{"updated":"2025-01-22T15:58:58.981677+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00032870","sets":["1164:2735:2736:2740"]},"path":["2740"],"owner":"1","recid":"32870","title":["株式クオンツモデルでの過適合"],"pubdate":{"attribute_name":"公開日","attribute_value":"2008-05-09"},"_buckets":{"deposit":"a06ee915-9a7d-4608-a8de-e0a5603cb2e2"},"_deposit":{"id":"32870","pid":{"type":"depid","value":"32870","revision_id":0},"owners":[1],"status":"published","created_by":1},"item_title":"株式クオンツモデルでの過適合","author_link":["0","0"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"株式クオンツモデルでの過適合"},{"subitem_title":"Over Fitting on the Quants Model of Stock Prices","subitem_title_language":"en"}]},"item_type_id":"4","publish_date":"2008-05-09","item_4_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"スパークス・アセット・マネジメント株式会社運用調査部"},{"subitem_text_value":"スパークス・アセット・マネジメント株式会社運用調査部"},{"subitem_text_value":"スパークス・アセット・マネジメント株式会社運用調査部"}]},"item_4_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"Department of Investment and Research, SPARX Asset Management Co.,Ltd.","subitem_text_language":"en"},{"subitem_text_value":"Department of Investment and Research, SPARX Asset Management Co.,Ltd.","subitem_text_language":"en"},{"subitem_text_value":"Department of Investment and Research, SPARX Asset Management Co.,Ltd.","subitem_text_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/32870/files/IPSJ-MPS08069009.pdf"},"date":[{"dateType":"Available","dateValue":"2010-05-09"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-MPS08069009.pdf","filesize":[{"value":"643.9 kB"}],"mimetype":"application/pdf","priceinfo":[{"tax":["include_tax"],"price":"660","billingrole":"5"},{"tax":["include_tax"],"price":"330","billingrole":"6"},{"tax":["include_tax"],"price":"0","billingrole":"17"},{"tax":["include_tax"],"price":"0","billingrole":"44"}],"accessrole":"open_date","version_id":"aa954695-19dd-4220-8168-70d180253d52","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2008 by the Information Processing Society of Japan"}]},"item_4_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"水田, 孝信"},{"creatorName":"小林, 悟"},{"creatorName":"加藤徳史"}],"nameIdentifiers":[{}]}]},"item_4_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Takanobu, Mizuta","creatorNameLang":"en"},{"creatorName":"Satoru, Kobayashi","creatorNameLang":"en"},{"creatorName":"Tokufumi, Kato","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_4_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10505667","subitem_source_identifier_type":"NCID"}]},"item_4_textarea_12":{"attribute_name":"Notice","attribute_value_mlt":[{"subitem_textarea_value":"SIG Technical Reports are nonrefereed and hence may later appear in any journals, conferences, symposia, etc."}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_18gh","resourcetype":"technical report"}]},"item_4_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"株価予測モデルにおける過剰適合について調べた。定量的分析を行うために、中間層が １ 層のニューラルネットワークを用いて中間層の数と汎化誤差の関係を調べた。その結果、中間層が多すぎると汎化誤差が上昇し、過剰適合が発生することが分かった。この現象は、株価予測モデルが “複雑すぎる” ために予測能力が低下することが起こりうることを示している。また、学習させるファクターが異なる 2 つのモデルの予測リターンを比べた結果、適切な学習を行ったときに最も予測が似てしまうことが分かった。","subitem_description_type":"Other"}]},"item_4_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"We discuss overfitting in stock price prediction models. In quantitative analyses, we investigate the relationships among the number of hidden layer units and generalization errors using artificial neural networks with one hidden layer. Our results show that over fitting occur as the number of hidden layer units increases. This phenomenon indicates that the prediction ability of a stock price model declines when the model is \"too complex\".","subitem_description_type":"Other"}]},"item_4_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"38","bibliographic_titles":[{"bibliographic_title":"情報処理学会研究報告数理モデル化と問題解決（MPS）"}],"bibliographicPageStart":"35","bibliographicIssueDates":{"bibliographicIssueDate":"2008-05-09","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"41(2008-MPS-069)","bibliographicVolumeNumber":"2008"}]},"relation_version_is_last":true,"weko_creator_id":"1"},"created":"2025-01-18T23:01:51.342980+00:00","id":32870,"links":{}}