CN110189227A - Insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network - Google Patents

Insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network Download PDF

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Publication number
CN110189227A
CN110189227A CN201910472187.8A CN201910472187A CN110189227A CN 110189227 A CN110189227 A CN 110189227A CN 201910472187 A CN201910472187 A CN 201910472187A CN 110189227 A CN110189227 A CN 110189227A
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China
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principal component
insider trading
data set
neural network
component analysis
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CN201910472187.8A
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Inventor
邓尚昆
王晨光
李冬艳
曹成航
南博阳
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China Three Gorges University CTGU
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China Three Gorges University CTGU
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    • GPHYSICS
    • G06COMPUTING; CALCULATING OR COUNTING
    • G06FELECTRIC DIGITAL DATA PROCESSING
    • G06F18/00Pattern recognition
    • G06F18/20Analysing
    • G06F18/21Design or setup of recognition systems or techniques; Extraction of features in feature space; Blind source separation
    • G06F18/213Feature extraction, e.g. by transforming the feature space; Summarisation; Mappings, e.g. subspace methods
    • G06F18/2135Feature extraction, e.g. by transforming the feature space; Summarisation; Mappings, e.g. subspace methods based on approximation criteria, e.g. principal component analysis
    • GPHYSICS
    • G06COMPUTING; CALCULATING OR COUNTING
    • G06FELECTRIC DIGITAL DATA PROCESSING
    • G06F18/00Pattern recognition
    • G06F18/20Analysing
    • G06F18/24Classification techniques
    • G06F18/241Classification techniques relating to the classification model, e.g. parametric or non-parametric approaches
    • GPHYSICS
    • G06COMPUTING; CALCULATING OR COUNTING
    • G06QINFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

The insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network that the invention discloses a kind of obtains the principal component of the characteristic index collection of insider trading using principal component analysis dimensionality reduction;Insider trading neural network recognization model is constructed, is trained using principal component data set;Obtain test target, using the principal component data set of test target as the input of neural network recognization model, through neural network recognization model obtain whether the result of insider trading.The present invention is modeled using elastic reverse transmittance nerve network for the non-linear relation of insider trading and characteristic index, neural network model is trained using the related data of securities market, the elastic back propagation artificial neural network model of foundation can the insider trading to securities market accurately identified.

Description

Insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network
Technical field
The invention belongs to Securities Market Regulation fields, and in particular to one kind is based on principal component analysis and backpropagation neural network The insider trading discriminating conduct of network.
Background technique
With the continuous development of China's securities market, panoramic swindle also generates therewith.And it is wherein interior Curtain trading activity quantity is larger, makes a very bad impression to security justice of exchange.The increasingly diversification of insider trading main body composition, its friendship Easy form has the characteristics that diversification, hiddenization, and supervision department is made to be difficult efficiently to be rapidly performed by accurately identifying for insider trading. In China stock market insider trading case, rearrangement of assets type insider trading quantity accounting is larger, caused by negatively affect Also larger.The insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network that the invention proposes a kind of.
Principal Component Analysis PCA (Principal Component Analysis) is a kind of linear dimension reduction method, it is special Not Shi He sample data concentrate include more feature, and there is a situation where between these features each other redundancy correlation.It is main at Point analytic approach can represent the main feature component of the main variation of primitive character collection by the way that feature set is reduced into sub-fraction, come Realize mapping of the high dimensional data to low-dimensional data space.
Elastic reverse transmittance nerve network is the error feedback learning network based on local auto-adaptive adjustable strategies.It is elastic anti- Changed to the back-propagation algorithm of Propagation Neural Network according to error energy functional gradient and assigns weight with offset individually to adjust Synchronizing is long.Compared with using the standard BP of global adaptation strategy (feedforward reverse neural network) algorithm, which does not use biography for this System error gradient size feedback system, but by error in reading gradient signs, the step-length adjustable strategies of variation, stablize independently The weight and deviation for adjusting each layer of network, since didactic training mode is utilized in elastic reverse transmittance nerve network algorithm, And the adaptivity of network parameter is high, so that algorithm while reducing network convergence time, reduces operator by not Disconnected test obtains the program of optimal value.
Summary of the invention
It is larger the purpose of the present invention is being directed to the rearrangement of assets type insider trading quantity of securities market, market is caused badly It influences and is not easy identified problem, provide a kind of based on principal component analysis and the insider trading of reverse transmittance nerve network discrimination Method filters out the principal component of rearrangement of assets type insider trading correlated characteristic index, to the insider trading of rearrangement of assets type and feature The non-linear relation of index is modeled, and the insider trading identification model of foundation can carry out the insider trading of securities market efficient And it accurately distinguishes.
The technical scheme is that the insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network, Include the following steps,
Step 1: obtaining the rearrangement of assets type insider trading sample data set under the different time window phase;
Step 2: using principal component analysis dimensionality reduction, obtain the principal component of characteristic index collection and the number of principal components of sample data set According to collection;
Step 3: building insider trading neural network recognization model is trained using principal component data set;
Step 4: obtaining test target, handled and surveyed according to data set of the principal component of characteristic index collection to test target Try the principal component data set of target;
Step 5: using the principal component data set of test target as the input of neural network recognization model, knowing through neural network Other model show whether policy goals are identified as insider trading;
Step 6: whether subsequent supervision verifying recognition result is correct;
Step 6.1: if recognition result is correct, thening follow the steps 8;
Step 6.2: if recognition result is incorrect, thening follow the steps 7;
Step 7: sample data set is added by test target data set and with the presence or absence of the result of insider trading, and training is more New neural network recognization model;
Step 8: judging whether there is next test target;
Step 8.1: if there is next test target, thening follow the steps 4;
Step 8.2: if terminating without next test target.
Further, the neural network is elastic reverse transmittance nerve network.
Further, in the step 2 of the insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network, The principal component analysis dimensionality reduction determines number of principal components using Kaiser standard, i.e. principal component of the selection variance greater than 1 is as most Mode input data set after final decline dimension.
Further, in the step 3 of the insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network, The training method of elastic reverse transmittance nerve network, includes the following steps,
Step 1: initialization neural network parameter, to each weight assign initial change value, setting accelerated factor, deceleration because Son, the weight variation upper limit, weight change lower limit, setting study number;
Step 2: to learning, calculate and save each layer error energy functional gradient before neural network;
Step 3: calculating the error criterion of excitation output and desired output vector;
Step 4: whether error in judgement index is less than setting index;
Step 4.1: if error criterion is less than setting index, thening follow the steps 9;
Step 4.2: if error criterion thens follow the steps 5 not less than setting index;
Step 5: judging to learn whether number reaches setting number;
Step 5.1: if study number reaches setting number, thening follow the steps 9;
Step 5.2: if study number does not reach setting number, thening follow the steps 6;
Step 6: calculating network variable element to the first-order partial derivative of network error, and calculate power updated value;
Step 7: calculating the adjustment amount of network variable element;
Step 8: network variable element being adjusted, step 2 is executed;
Step 9: terminating training, save neural network weight and offset.
For the marketing enterprises sample that rearrangement of assets occurs, the present invention provides one kind to be passed based on principal component analysis and reversely The insider trading discriminating conduct for broadcasting neural network, using Principal Component Analysis filter out insider trading correlated characteristic index it is main at Point, it is modeled using elastic reverse transmittance nerve network for the non-linear relation of insider trading and characteristic index, utilizes security city The related data of field is trained model, and the elastic back propagation artificial neural network model of foundation can carry out assets to securities market Whether the enterprise of recombination occurs the discrimination of insider trading progress efficiently and accurately.
Detailed description of the invention
Present invention will be further explained below with reference to the attached drawings and examples.
Fig. 1 is the flow chart of the insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network.
Fig. 2 is the structural schematic diagram of elastic reverse transmittance nerve network.
Fig. 3 is the flow chart of the training method of elastic reverse transmittance nerve network.
Specific embodiment
As shown in Figure 1, the insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network, including accept Step, step 1: obtaining the corresponding difference of stock sample that insider trading occurs during rearrangement of assets that stock supervisory committee announces Securities market Microscopic Indexes, Corporate Finance and improvement index under event time window phase;Obtain the different event time window phase Under insider trading sample data set;
Step 2: carrying out the dimensionality reduction of characteristic using principal component analytical method, obtain the principal component and sample of characteristic index collection The principal component data set of notebook data collection;
Step 3: building insider trading neural network recognization model is trained using principal component data set;
Step 4: obtaining test target, handled and surveyed according to data set of the principal component of characteristic index collection to test target Try the principal component data set of target;
Step 5: using the principal component data set of test target as the input of neural network recognization model, knowing through neural network Other model obtain whether the result of insider trading;
Step 6: whether the recognition result of subsequent verifying model is correct;
Step 6.1: if recognition result is correct, thening follow the steps 8;
Step 6.2: if recognition result is incorrect, thening follow the steps 7;
Step 7: by test target data set and whether sample data set is added in the result of insider trading, and training updates this Invent the identification model of the combination principal component analysis proposed and elastic reverse transmittance nerve network;
Step 8: judging whether there is next test target;
Step 8.1: if there is next test target, thening follow the steps 4;
Step 8.2: if terminating without next test target.
The principal component analysis of step 2 in insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network Method uses orthogonal transformation by the Feature Conversion being relative to each other for principal component, to determine variance trend using these principal components, Principal Component Analysis specifically includes following steps,
Step 1: calculating average vectorWherein xiIndicate the feature of i-th of sample point, n is total of sample Number;
Step 2: calculating covariance matrix
Step 3: calculating feature vectorAnd corresponding characteristic value;
Step 4: k feature vector before sorting and selecting to feature vector;
Step 5: one d × k dimensional feature vector matrix U of building, d are the original number of dimensions of feature in data set, and k is characterized The quantity of vector;
Step 6: according to equation y=UTData sample is converted to new subset by x.
In principal component analysis, characteristic value is equal to the variance corresponded in dimension on the coordinate of data after rotation, big It is small to represent corresponding feature vector after matrix orthogonalization the percentage contribution of entire matrix is usually described with characteristic value The information content for including in character pair vector direction, and the ratio between a certain characteristic value and all characteristic values then represent this feature vector Variance contribution ratio, i.e., the ratio of the information content contained under the dimension.In this example, it is calculated in each data set first Then the corresponding variance of each principal component chooses principal component of the variance greater than 1 as the data set after principal component dimensionality reduction again The final mask input data set arrived.
Elastic reverse transmittance nerve network algorithm abbreviation RPROP (Resilient backpropagation) algorithm, also known as For elastic BP (feedforward reverse neural network) algorithm.This is that one kind realizes that batch processing has tutor in Multilayer Feedforward Neural Networks training The local auto-adaptive learning algorithm of habit.Elastic reverse transmittance nerve network algorithm is different from BP and calculates when being adjusted to network It is that it will be adjusted network by the way that one " power updated value Δ " is in addition arranged in place of method algorithm, and network weight is repaired Positive value delta w is then calculated by power updated value Δ, to avoid the inherent limitation of basic BP algorithm.
For elastic reverse transmittance nerve network as shown in Fig. 2, comprising input layer, hidden layer, output layer, X is input vector, C For output response vector, W is that input layer implies weight matrix, and V is hidden layer to output layer weight matrix.
The objective function of neural network is output layer error energy function:
Y is desired output vector in formula.
As shown in figure 3, the training method of elastic reverse transmittance nerve network, includes the following steps,
Step 1: initialization neural network parameter assigns initial value Δ (0) to each weight, accelerated factor η is arranged+, subtract Fast factor η-, weight change upper limit Δmax, variation lower limit Δmin, and set study number;
Step 2: to learning, calculate and save each layer error energy functional gradient before neural network;
Step 3: calculating the error criterion of excitation output and desired output vector;
Step 4: whether error in judgement index is less than setting index;
Step 4.1: if error criterion is less than setting index, thening follow the steps 9;
Step 4.2: if error criterion thens follow the steps 5 not less than setting index;
Step 5: judging to learn whether number reaches setting study number;
Step 5.1: if study number reaches setting study number, thening follow the steps 9;
Step 5.2: if study number does not reach setting study number, thening follow the steps 6;
Step 6: calculating network variable element to the first-order partial derivative of network error, and calculate power updated value;
Step 7: calculating the adjustment amount of network variable element;
Step 8: network variable element being adjusted, step 2 is executed;
Step 9: terminating training, save neural network weight and offset.
In the step 6 of the training method of elastic reverse transmittance nerve network, calculating network variable element misses network first The first-order partial derivative of difference, then calculate power updated value.Wherein, the calculation formula for weighing updated value is as follows:
Wherein, E is error function, and Δ w represents the correction value of network weight, and Δ representation updated value, t is frequency of training. Elastic reverse transmittance nerve network algorithm uses batch processing training method,For all moulds on the t times training set when trained Formula corresponds to the sum of adding up for gradient, and i, j respectively indicate j-th of node of i-th of node of input layer and hidden layer, η+Increase for power updated value Big multiple;η-Reduce multiple for power updated value;T is frequency of training.Wherein, 0 < η-1 < η of <+
In step 7, the calculation formula of the adjustment amount of network variable element is as follows:
Wherein t is frequency of training.Elastic reverse transmittance nerve network algorithm uses batch processing training method,For t All modes when secondary trained on training set correspond to the sum of adding up for gradient, and i, j respectively indicate i-th of node of input layer and hidden layer J-th of node.
In step 8, to network variable element wijThe calculation formula being adjusted is as follows:
In embodiment, inside story occurs during rearrangement of assets between acquisition stock supervisory committee announces first 2001 to 2015 years and hands over Easy stock sample is 41 total.
It is more comprehensive in terms of subsidiary company equity structure, financial data, improvement system and securities market Microscopic respectively 26 characteristic indexs must be calculated or have chosen, as shown in Table 1.
One characteristic index table of table
With with same type inside news sensitive event, same industry, the same time, to be not affected by punishment former to choose The white sample then chosen and insider trading stock sample equivalent amount occurs.
Using Principal Component Analysis dimensionality reduction by characteristic index data normalization.Event time window phase was 30 day of trade Insider trading characteristic index data set obtains 9 principal components, event time window phase after carrying out Principal Component Analysis dimension-reduction treatment To obtain 9 principal components after the insider trading characteristic index data set progress Principal Component Analysis dimension-reduction treatment of 60 day of trade, Event time window phase is after the insider trading characteristic index data set of 90 day of trade carries out Principal Component Analysis dimension-reduction treatment Obtain 10 principal components.
In order to detect recognition effect of the insider trading discriminating conduct proposed by the present invention on unknown stock sample, will be received The data set of collection is in training set: forecast set=6:4 ratio is divided into training set and forecast set, trains a packet using training set Include three layers of elastic back propagation artificial neural network model of a hidden layer.The network of multiple hidden layers is although be easier to learn, but be easier to In sunken people's local minimum, after comprehensively considering, the present embodiment is using three layers with a hidden layer i.e. neural network.So Afterwards, the recognition detection of insider trading is carried out as the test input of elastic back propagation artificial neural network model using forecast set.
Insider trading totality recognition correct rate when event time window phase was 30 day of trade is 75.76%, such as table Shown in two.
Two event time window phase of table is the insider trading recognition result table of 30 day of trade
Event time window phase is that the insider trading totality recognition correct rate of 60 day of trade is 72.73%, such as three institute of table Show.
Three event time window phase of table is the insider trading recognition result table of 60 day of trade
Event time window phase is that the insider trading totality recognition correct rate of 90 day of trade is 84.85%, such as four institute of table Show.
Four event time window phase of table is the insider trading recognition result table of 90 day of trade
Finally, the method for the present invention is compared in the case where event time window phase is set as 30,60,90 days respectively and is not carried out The insider trading discrimination of the elastic reverse transmittance nerve network method of principal component analysis, as shown in Table 5.It can find, at three kinds There is the insider trading discrimination of elastic reverse transmittance nerve network under the time window phase, after progress principal component analysis significantly mentions It is high.
The insider trading recognition result contrast table of two methods under five or three kinds of event time window phases of table

Claims (3)

1. the insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network, which is characterized in that including following Step,
Step 1: obtaining the insider trading sample data set under the different time window phase;
Step 2: using principal component analysis dimensionality reduction, obtain the principal component of characteristic index collection and the number of principal components evidence of sample data set Collection;
Step 3: building insider trading neural network recognization model is trained using principal component data set;
Step 4: obtaining test target, handled to obtain test mesh according to data set of the principal component of characteristic index collection to test target Target principal component data set;
Step 5: using the principal component data set of test target as the input of neural network recognization model, through neural network recognization mould Type obtain whether the result of insider trading;
Step 6: whether subsequent supervision verifying recognition result is correct;
Step 6.1: if recognition result is correct, thening follow the steps 8;
Step 6.2: if recognition result is incorrect, thening follow the steps 7;
Step 7: by test target data set and whether sample data set is added in the result of insider trading, and training updates nerve net Network identification model;
Step 8: judging whether there is next test target;
Step 8.1: if there is next test target, thening follow the steps 4;
Step 8.2: if terminating without next test target.
2. the insider trading discriminating conduct according to claim 1 based on principal component analysis and reverse transmittance nerve network, It is characterized in that, the neural network is elastic reverse transmittance nerve network.
3. the insider trading discrimination side according to claim 1 or 2 based on principal component analysis and reverse transmittance nerve network Method, which is characterized in that in step 2, the principal component analysis dimensionality reduction chooses the biggish principal component of variance contribution degree so that it is determined that main Ingredient number.
CN201910472187.8A 2019-05-31 2019-05-31 Insider trading discriminating conduct based on principal component analysis and reverse transmittance nerve network Pending CN110189227A (en)

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Cited By (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN110837856A (en) * 2019-10-31 2020-02-25 深圳市商汤科技有限公司 Neural network training and target detection method, device, equipment and storage medium
CN110956543A (en) * 2019-11-06 2020-04-03 上海应用技术大学 Method for detecting abnormal transaction

Cited By (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN110837856A (en) * 2019-10-31 2020-02-25 深圳市商汤科技有限公司 Neural network training and target detection method, device, equipment and storage medium
CN110956543A (en) * 2019-11-06 2020-04-03 上海应用技术大学 Method for detecting abnormal transaction

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