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The Application of the Wavelet Neural Networks in the Equity Warrant Market of China

Author: XiaDong
Tutor: ChaiJun
School: East China Normal University
Course: Applied Mathematics
Keywords: Warrants Price Equity warrants Wavelet Neural Network Simulation The steepest descent method Momentum term
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 78
Quote: 2
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Abstract


China on August 22, 2005 , to re-establish the warrants market , because the system is not perfect , investors lack of detailed understanding of the theory of the warrants , resulting in the warrants market in China is more chaotic . Blind speculation increased investor risk , if we can simulate the the warrants price trend in the coming period , it is possible to provide a basis for the investment decisions of investors , and is conducive to the reduction of risk and market stability . The assumptions of the Black-Scholes model is inconsistent with the actual theory by the Black-Scholes model prices are often far from the actual market price , and therefore need to establish a hypothesis is relatively weak model to simulate the warrants price movements . Nonlinear neural networks , self-organization , self - learning ability , self-regulating , and provides us with a powerful tool for the simulation . In this paper, wavelet neural network theory developed in recent years , using the Morlet wavelet function as the hidden layer activation function , LMS (Least Mean Square) energy function as the error function . Additional momentum method to train the network in stages to adjust the gradient and momentum coefficient , the establishment of a wavelet neural network simulation of warrants market empirical simulation and SAIC CWB1 , compared wavelet neural network with traditional Warrant Price of the Black-Scholes model with the deviation of the actual market price , come to the conclusion of the wavelet neural network in analog warrants the price is better than the traditional Black-Scholes model .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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