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A Novel Grey Relation Method with Analytic Hierarchy Process for Stock Selection 基于层次分析法的灰色关联选股新方法
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2008-06-01 DOI: 10.30016/JGS.200806.0005
Kuo-Yen Lo
This paper presents a multiple criteria decision support approach in order to build a ranking and suggest a best choice1 on a set of alternatives. The decision of how to choose a group of optimal stocks in the stock market is a basic problem in the stock investment process. This research describes a AHP (analytic hierarchy process) to determine the weighting of subjective judgments and a synthetic evaluation system is proposed on the basis of a novel grey multi-hierarchy decision method to select stocks based on their qualitative and quantitative data. The developed tool can be used for in depth analysis of the stock market. First, Analytic hierarchy process (AHP) is using for the decision of weight of multi-hierarchy and multi-facto. Second, fuzzy set theory is used to deal with quantification of qualitative data. Third, the general selection method selects the optimal value or the idealized value from these original data values as the reference data values. Finally, a novel grey relational coefficient calculated reflects the relational degree between single data and reference data. The order of grey relational grades of the aim layer is just the superior and inferior sequence of these stocks. Then the evaluation system is applied to an example. The results show that the evaluation system can overcome the errors of expert's subjective judgment.
本文提出了一种多标准决策支持方法,以便在一组备选方案中建立排名并提出最佳选择。如何在股票市场中选择一组最优股票是股票投资过程中的一个基本问题。本文采用层次分析法确定主观判断的权重,并提出了一种基于定性和定量数据的灰色多层次决策方法的综合评价体系。所开发的工具可用于股票市场的深入分析。首先,采用层次分析法(AHP)确定多层次、多事实的权重。其次,利用模糊集合理论对定性数据进行量化处理。第三,一般选择方法是从这些原始数据值中选择最优值或理想值作为参考数据值。最后,计算出一种新的灰色关联系数,反映了单个数据与参考数据之间的关联度。目标层的灰色关联度排序正是这些股票的优、劣序。并将该评价体系应用于实例。结果表明,该评价体系能够克服专家主观判断的误差。
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引用次数: 3
The Development of GM (1,1) Error Toolbox Based on C Language 基于C语言的GM(1,1)错误工具箱的开发
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2008-06-01 DOI: 10.30016/JGS.200806.0002
Yi-Fung Huang, Mei-Li You, Kun-Li Wen
In the prediction research, the main purpose is to minimize the prediction error; however, the goals cannot be fulfilled completely. Even we choose GM (1,1) model, we also need to minimize the prediction error. Hence, in this paper, we first focus on the influence parameter α in GM (1,1) model, then, analyze the characteristics of α step by step. Second, we give up the α=0.5 method, and use numerical method to find the prediction error corresponding with α value and plot the figure of the function of error. Third, for massive data testing, they show that the minimum prediction error does not occur at α=0.5, even not nearly by α=0.5. Fourth, the average prediction error for which the Class Ratio test are fail is sufficient larger than the average prediction error for which the Class Ratio test pass. Finally, after the mathematics model has been presented; we also develop a toolbox, which based on C language to assist us to implement our approach. Consequently, we conclude that the value of α is adaptive in the interval of [0,1] in GM (1,1) model.
在预测研究中,主要目的是使预测误差最小化;然而,这些目标不可能完全实现。即使我们选择GM(1,1)模型,我们也需要最小化预测误差。因此,本文首先研究GM(1,1)模型中的影响参数α,然后逐步分析α的特征。其次,放弃α=0.5的方法,采用数值方法求出与α值相对应的预测误差,并绘制误差函数图。第三,对于大量数据测试,他们表明最小预测误差不会发生在α=0.5,甚至不接近α=0.5。第四,类比测试失败的平均预测误差足够大于类比测试通过的平均预测误差。最后,在给出了数学模型之后;我们还开发了一个基于C语言的工具箱来帮助我们实现我们的方法。由此得出,在GM(1,1)模型中,α值在[0,1]区间内是自适应的。
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引用次数: 1
A Further Optimization in an Optimized Grey GM (1, 1) Model 灰色GM(1,1)优化模型的进一步优化
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2008-06-01 DOI: 10.30016/JGS.200806.0006
Huan-Bin Xue, Yong Wei
This paper analyzes the reason why there is a error in an optimized GM (1,1) based on connotation expression, though it has improved the modeling precision greatly. Then put forward a solution method for this reason, and obtain a new GM (1,1) model which improves the model precision further. The new model has been proven strictly to have the property of white exponential law coincident, so it not only to be suitable for the low growth sequence, but also suitable for the high growth sequence. Through simulation to a large number of data and comparing with the original GM (1,1) model and the optimized GM (1,1) model based on connotation expression, we discovered that the new optimized model in this paper has a very high simulation and forecasting precision.
本文分析了基于内涵表达的优化GM(1,1)模型存在误差的原因,尽管该模型大大提高了建模精度。然后针对这一问题提出了求解方法,得到了新的GM(1,1)模型,进一步提高了模型精度。新模型严格地证明了白指数律重合的性质,因此它不仅适用于低增长序列,也适用于高增长序列。通过对大量数据的仿真,并与原GM(1,1)模型和基于内涵表达的优化GM(1,1)模型进行比较,发现本文优化后的新模型具有很高的仿真和预测精度。
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引用次数: 3
Portfolio Selection of Electron Sector Stock Based on Rough Set and Grey Theory 基于粗糙集和灰色理论的电子行业股票组合选择
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2007-12-01 DOI: 10.30016/JGS.200712.0007
K. Huang, Chuen-Jiuan Jane
This paper illustrates that rough set theory (RS), allied with the use of Grey Prediction, GM(1,N), K-means and Grey Relation, can out-perform the more standard approaches that are employed in economics, such as a Probit model. This study focuses on electron sector stock to select the optimal stock portfolio out applying the financial statement datum from the New Taiwan Economy database(TEJ). Firstly, we collect relative financial ratio datum as the conditional attributes selection and then use GM(1,1) for predicting, GM(1,N) for choosing the more important conditional attributes, and rough set for figuring the best portfolio out. Finally, conduct fund weight distribution using the grey relational method to reduce the investment risk. This study will demonstrate that rough sets model is applicable to stock portfolio. The empirical result in Taiwan: During five years (2003-2007), the average annual rate of return was 20.41%, the accumulated rate of return for nine-quarter was 61.22%. The portfolio determined by the model is a promising alternative to the conventional methods for economic and financial prediction.
本文说明了粗糙集理论(RS),结合使用灰色预测,GM(1,N), K-means和灰色关联,可以胜过经济学中使用的更标准的方法,如Probit模型。本研究以电子股为研究对象,运用新台湾经济资料库(TEJ)的财务报表资料,选取最优股票组合。首先,我们收集相对财务比率数据作为条件属性选择,然后使用GM(1,1)进行预测,GM(1,N)选择更重要的条件属性,并使用粗糙集计算出最佳投资组合。最后,运用灰色关联法进行基金权重分配,降低投资风险。本研究将证明粗糙集模型适用于股票投资组合。台湾地区的实证结果:2003-2007年5年间,平均年化收益率为20.41%,9个季度累计收益率为61.22%。该模型确定的投资组合是替代传统经济金融预测方法的一种很有前景的方法。
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引用次数: 11
Evaluation of Entry Mode of Overseas Investment Using Grey Relation Method 运用灰色关联法评价境外投资进入方式
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2007-09-01 DOI: 10.30016/JGS.200709.0006
C. Kung, Chen-Kuo Lee, Chin-Ming Wang, Tzung-Ming Yan
As Vietnam has been taking active measures to improve its environment for FDI (foreign direct investment) in recent years, more and more Taiwanese manufacturers show their presence there. However, there was little empirical research devoted to industrial investment in Vietnam owing to difficult sampling and data acquisition. Meanwhile, traditional probability statistical method could not make sense in this aspect. As an innovative method, Grey Theory could help to analyze small samples from Taiwanese manufacturers in Vietnam. This paper attempted to acquire major influential dimensions and variables to the entry mode of Taiwan manufacturers, and then determine the ranking of their overall performance using Grey Situation Decision-Making method. Finally, GM(0,N) model was used to analyze the recognition degree of different manufacturers for the entry mode. It is thus learnt that different industries, such as handicraft and leather bag, have different recognition degrees on the entry mode, thus providing a reference for foreign investors.
随着越南近年来采取积极措施改善外商直接投资环境,越来越多的台湾制造商在越南开展业务。然而,由于取样和数据获取困难,对越南工业投资的实证研究很少。同时,传统的概率统计方法在这方面也无法发挥作用。作为一种创新的方法,灰色理论可以帮助分析来自越南台湾制造商的小样本。本文试图获取影响台湾制造企业进入模式的主要维度和变量,然后运用灰色情境决策方法确定其整体绩效排名。最后利用GM(0,N)模型分析不同厂商对进入模式的认可度。由此了解到,不同的行业,如手工业、皮包等,对进入方式的认可度是不同的,为外商投资提供了参考。
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引用次数: 2
Circular Data Analysis of Periodic Time Series Data Using Grey Theory 利用灰色理论对周期时间序列数据进行循环分析
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2007-09-01 DOI: 10.30016/JGS.200709.0003
J. Usuki, M. Kitaoka
Circular data can be expressed as circular diagram for time series data. This study presents the computational procedure, which made circular diagram for the data with periodicity. The method for displaying circular diagram using spline function and GM(1,1) model of the Grey Theory is developed to analyze the periodic data. In addition, the method for displaying the fluctuation of the periodic data from least squares method, GM(1,1) model and periodic spline function is shown.
对于时间序列数据,圆形数据可以表示为圆形图。本文给出了对具有周期性的数据绘制圆形图的计算过程。提出了利用灰色理论中的GM(1,1)模型和样条函数表示圆形图的方法,对周期数据进行分析。此外,给出了用最小二乘法、GM(1,1)模型和周期样条函数表示周期数据波动的方法。
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引用次数: 18
PDEMR Model in Rare Protea Count Prediction 罕见蛋白计数预测中的PDEMR模型
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2007-09-01 DOI: 10.30016/JGS.200709.0007
R. Guo, D. Guo, G. Midgley, A. Rebelo
In this paper, we merge partial differential equation model, regression model and credibility measure based fuzzy mathematics proposed by Liu into a new partial differential equation motivated regression model (abbreviated as PDEMR model). The creation of PDEMR model further extends DEMR model ideation proposed by Guo et al. Furthermore, we develop a PDEMR model for the quantitative modeling on multivariate small sample data. PDEMR models will be able to establish the quantitative relationship among the main factor vector and the covariate vectors, which is a major improvement of information extraction with sparse data availability. Finally, we apply the PDEMR model to South African rare Protea species predictions and even tune up the data set for a regional GIS kriging maps.
本文将Liu提出的偏微分方程模型、回归模型和基于可信度测度的模糊数学融合为一个新的偏微分方程动机回归模型(简称PDEMR模型)。PDEMR模型的创建进一步扩展了Guo等人提出的DEMR模型思想。在此基础上,建立了多变量小样本数据定量建模的PDEMR模型。PDEMR模型将能够建立主因子向量和协变量向量之间的定量关系,这是对具有稀疏数据可用性的信息提取的重大改进。最后,我们将PDEMR模型应用于南非稀有的Protea物种预测,甚至调整了区域GIS克里格地图的数据集。
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引用次数: 4
An Enhanced GM(1,1) Grey Prediction Approach with Error Term μ(k) 误差项μ(k)的改进GM(1,1)灰色预测方法
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2007-09-01 DOI: 10.30016/JGS.200709.0001
Kuo-Chen Hung, Fu-Yuan Hsu, Kuo-Jung Wu, Kun-Li Wen, John H. Wu
The aim of this paper is to improve the GM(1,1) predictive model that has been originally developed by Deng in 1982. It is a non-statistic prediction model with very few original data, there has been applied in different fields. However, from the original grey predictive model, we find two problems, (1) applying the GM(1,1) model to predict maybe obtained the result of decreasing trend, this result violate hypothesis of exponential increase trend, (2) the first point of original data is different with 1st point of predictive value that both exist an error term. Therefore, we improved the problem of decreasing trend and provide a newly modified model. Moreover, we proposed an enhanced GM(1,1) grey prediction approach that adopted modified error terms for each original data point mapping into each predictive point to fit the actual value. Meanwhile, in this paper, we applying this enhanced model to predict electricity demand, and comparison with Deng's prediction model, the analyzed results demonstrate the usefulness of this study.
本文的目的是对邓在1982年提出的GM(1,1)预测模型进行改进。它是一种原始数据很少的非统计预测模型,在不同的领域得到了应用。然而,从原来的灰色预测模型中,我们发现了两个问题,(1)应用GM(1,1)模型进行预测可能会得到下降趋势的结果,这一结果违背了指数增长趋势的假设;(2)原始数据的第一点与预测值的第一点不同,两者都存在误差项。因此,我们改进了递减趋势问题,提出了一个新的修正模型。此外,我们提出了一种增强的GM(1,1)灰色预测方法,该方法将每个原始数据点的修正误差项映射到每个预测点以拟合实际值。同时,本文将该增强模型应用于电力需求预测,并与Deng的预测模型进行比较,分析结果证明了本研究的有效性。
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引用次数: 5
A Kansei Expression Method Based on the Simultaneous GM with the Kansei Map 一种基于同时GM和感性图的感性表达方法
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2007-09-01 DOI: 10.30016/JGS.200709.0005
T. Akabane, D. Yamaguchi, GuoDong Li, K. Mizutani, M. Nagai
We propose the K-Model using Multi-Agent Systems (MAS) and dynamic system as a Kansei information processing model. A dynamic system has been realized by Grey Model (GM) in grey system theory. However, the output system in the conventional model was one-dimensional function. And, it was specifically insufficient to show current human emotion. In the emotion analysis system from human voice, the discrimination accuracy remains at around 60%. This paper presents a new proposal for a multi-dimensional Kansei expression method. This method is constructed from the Kansei map and the simultaneous GM. The Kansei map is a map that includes Kansei elements on a two-dimensional plane. This method is introduced into the emotion analysis system from human voice and its evaluation experiment is carried out. Moreover, a data-preprocessing method to establish the GM newly proposed. As a result of the experiment, it is possible that the discrimination accuracy is improved about 20% compared with the conventional method.
我们提出了使用多智能体系统(MAS)和动态系统作为感性信息处理模型的k模型。利用灰色系统理论中的灰色模型(GM)实现了一个动态系统。而传统模型的输出系统是一维函数。而且,它还不足以显示当前人类的情感。在人声情感分析系统中,识别准确率保持在60%左右。本文提出了一种新的多维感性表达方法。这种方法是由感性图和同时的GM构成的。感性图是一种在二维平面上包含感性元素的图。将该方法引入到人声情感分析系统中,并进行了评价实验。此外,还提出了一种新的数据预处理方法来建立GM。实验结果表明,与传统方法相比,该方法的识别精度有可能提高20%左右。
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引用次数: 4
The Optimization of Background Value in GM(1,1) Model GM(1,1)模型中背景值的优化
IF 1.6 4区 工程技术 Q4 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2007-09-01 DOI: 10.30016/JGS.200709.0002
Zhengxin Wang, Yao-guo Dang, Sifeng Liu, Jing Zhou
In this paper, we prove that discrete function with non-homogeneous exponential law is generated by accumulating the discrete function with homogeneous exponential law while discrete function with homogeneous exponential law is generated by inversely-accumulating the discrete function with non-homogeneous exponential law. Based on the error analysis of the Model GM(1,1), we use the discrete function with non-homogeneous exponential law to fit the accumulated sequence in order to propose a new method for optimizing background value in Model GM(1,1). By contrasting the optimum model to the GM one with the simulation, it can be concluded that the new model broke through the restricts of adaption coefficient and it still improved its matching and prediction precision.
本文证明了具有非齐次指数律的离散函数是由具有齐次指数律的离散函数累加得到的,而具有齐次指数律的离散函数是由具有非齐次指数律的离散函数反累加得到的。在分析GM(1,1)模型误差的基础上,利用非齐次指数律离散函数拟合累积序列,提出了GM(1,1)模型背景值优化的新方法。将最优模型与GM模型进行仿真对比,表明新模型突破了自适应系数的限制,并提高了模型的匹配精度和预测精度。
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引用次数: 25
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Journal of Grey System
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