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題名 以大量平行運算為基礎的策略挑選與期貨模擬交易平台 作者 戴睿 貢獻者 劉文卿
戴睿關鍵詞 平行運算
JMX
JMS
JBoss日期 2013 上傳時間 1-Oct-2014 13:32:17 (UTC+8) 摘要 策略交易係指運用可量化的分析方法(如技術分析)，完全沒有主觀判斷進行的投資行為。然而對一般投資者而言，眾多的技術指標複雜程度遠超過人腦所能負擔，且進行策略交易必須具備相當充足的金融市場相關知識與程式撰寫能力。本研究為降低投資者進入策略交易領域的門檻，實作一投資平台能同時滿足眾多的技術指標計算、在多人使用的環境，使用支撐向量機協助使用者產生投資策略，其結合雲端運算可隨機擴充的分散式資料庫管理系統(HBase) 、具高度伸縮性的應用程式管理架構(JMX) 及訊息交換中介軟體(JMS)，並使用企業級伺服器管理平台(JBoss)實現該投資平台平行運算節點的佈署與相關管理策略。 參考文獻 英文部分1. George, L(2011), HBase: The Definitive Guide. O’Reilly Media, Inc, pp. 5–13.4. J. Steven Perry(2002), Java Management Extensions. O’Reilly Media, Inc, pp. 8–10.5. Ben G. Sullins, Mark B. Whipple(2003), JMX in Action. Manning Publications Co, pp. 8–11.6. Francesco Marchioni(2011), JBoss AS 7 Configuration, Deployment, and Administration. Packt Publishing Ltd, pp. 117–131.7. Thomas Rauber, Gudula R¨unger(2007), Parallel Programming:For Multicore and Cluster Systems, Springer-Verlag Berlin Heidelberg, pp. 21–23.8. Wikipedia(2013), “Flynn`s_taxonomy”, Retrieved from http://en.wikipedia.org/wiki/Flynn`s_taxonomy.9. JBoss(2012), ”JBoss 7.1 Admin Guide(2012).” Retrieved from https://docs.jboss.org/author/display/AS71/Admin+Guide .10. Mark Richards, Richard Monson-Haefel & David A. Chappell(2009), Java Message Service. O’Reilly Media, Inc, pp. 9–10.11. Lo. Alfred, Bloor Chris, Choi. Y K(2000). Internet Research10. 2: 160-169.12. Amza, C. (1996), Shared memory computing on networks of workstations, IEEE Computer.13. J. Gantz and D. Reinsel(2010). The Digital Universe Decade - Are You Ready? Technical report, EMC Corporation.14. A. Greenberg, J. Hamilton, D. Maltz, and P. Patel(2009). TheCost of a Cloud: Research Problems in Data Center Networks. ACM SIGCOMM CCR.15. Pardo, Robert(2008), The Evaluation and Optimization of Trading Strategies. John Wiley & Sons, Inc.16. James Chin, Zikai Wang(2011), HBase: A Comprehensive Introduction. Retrieved from http://cs.brown.edu/courses/cs227/archives/2011/slides/mar14-hbase.pdf17. Aronson, David R(2006)., Evidence-based Technical Analysis. John Wiley & Sons Inc18. Ian Thomas Varley,(2009), No Relation: The Mixed Blessings of Non-Relational Databases, Master`s Thesis, University of Texas19. William H., Teukolsky, Saul A., Vetterling, William T., Flannery, B. P. (2007), . Numerical Recipes: The Art of Scientific Computing (3rd ed.), New York: Cambridge University Press20. Martin Law(2011), A Simple Introduction to Support Vector Machines, Department of Computer Science and Engineering Michigan State University21. H. Shen and F. Pétrot,(2011), Using Amdahl`s Law for Performance Analysis of Many-Core SoC Architectures Based on Functionally Asymmetric Processors, in Proc. ARCS, 2011, pp.38-49.22. Robert D.Edwards, John Magee, W.H.C.Bassetti (2007), Technical Analysis of Stock Trends(9th Edition), Taylor & Francis Group, LLC中文部分1. 黃柏翰(2012) ，基於Hadoop雲端運算架構建立策略交易與回測模擬平台，國立政治大學資 訊管理學系碩士學位論文。2. 楊雅菱(2011)，基於雲端環境與服務導向架構之交易策略評估平台框架，國立政治大學資 訊管理學系碩士學位論文。3. 姜林杰祐(2009)，程式交易：觀念,方法,技術與解決方案，新陸書局。4. 曾永政(2012)，期貨程式交易SOP，聚財資訊：p13-p19。5. 胡翠峰(2004)，模糊相關與支援向量學習應用在文件多重分類之研究，義守大學資訊管理碩士論文。 描述 碩士
國立政治大學
資訊管理研究所
100356025
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003560251 資料類型 thesis dc.contributor.advisor 劉文卿 zh_TW dc.contributor.author (Authors) 戴睿 zh_TW dc.creator (作者) 戴睿 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 1-Oct-2014 13:32:17 (UTC+8) - dc.date.available 1-Oct-2014 13:32:17 (UTC+8) - dc.date.issued (上傳時間) 1-Oct-2014 13:32:17 (UTC+8) - dc.identifier (Other Identifiers) G1003560251 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/70261 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 資訊管理研究所 zh_TW dc.description (描述) 100356025 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 策略交易係指運用可量化的分析方法(如技術分析)，完全沒有主觀判斷進行的投資行為。然而對一般投資者而言，眾多的技術指標複雜程度遠超過人腦所能負擔，且進行策略交易必須具備相當充足的金融市場相關知識與程式撰寫能力。本研究為降低投資者進入策略交易領域的門檻，實作一投資平台能同時滿足眾多的技術指標計算、在多人使用的環境，使用支撐向量機協助使用者產生投資策略，其結合雲端運算可隨機擴充的分散式資料庫管理系統(HBase) 、具高度伸縮性的應用程式管理架構(JMX) 及訊息交換中介軟體(JMS)，並使用企業級伺服器管理平台(JBoss)實現該投資平台平行運算節點的佈署與相關管理策略。 zh_TW dc.description.tableofcontents 目錄 摘要...............................................................................................................................Ⅰ目錄...............................................................................................................................Ⅱ圖目錄...........................................................................................................................Ⅲ表目錄...........................................................................................................................Ⅳ第一章 緒論.................................................................................................................1 第一節 研究背景與目的.....................................................................................1 第二章 文獻探討........................................................................................................ 3 第一節 平行運算.................................................................................................3 第二節 HBase......................................................................................................6 第三節 JMX.........................................................................................................8 第四節 JMS.........................................................................................................10 第五節 JBoss.......................................................................................................12 第六節 技術分析................................................................................................16 第七節 支撐向量機............................................................................................17第三章 研究流程與系統架構....................................................................................19第一節 研究流程................................................................................................22 第二節 系統架構................................................................................................21第三節 平行運算機制........................................................................................28 第四章 實驗數據分析................................................................................................31 第一節 速度測試與分析....................................................................................31第五章 結論................................................................................................................37 第一節 研究結論................................................................................................37 第二節 未來展望................................................................................................38參考文獻......................................................................................................................39 英文部分..............................................................................................................39 中文部分..............................................................................................................41 圖目錄圖1、Flynn’s taxonomy…….……....................................................................................... 4 圖2、HBase架構圖.............................................................................................................. 6 圖3、JMX架構圖................................................................................................................. 9 圖4、JMS概念圖................................................................................................................ .10 圖5、JBoss AS 7關係圖...................................................................................................... 13 圖6、JBoss AS 7 管理介面圖............................................................................................ 14圖7、server instance 新增示意圖.......................................................................................15圖8、支撐向量機示意圖.................................................................................................... 17 圖9、研究流程圖................................................................................................................ 19 圖10、平台系統運作架構圖............................................................................................... 21 圖11、模擬交易平台流程架構圖....................................................................................... 22 圖12、交易室use case diagram圖........................................................................................ 24 圖13、模擬交易平台資料流程圖....................................................................................... 26 圖14、模擬交易平台軟硬體資源配置圖........................................................................... 27 圖15、平台管理機制圖....................................................................................................... 28圖16、Mod_cluster配置範例圖........................................................................................... 29圖17、Infinispan配置範例圖............................................................................................... 29圖18、JGroup配置範例圖................................................................................................... 30圖19、Amdahl’s law速度與處理器數量關係圖.................................................................31圖20、技術指標在單點與群集模式運算時間比較圖.......................................................34圖21、處理器數量變化下之平均運算時間.......................................................................35圖22、本研究平台處理器數量與加速比關係圖.............................................................,.35 表目錄表1、Domain與Cluster比較表........................................................................................... 13表2、單點與叢集模式技術指標運算時間表................................................................... 33 zh_TW dc.format.extent 2439797 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1003560251 en_US dc.subject (關鍵詞) 平行運算 zh_TW dc.subject (關鍵詞) JMX zh_TW dc.subject (關鍵詞) JMS zh_TW dc.subject (關鍵詞) JBoss zh_TW dc.title (題名) 以大量平行運算為基礎的策略挑選與期貨模擬交易平台 zh_TW dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 英文部分1. George, L(2011), HBase: The Definitive Guide. O’Reilly Media, Inc, pp. 5–13.4. J. Steven Perry(2002), Java Management Extensions. O’Reilly Media, Inc, pp. 8–10.5. Ben G. Sullins, Mark B. Whipple(2003), JMX in Action. Manning Publications Co, pp. 8–11.6. Francesco Marchioni(2011), JBoss AS 7 Configuration, Deployment, and Administration. Packt Publishing Ltd, pp. 117–131.7. Thomas Rauber, Gudula R¨unger(2007), Parallel Programming:For Multicore and Cluster Systems, Springer-Verlag Berlin Heidelberg, pp. 21–23.8. Wikipedia(2013), “Flynn`s_taxonomy”, Retrieved from http://en.wikipedia.org/wiki/Flynn`s_taxonomy.9. JBoss(2012), ”JBoss 7.1 Admin Guide(2012).” Retrieved from https://docs.jboss.org/author/display/AS71/Admin+Guide .10. Mark Richards, Richard Monson-Haefel & David A. Chappell(2009), Java Message Service. O’Reilly Media, Inc, pp. 9–10.11. Lo. Alfred, Bloor Chris, Choi. Y K(2000). Internet Research10. 2: 160-169.12. Amza, C. (1996), Shared memory computing on networks of workstations, IEEE Computer.13. J. Gantz and D. Reinsel(2010). The Digital Universe Decade - Are You Ready? Technical report, EMC Corporation.14. A. Greenberg, J. Hamilton, D. Maltz, and P. Patel(2009). TheCost of a Cloud: Research Problems in Data Center Networks. ACM SIGCOMM CCR.15. Pardo, Robert(2008), The Evaluation and Optimization of Trading Strategies. John Wiley & Sons, Inc.16. James Chin, Zikai Wang(2011), HBase: A Comprehensive Introduction. Retrieved from http://cs.brown.edu/courses/cs227/archives/2011/slides/mar14-hbase.pdf17. Aronson, David R(2006)., Evidence-based Technical Analysis. John Wiley & Sons Inc18. Ian Thomas Varley,(2009), No Relation: The Mixed Blessings of Non-Relational Databases, Master`s Thesis, University of Texas19. William H., Teukolsky, Saul A., Vetterling, William T., Flannery, B. P. (2007), . Numerical Recipes: The Art of Scientific Computing (3rd ed.), New York: Cambridge University Press20. Martin Law(2011), A Simple Introduction to Support Vector Machines, Department of Computer Science and Engineering Michigan State University21. H. Shen and F. Pétrot,(2011), Using Amdahl`s Law for Performance Analysis of Many-Core SoC Architectures Based on Functionally Asymmetric Processors, in Proc. ARCS, 2011, pp.38-49.22. Robert D.Edwards, John Magee, W.H.C.Bassetti (2007), Technical Analysis of Stock Trends(9th Edition), Taylor & Francis Group, LLC中文部分1. 黃柏翰(2012) ，基於Hadoop雲端運算架構建立策略交易與回測模擬平台，國立政治大學資 訊管理學系碩士學位論文。2. 楊雅菱(2011)，基於雲端環境與服務導向架構之交易策略評估平台框架，國立政治大學資 訊管理學系碩士學位論文。3. 姜林杰祐(2009)，程式交易：觀念,方法,技術與解決方案，新陸書局。4. 曾永政(2012)，期貨程式交易SOP，聚財資訊：p13-p19。5. 胡翠峰(2004)，模糊相關與支援向量學習應用在文件多重分類之研究，義守大學資訊管理碩士論文。 zh_TW
