Treffer: Price discovery of stock index with informationally-linked markets using artificial neural network.
Chinese
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by Ng Wai-Leung Anthony. ; Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. ; Includes bibliographical references (leaves 83-87). ; Abstracts in English and Chinese. ; Chapter I. --- INTRODUCTION --- p.1 ; Chapter II. --- LITERATURE REVIEW --- p.5 ; Chapter 2.1 --- The Importance of Stock Index and Index Futures --- p.6 ; Chapter 2.2 --- Importance of Index Forecasting --- p.6 ; Chapter 2.3 --- Reasons for the Lead-Lag Relationship between Stock and Futures Markets --- p.9 ; Chapter 2.4 --- Importance of the lead-lag relationship --- p.10 ; Chapter 2.5 --- Some Empirical Findings of the Lead-Lag Relationship --- p.10 ; Chapter 2.6 --- New Approach to Financial Forecasting - Artificial Neural Network --- p.12 ; Chapter 2.7 --- Artificial Neural Network Architecture --- p.14 ; Chapter 2.8 --- Evidence on the Employment of ANN in Financial Analysis --- p.20 ; Chapter 2.9 --- Hong Kong Securities and Futures Markets --- p.25 ; Chapter III. --- GENERAL GUIDELINE IN DESIGNING AN ARTIFICIAL NEURAL NETWORK FORECASTING MODEL --- p.28 ; Chapter 3.1 --- Procedure for using Artificial Neural Network --- p.29 ; Chapter IV. --- METHODOLOGY --- p.37 ; Chapter 4.1 --- ADF Test for Unit Root --- p.38 ; Chapter 4.2 --- "Error Correction Model, Error Correction Model with Short- term Dynamics, and ANN Models for Comparisons" --- p.38 ; Chapter 4.3 --- Comparison Criteria of Different Models --- p.39 ; Chapter 4.4 --- Data Analysis --- p.39 ; Chapter 4.5 --- Data Manipulations --- p.41 ; Chapter V. --- RESULTS --- p.42 ; Chapter 5.1 --- The Resulting Models --- p.42 ; Chapter 5.2 --- The Prediction Power among the Models --- p.45 ; Chapter 5.3 --- ANN Model of Input Variable Selection Using Contribution Factor --- p.46 ; Chapter VI. --- CAUSALITY ANALYSIS --- p.54 ; Chapter 6.1 --- Granger Casuality Analysis --- p.55 ; Chapter 6.2 --- Results Interpretation --- p.56 ; Chapter VII --- CONSISTENCE VALIDATION --- p.61 ; Chapter VIII --- ARTIFICIAL NEURAL NETWORK TRADING SYSTEM --- p.67 ; Chapter 7.1 --- Trading System ...