基于QPSO的证券市场ARCH模型实证研究

文章针对ARCH模型参数传统估计方法的不足,提出了利用量子粒子群算法的改进算法,并利用此算法实证建立了美国证券市场道琼斯指数收益的ARCH模型,更加精确地动态度量了证券市场收益序列的条件“异方差”,进行了指数走势预测。     

基于PSO的证券市场ARCH模型实证研究

利用粒子群及其改进算法，快速精确地估计ARCH模型的参数，动态地度量描述证券市场收益序列的条件异方差；并利用算法建立美国证券市场道琼斯指数收益的ARCH模型，进行了走势预测。得到了大致跟随指数的实际走势的预测值，说明ARCH模型确实能够描述证券市场的“异方差”现象。     

基于QPSO的上证指数ARCH模型

介绍一种利用量子行为粒子群算法(QPSO)建立上证指数收益的 ARCH模型，利用不同的算法精确地估计模型中的参数，验证QPSO算法的优越性。利用得到的估计模型对指数收益进行预测，得到大致跟随指数实际走势的预测值。试验结果表明，QPSO算法比粒子群算法、遗传算法能更好地解决此类问题。     

基于混合微粒群算法的说话人识别

为了解决传统高斯混合模型(GMM)对初值敏感,在实际训练中极易得到局部最优参数的问题,提出了一种采用微粒群算法优化GMM参数的新方法。该方法将最大似然估计融入到微粒群算法迭代过程中,形成了新的混合算法。它利用微粒群算法的全局优化性及最大似然估计的局部寻优性求解高斯混合模型的参数,以提高参数精度。说话人辨认实验表明,与传统的方法相比,新方法可以得到更优的模型参数,使得系统的识别率进一步提高。     

粒度母体混合分布的微粒群算法研究

针对粒度母体混合分布识别中参数优化求解问题,为进一步提高识别效率,利用一种改进的微粒群算法对粒度母体混合分布的参数进行优化。方法通过设置检验值,判断算法是否陷入局部最优解,并让陷入局部最优的粒子进入下一次迭代,避免微粒群算法在搜索过程中陷入局部最优的缺陷问题。在仿真实验部分,将方法估计的高斯混合模型的参数与迭代EM算法估计的模型参数做比较,结果表明,得到的模型参数接近真实的分布,使得粒度母体混合分布的识别率进一步提高。     

多阶段多模型的改进微粒群优化算法

针对微粒群优化算法在解决复杂优化问题时易于出现早熟收敛现象,提出了一种多阶段多模型的改进微粒群优化算法。考虑寻优不同阶段的开发与探测能力需求的差异,算法将寻优过程分成3个阶段,各阶段采用不同的模型进行进化。第一阶段利用标准微粒群优化算法发现局部极值的邻域;第二阶段利用Cognition Only模型快速找到局部极值点,提高寻优效率;第三阶段,提出了一种改进的进化模型,利于粒子快速跳出局部极值点,寻找到全局最优点。4种复杂测试函数的实验结果表明：该算法比标准微粒群优化算法（PSO）和基于不同进化模型的两群优化算法（TSE-PSO）更容易找到全局最优解,相比两群微粒群优化算法,还能在一定程度上提高优化效率。     

基于BSP并行计算模型的并行微粒群算法

在对标准微粒群算法分析的基础上,将它与BSP并行计算模型相结合,设计并实现了一种基于BSP并行计算模型的并行微粒群算法.这种基于BSP并行计算模型的并行微粒群算法改变了标准微粒群算法的结构,提高了算法求解效率.实验结果表明,该并行算法的性能比标准微粒群算法有了很大的提高.     

改进PSO在AGV系统路径优化调度中的应用研究

在考虑AGV输送系统与堆垛机联合优化的基础上提出综合影响因子,针对AGV载重和运送货箱体积限定问题建立AGV路径优化模型,利用改进的量子微粒群算法实现,克服了微粒群和量子微粒群算法容易陷入局部最优的缺点。通过实例仿真表明优化模型的可行性及改进算法的有效性。     

一种求解随机期望值模型的有效算法

随机期望值模型是一类有着广泛应用背景的随机规划问题.为了寻找更为有效的求解随机期望值模型的算法,通过采用随机仿真来逼近随机函数,在微粒群算法中利用随机仿真进行适应值估计和实现为了检验解的可行性,从而给出了求解随机期望值模型的新的算法.最后,通过实例仿真说明了算法的正确性和有效性.     

小世界模型的个体决策微粒群算法

微粒群算法是一种模拟动物行为的群智能优化算法.由于微粒(个体)在不同环境中生存与觅食,积累了不同的经验,因此不同个体在觅食或者其他行为中会做出不同的决策,但是这种决策机制在标准微粒群算法中并没有体现出来.微粒在决策时会考虑周围其它粒子的信息,因此本文通过引入个体决策机制与小世界模型的邻域结构来改进微粒群算法,同时利用李雅普诺夫稳定性理论对改进的算法进行稳定性分析,并给出相应的参数选择方式.在改进的微粒群算法中,微粒被周围理想微粒的位置和群体最优位置所吸引,改变了传统微粒群算法只被群体最优位置吸引的弊端.对常用的几个测试函数进行仿真,与其它两种改进的微粒群算法相比,结果表明该算法有更好的性能.     

On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

We consider a general multivariate conditional heteroskedastic model under a conditional distribution that is not necessarily normal. This model contains autoregressive conditional heteroskedastic (ARCH) models as a special class. We use the pseudo maximum likelihood estimation method and derive a new estimator of the asymptotic variance matrix for the pseudo maximum likelihood estimator. We also study four special cases in this class, which are conditional heteroskedastic autoregressive moving-average models, regression models with ARCH errors, models with constant conditional correlations, and ARCH in mean models.     

ARCH模型的研究与探讨

自回归条件异方差(ARCH)模型是近年来新发展起来的时间序列模型,它反映了随机 过程的一种特殊特性：即方差随时间变化而变化,且具有丛集性、波动性．ARCH模型已广泛 地应用于经济领域的建模及研究过程中．本文介绍了ARCH模型的特点,它的参数估计和检验 ,以及ARCH模型的发展情况．     

Estimating the generalized autoregression model parameters for unknown noise distribution

We solve the problem of estimating the autoregressive parameters of a nonlinear stable stochastic process with discrete time of the AR(p)/ARCH(p) type with unknown ARCH(p) process parameters. For the AR(1)/ARCH(1) model, we solve the estimation problem for all unknown process parameters, i.e., the autoregression parameter and two parameters of the noise process ARCH(1). We assume that the noise distributions are unknown. We show that the least square estimates are strongly consistent.     

Testing for multivariate autoregressive conditional heteroskedasticity using wavelets

Test statistics for autoregressive conditional heteroskedasticity (ARCH) in the residuals from a possibly nonlinear and dynamic multivariate regression model are considered. The new approach is based on estimation of the multivariate spectral density of squared and cross-residuals. A simple wavelet-based spectral density estimator is advocated, which is a particularly suitable analytic tool when the spectral density exhibits peaks or kinks that may arise from strong cross-dependence, seasonal patterns and other forms of periodic behaviors. In several circumstances, the spectral density may have peaks at various frequencies, such as seasonal frequencies, and the wavelet method may capture them effectively. Compared to kernel-based test statistics for multivariate ARCH effects, the weighting scheme offered by the new wavelet-based test statistics differs in several important aspects. An asymptotic analysis under the null hypothesis of no ARCH effects shows that the wavelet-based test statistic converges in distribution to a convenient standard normal distribution. Under fixed alternatives, the consistency of the wavelet-based test statistics is established in a class of static regression models with uncorrelated but dependent errors. In a Monte Carlo study comparisons are made under various alternatives between the proposed wavelet-based test statistics, the kernel-based test statistics for ARCH effects, and several popular portmanteau test statistics for ARCH effects available in the literature.     

Diagnostic checking integer-valued ARCH models using conditional residual autocorrelations

Time series of counts are commonly observed in real-world applications. The integer-valued ARCH(p) models are able to describe integer-valued processes and offer the potential to be widely applied in practice in future. This paper develops an asymptotic theory for (partial) autocorrelations of the conditional residuals from the integer-valued ARCH(p) model. Based on the above results, we propose five portmanteau test statistics, which are very useful in checking the adequacy of a fitted integer-valued ARCH specification. The asymptotic distributions of the statistics are derived and their finite sample properties are studied in detail through Monte Carlo simulations. Finally, we illustrate the results analyzing two empirical examples.     

An Automated Investing Method for Stock Market Based on Multiobjective Genetic Programming

Stock market automated investing is an area of strong interest for the academia, casual, and professional investors. In addition to conventional market methods, various sophisticated techniques have been employed to deal with such a problem, such as ARCH/GARCH predictors, artificial neural networks, fuzzy logic, etc. A computational system that combines a conventional market method (technical analysis), genetic programming, and multiobjective optimization is proposed in this work. This system was tested in six historical time series of representative assets from Brazil stock exchange market (BOVESPA). The proposed method led to profits considerably higher than the variation of the assets in the period. The financial return was positive even in situations in which the share lost market value.     

Modelling time-varying higher moments with maximum entropy density

Since the introduction of the Autoregressive Conditional Heteroscedasticity (ARCH) model of Engle [R. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50 (1982) 987–1007], the literature of modelling the conditional second moment has become increasingly popular in the last two decades. Many extensions and alternate models of the original ARCH have been proposed in the literature aiming to capture the dynamics of volatility more accurately. Interestingly, the Quasi Maximum Likelihood Estimator (QMLE) with normal density is typically used to estimate the parameters in these models. As such, the higher moments of the underlying distribution are assumed to be the same as those of the normal distribution. However, various studies reveal that the higher moments, such as skewness and kurtosis of the distribution of financial returns are not likely to be the same as the normal distribution, and in some cases, they are not even constant over time. These have significant implications in risk management, especially in the calculation of Value-at-Risk (VaR) which focuses on the negative quantile of the return distribution. Failed to accurately capture the shape of the negative quantile would produce inaccurate measure of risk, and subsequently lead to misleading decision in risk management. This paper proposes a solution to model the distribution of financial returns more accurately by introducing a general framework to model the distribution of financial returns using maximum entropy density (MED). The main advantage of MED is that it provides a general framework to estimate the distribution function directly based on a given set of data, and it provides a convenient framework to model higher order moments up to any arbitrary finite order k. However this flexibility comes with a high cost in computational time as k increases, therefore this paper proposes an alternative model that would reduce computation time substantially. Moreover, the sensitivity of the parameters in the MED with respect to the dynamic changes of moments is derived analytically. This result is important as it relates the dynamic structure of the moments to the parameters in the MED. The usefulness of this approach will be demonstrated using 5 min intra-daily returns of the Euro/USD exchange rate.     

GARCH dependence in extreme value models with Bayesian inference

Extreme value methods are widely used in financial applications such as risk analysis, forecasting and pricing models. One of the challenges with their application in finance is accounting for the temporal dependence between the observations, for example the stylised fact that financial time series exhibit volatility clustering. Various approaches have been proposed to capture the dependence. Commonly a two-stage approach is taken, where the volatility dependence is removed using a volatility model like a GARCH (or one of its many incarnations) followed by application of standard extreme value models to the assumed independent residual innovations.This study examines an alternative one stage approach, which makes parameter estimation and accounting for the associated uncertainties more straightforward than the two-stage approach. The location and scale parameters of the extreme value distribution are defined to follow a conditional autoregressive heteroscedasticity process. Essentially, the model implements GARCH volatility via the extreme value model parameters. Bayesian inference is used and implemented via Markov chain Monte Carlo, to permit all sources of uncertainty to be accounted for. The model is applied to both simulated and empirical data to demonstrate performance in extrapolating the extreme quantiles and quantifying the associated uncertainty.