人工知能学会第二種研究会資料
Online ISSN : 2436-5556
市場急変に対応する予測モデルの提案
古幡 征史水田 孝信曹 治平
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研究報告書・技術報告書 フリー

2010 年 2010 巻 FIN-005 号 p. 04-

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In financial markets, sudden unexpected changes occur frequently. We propose a new forecast method based on paired evaluators consisting of the stable evaluator and the reactive evaluator that is good at detecting and adapting to the consecutive market changes. We conduct a back-testing using financial data in US. The experimental results show that our method is effective and robust even against late-2000s recessions.

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