多層ニューラルネットワークとGAを用いたTOPIX運用AI
2017 年 2017 巻 FIN-019 号 p. 29-
詳細
2017 年 2017 巻 FIN-019 号 p. 29-
In This paper, we propose a construction method of an artificial intelligence for TOPIX trading. We apply a Multi-layer Neural Networks as a prediction method, and optimize to maximize the Information Ratio using GA. We also conduct a simulation using TOPIX market data from January 2014 to December 2016, showed the effectiveness of the proposed construction method from the information ratio level.
