 2013年第4期1032-1036,共5页
About 37% of South Korea’s greenhouse gas emission is from electricity generation. Most of the country’s electric power is fundamentally generated by nuclear, thermal and LNG facilities. And LNG, of them, is charact... About 37% of South Korea’s greenhouse gas emission is from electricity generation. Most of the country’s electric power is fundamentally generated by nuclear, thermal and LNG facilities. And LNG, of them, is characterized to require high cost for power generation but CO2 coefficient is lower than thermal generation. Amid the ongoing global efforts to tackle global warming, shale gas introduction and changing global environment, LNG prices are expected to fluctuate. Against this backdrop, this paper seeks to perform scenario tests on LNG fuel cost fluctuation and examine its long-term effects on generation expansion planning. 展开更多
关键词 LNG SHALE Gas Generation EXPANSION Planning price fluctuation
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