nonlinpcfun.m

Neural Network in Finance (神经网络在金融界:赢得预言性的优势)全部原码。内容包括预测与估计

function [criterion,sse3,g,A3,NPC,W3,b3,W4,b4,W5,b5,W6,b6] = nonlinpcfun(beta);
global P T nlayer nneuron1 nneuron2 nneuron3;
[rt ct] = size(T); rt = min([rt ct]);
[rp cp] = size(P);
beta1 = beta(1:nneuron1*cp);
W3 = reshape(beta1,cp, nneuron1);
b3 = beta(nneuron1*cp+1:nneuron1*cp+nneuron1);
beta2 = beta(nneuron1*cp+nneuron1+1:nneuron1*cp+nneuron1+nneuron1*nneuron2);
W4 = reshape(beta2, nneuron1, nneuron2);
b4 = beta(nneuron1*cp+nneuron1+nneuron1*nneuron2+1:nneuron1*cp+nneuron1+nneuron1*nneuron2+nneuron2);
beta3 = beta(nneuron1*cp+nneuron1+nneuron1*nneuron2+nneuron2+1:nneuron1*cp+nneuron1+nneuron1*nneuron2+nneuron2+ nneuron2* nneuron3);
W5 = reshape(beta3, nneuron2, nneuron3);
b5 = beta(nneuron1*cp+nneuron1+nneuron1*nneuron2+nneuron2+ nneuron2* nneuron3+1:nneuron1*cp+nneuron1+nneuron1*nneuron2+nneuron2+ nneuron2* nneuron3+nneuron3);
W6 = beta(nneuron1*cp+nneuron1+nneuron1*nneuron2+nneuron2+ nneuron2* nneuron3+nneuron3+1:end-ct);
W6 = reshape(W6,nneuron3,ct);
b6 = beta(end-ct+1:end);
A3 =  P * W3 + kron(ones(length(P),1),b3);
A3  =   1 ./ (1 + exp(-A3));
A3 =  A3 * W4 + kron(ones(length(A3),1),b4);
% A3  =   1 ./ (1 + exp(-A3));
NPC = A3;
A3 =  A3 * W5 + kron(ones(length(A3),1),b5);
A3  =   1 ./ (1 + exp(-A3));
A3 =   A3*W6 +  kron(ones(length(A3),1),b6);
err3 = T-A3;
err3 = err3;
sse3 = sum(err3 .^2);
sigmaerr = inv(cov(err3));
criterion = sse3 * sigmaerr * sse3';
criterion = real(criterion);
ssrsq3 = var(A3) ./ var(T);
T = T;
A3 = A3;
ssrsq3 = ssrsq3;
g = [];