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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/35740
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dc.contributor.advisor陳樹衡zh_TW
dc.contributor.advisorChen, Shu-Hengen_US
dc.contributor.author邱淑綺zh_TW
dc.contributor.authorChiu, Shu-Chien_US
dc.creator邱淑綺zh_TW
dc.creatorChiu, Shu-Chien_US
dc.date2002en_US
dc.date.accessioned2009-09-18T07:54:09Z-
dc.date.available2009-09-18T07:54:09Z-
dc.date.issued2009-09-18T07:54:09Z-
dc.identifierG0090258022en_US
dc.identifier.urihttps://nccur.lib.nccu.edu.tw/handle/140.119/35740-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description經濟研究所zh_TW
dc.description90258022zh_TW
dc.description91zh_TW
dc.description.abstract本研究觀察了1992年1月20日至2003年2月28日美元兌台幣的匯率資料，分成樣本內、樣本外兩部分進行預測，此外也收集了相同時間的日圓、英鎊、港幣兌台幣的資料做比較，用Takagi-Sugeno Fuzzy﹝朱修明，2001﹞模型和Cubist決策樹模型來預測匯率。\n\n用Takagi-Sugeno Fuzzy模型預測匯率，具有非線性模型的準確性，也兼顧了線性模型之結果簡潔易懂的特質。在變數個數少的時候，就可以達到所要求的預測準確度，此時產生的預測規則容易瞭解，歸屬度函數也易於辨別，檢定過後可知和隨機漫步模型沒有差別。\n\n使用Cubist決策樹模型時，若產生的規則等同於隨機漫步模型，則預測準確度和隨機漫步沒有差別。但若產生出來的規則不同於隨機漫步模型時，則匯率預測準確度明顯低於隨機漫步模型。zh_TW
dc.description.tableofcontents目 次\n\n第一章 緒論……………………………………………………………………1\n第一節 研究動機…………………………………………………………1\n第二節 研究目的…………………………………………………………2\n第三節 研究架構流程……………………………………………………3\n第二章 相關理論與文獻探討…………………………………………5\n第一節 匯率決定理論……………………………………………………5\n ﹝一﹞國際收支學說……………………………………………………5\n ﹝二﹞購買力平價說……………………………………………………6\n ﹝三﹞利率平價說………………………………………………………9\n ﹝四﹞貨幣分析方法…………………………………………………11\n ﹝五﹞資產組合平衡法………………………………………………11\n第二節 非線性匯率預測…………………………………………………13\n ﹝一﹞匯率的非線性特質……………………………………………13\n ﹝二﹞平滑移轉自我回歸……………………………………………14\n ﹝三﹞混沌理論………………………………………………………16\n ﹝四﹞碎形……………………………………………………………17\n ﹝五﹞類神經網路……………………………………………………17\n第三章 研究方法……………………………………………………………19\n第一節 簡介Fuzzy Model………………………………………………19\n﹝一﹞模糊理論起源…………………………………………………19\n ﹝二﹞傳統集合………………………………………………………21\n ﹝三﹞模糊集合………………………………………………………22\n ﹝四﹞模糊集合的基本運算…………………………………………23\n ﹝五﹞模糊推論﹝推論引擎﹞………………………………………24\n ﹝六﹞模糊系統架構…………………………………………………26\n第二節 Takagi and Sugeno`s Fuzzy Model………………………27\n﹝一﹞ 簡介Takagi and Sugeno`s Fuzzy Model……………………27\n﹝二﹞ Takagi-Sugeno Fuzzy模型的建模流程…………………………29\n第三節 決策樹模型………………………………………………………31\n第四節 隨機漫步模型……………………………………………………34\n第五節 過度配適問題……………………………………………………35\n第六節 Diebold-Mariano檢定………………………………………36\n第四章 實證研究……………………………………………………………39\n第一節 資料來源及說明…………………………………………………39\n第二節 使用Takagi-Sugeno Fuzzy模型研究不同變數的\n匯率預測………………………………………………………41\n ﹝一﹞參數設定………………………………………………………41\n ﹝二﹞實驗結果………………………………………………………42\n第三節 使用Takagi-Sugeno Fuzzy模型研究不同國家\n的匯率預測……………………………………………53\n ﹝一﹞參數設定………………………………………………………53\n ﹝二﹞實驗結果………………………………………………………54\n第四節 使用Cubist決策樹模型研究不同變數\n的匯率預測…………………………………………………64\n ﹝一﹞ 參數設定…………………………………………………64\n ﹝二﹞ 實驗結果…………………………………………………64\n第五節 使用Cubist決策樹模型研究不同國家\n的匯率預測…………………………………………………72\n ﹝一﹞ 參數設定…………………………………………………72\n ﹝二﹞ 實驗結果…………………………………………………72\n第五章 結論與建議…………………………………………………………79\n 第一節 研究結論………………………………………………………79\n 第二節 未來方向………………………………………………………82\n附錄………………………………………………………………………………83\n 附錄一……………………………………………………………………83\n 附錄二……………………………………………………………………90\n 附錄三……………………………………………………………………90\n 附錄四……………………………………………………………………90\n參考文獻………………………………………………………………………111zh_TW
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dc.language.isoen_US-
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0090258022en_US
dc.subject模糊模型zh_TW
dc.subject決策樹zh_TW
dc.subject匯率預測zh_TW
dc.subjectTakagi-Sugeno Fuzzy Modelen_US
dc.subjectCubisten_US
dc.subjectexchange rateen_US
dc.titleTakagi-Sugeno Fuzzy 模型和Cubist決策樹模型在匯率預測上的應用zh_TW
dc.typethesisen
dc.relation.reference參考文獻zh_TW
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