2010-6-17

HMM

020-87555888-655
eMail: lj33@gf.com.cn

020-87555888-687
eMail: lm8@gf.com.cn

020-87555888-667
eMaillzq3@gf.com.cn

020-87555888-406
eMail: hht@gf.com.cn

HMM
200835.6%200050010.1%
98.5%200880%

1993 . HMM
HMM

HMM
HMM
HMM
HMM

HMM

300 HMM 115

60.87% HMM 96
47.37% 50% 33.4%

HMM
HMM 2007 12 19 2010 4 29 115
+67.84% 300 -33.3%
HMM 2008 5 12 2010 4 29 96
+13.08% 300 -14.2%
300

HMM .................... 3
V.S V.S 3
HMM ..... 3

HMM ......................................... 4
HMM ........................................ 4
HMM ............................ 5

HMM ....................................... 8
............................................. 8
............................................. 9

........................................ 10
............................................ 10
...................................... 11

...................................... 12
................... 12
................... 13

.............................................. 15
.................................... 15
.......................................... 16
........................................ 16

1
2
3
4
5
6
7
8
9
10
11

PAGE 2

.................................................................................... 3
HMM ........................................................ 8
HMM ................................................................ 9
HMM ............................................... 10
HMM ............................................... 10
.............................. 11
............... 11
HMM .......................... 12
HMM .................................. 13
HMM ........................ 14
HMM ................................. 15

2010-06-17

HMM
V.S V.S

200770%

3020%
50%

alpha

MACDKDJ

HMM
PAGE 3

2010-06-17

1988
2008
35.6%2000
50010.1%98.5%2008
80%
2%
20%200236%200844%

19883
-

HMM
1993.
HMMHMM
SVMHMM
HMM

HMM
HMM

HMM

HMM
HMM
HMM Markov Markov
HMM
HMM HMM
Markov

HMM

(1)

N S S = {S1 , S2 ,...S N }

t qt S 1 t T T
Q = {q1 , q2 ,...qT }

(2)

M V

V = {v1 , v2 ,...vM }
PAGE 4

2010-06-17

(3)

A = {aij } aij = P{qt +1 = S j | qt = Si } 1 i, j N

N

aij 0, aij = 1 t Si t+1 Sj

i =1

(4)

Si B

V Si

B = {bi (v),1 i N , v V } bi (v) = P{Qt = v | qt = Si } Qt t

O = {O1 , O2 ,...Ot }

(5)

= { i ,1 i N } i = P{q1 = Si }
HMM {N , M , A, B, }
= { A, B, }

HMM

HMM
HMM

= {M , N , A, B, } O = (o1o2 ...oT )
P(O | ) ?
2 = {M , N , A, B, } O = (o1o2 ...oT )
S = {S1 , S2 ,...S N } ?
3 P(O | ) ?
HMM

Viterbi Baum-Welch
1
Q = {q1 , q2 ,...qt } P(O | )
P(O | )
t (i ) = P (o1o2 ...ot , qt = si | ) t (i )

1)

1 (i ) = i bi (o1 )
2)

PAGE 5

(1 i N )

2010-06-17

t +1 ( j ) = [ t (i ) ij ]b j (ot +1 ),1 t T 1;

1 j N

i =1

3)

P (O ) = T (i )
i =1

t (i ) = P (ot +1ot + 2 ...oT | qt = i, )

(ot +1ot + 2 ...oT ) T t+1 t (i )

1)

T (i ) = 1, (1 i N )
2)

t (i ) = aij b j (ot +1 ) t +1 ( j ), t = T 1, T 2,...,1;

1 i N

j =1

3)

P (O ) = 1 (i )
i =1

Q = {q1 , q2 ,...qt }

P(O | ) =

(i) (i)
i =1

1 t T

(1)

2 Viterbi
O

Q = {q1 , q2 ,...qt } Q O?
t (i ) = max P[q1q2 ...qt 1 , qt = i, o1o2 ...ot | ]
q1 , q2 ... qt 1

T T (i )

Viterbi Q
1)

1 (i) = i bi (o1 )
2)

t ( j ) = max[ t 1 (i )aij ]b j (ot )

2t T

1 j N

t ( j ) = arg max[ t 1 (i )aij ]

2t T

1 j N

1i N

1 i N

3)
PAGE 6

2010-06-17

P* = max[ T (i )] qT* = arg max[ T (i )]

1i N

1 i N

4) Q

qt* = t +1 (qt*+1 )

t = T 1, T 2,...,1

3 Baum-Welch
Baum-Welch
HMM HMM
O
P(O | )
P(O | )
N

P (O | )= t (i )aij b j (ot +1 ) t +1 ( j ), 1 t T -1
i =1 j =1

Baum-Welch P(O | )

t (i, j ) = P ( qt = S i , qt +1 = j | O, ) t Si

t+1 Sj

t (i, j ) =
=

P(qt = S i , qt +1 = S j , O | )

P(O | )
t (i)aij b j (ot +1 ) t +1 ( j )

(i)a b (o
i =1 j =1

t (i ) =

ij

t +1

t (i )aij b j (ot +1 ) t +1 ( j )
P (O | )

) t +1 ( j )

(i, j ) t S Baum-Welch
j =1

T 1

~i = 1 (i ) a~ij =

(i, j )
t =1
T 1

t =1

b j (k ) =

(i )

t =1
ot =vk
T

t =1

( j)

( j)

bi (v) = P{Qt = v | qt = Si }

i =1

i =1

P (ot | St = i )= im N (ot , im , im ) im 0, im = 1
Baum-Welch
PAGE 7

2010-06-17

% im =

i =1
T

i =1

im ot

im

(t )

% im =

% im =

i =1
T

(t )
i =1

i =1

im

(ot -% im )(ot -% im ) '

% ij =

i =1

i =1

im (t )

ij

im

(t )

(i )aij b j (ot +1 ) t +1 ( j )

(i) (i)
t =1

HMM
HMM

HMM
HMM

HMM
HMM

HMM
HMM

1
HMM
2 HMM

HMM

2
-
HMM
PAGE 8

2010-06-17


3 HMM

HMM 1

.
.
.

P(X|1)

HMM N

P(X|N)

1)

2)

3)

HMM

4)
HMM
5)

HMM

Baum-Welch

PAGE 9

2010-06-17


4 HMM

HMM

2 HMM

5 HMM

HMM 1

.
.
.

P(X|1)

HMM N

P(X|N)

HMM

PAGE 10

2010-06-17

X1:
X2:
X3:
X4 ()/

HMM 300 2005

4 8 2010 4 30
Q=3(X3 , X4)
(X2, X3, X4)(X1, X2, X3, X4)
3040

X3 X4

X2X3X4

X1X2X3X4

300

400

500

300

400

500

300

400

500

5
10
15
20

0.5111
0.5481
0.5111
0.5407

0.5000
0.5043
0.5478
0.5739

0.5474
0.5053
0.5263
0.5579

0.5556
0.5259
0.5333
0.563

0.5487
0.5043
0.5565
0.5652

0.5898
0.484
0.5579
0.5474

0.5704
0.5333
0.5407
0.5481

0.6078
0.5000
0.5739
0.5739

0.5579
0.4842
0.5579
0.5684

X3 X4

X2X3X4

X1X2X3X4

300

400

500

300

400

500

300

400

500

5
10
15
20

0.3704
0.3778
0.4074
0.3235

0.4348
0.3739
0.4000
0.4348

0.4211
0.4316
0.4105
0.3895

0.3481
0.3178
0.3302
0.3462

0.4174
0.4300
0.4087
0.4174

0.4421
0.4211
0.4211
0.4316

0.3704
0.3852
0.3402
0.3128

0.4000
0.3650
0.4000
0.3910

0.4737
0.4210
0.4100

0.4526

T=1
(X1, X2, X3, X4)
0.57 0.43

400 P1=0.6087>0.5
PAGE 11

2010-06-17

500 P2=0.4737>0.33

8 HMM

2007 12 19 2010 4 29 115 24

23 2.45
70 60.87% 50%
67.84% 300
-33.3% 2.5162 0.5%
49.56%

PAGE 12

2010-06-17


9 HMM

9
1 2007 12 19 2010 4 29 44
2009 1 20 2009 8 3 26
65.9% 69.2%

[-2%2%]

PAGE 13

2010-06-17

10 HMM

2008 5 12 2010 4 29 96 10
10 4.8
45 47.37% 33.3%
13.08% 300
-14.2% 1.3152 0.5%
7.55%

PAGE 14

2010-06-17


11 HMM

11
1 2008 5 12 2008 10 31 24
2009 1 20 2009 8 3 26
58.33% 53.84%
33.3%

10

HMM
HMM
PAGE 15

2010-06-17

HMM
HMM

1
60.87% 47.37%
2
300 2005 4 8
250

HMM

1 HMM

PAGE 16

2010-06-17

Buy

12 10

Hold

12 -10%+10%

Sell

12 10

Buy

12 10

Hold

12 -10%+10%

Sell

12 10

183

528

36

2501

18 1808

17

510075

518026

100045

200120

gfyf@gf.com.cn

020-87555888-612

PAGE 17

2010-06-17