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https://ah.lib.nccu.edu.tw/handle/140.119/56891| 題名: | 基於EEMD與類神經網路建構台指期貨交易策略 A study of Trading Strategies of TAIEX Futures by using EEMD-based Neural Network Learning Paradigms |
作者: | 陳原孝 Chen,Yuan Hsiao |
貢獻者: | 蕭又新 陳原孝 Chen,Yuan Hsiao |
關鍵詞: | 總體經驗模態 類神經網路 自回歸移動平均模型 交易策略 預測模型 Ensemble Empirical Mode Decomposition Artificial Neural Network ARMA Trading strategy Forecasting model |
日期: | 2012 | 上傳時間: | 1-Feb-2013 | 摘要: | 金融市場瞬息萬變，股價漲跌似乎沒有顯著的規則，這意味著股價的行為特徵是不可精確預知和不確定的，為了在市場上增加收益和減少投資風險，研究人員不得不試圖建立一個有效預測金融市場的模型，它可以估算這種不確定性的影響，很可惜的，至今仍然沒有一個模型接近成功的。沒有成功的模型並不代表它是不存在的，相反的，研究人員需要建立更多的預測模型，以提供市場判斷的經驗法則。\n我們使用ARMA與兩種不同形式的EEMD-ANN去對台灣加權指數期貨做預測值的精確度比較，我們比較了兩種不同的行情：趨勢與震盪。此外，預測出未來市場之價格後，我們使用2種交易策略去做績效測試，本研究希望能夠找到較適合使用在指數預測的預測模型。\n 另外在本文中，我們也分析影響TAIEX價格波動的因素，透過EEMD，我們可以將其拆解成數具有不同物理意義的本徵模態函數(IMF)，再藉由統計值選出較重要的IMF並分析其意義。 Financial market changes constantly and Stock Price Volatility (SPV) seems to be no significant rules. This means behavioral characteristic of the stock price cannot foresee and uncertain accurately. In order to increase revenue and reduce investment risk in the market, researchers had to try to establish an effective prediction model of financial markets. It can estimate the impact of this uncertainty. It`s a great pity that there is not a model that is close successfully yet. That does not represent it does not exist successful model. Instead, researchers need to establish more predictive models to offer the market to judge the rule of thumb.\nThe forecasting results of TAIEX Index futures by ARMA Model and two types of EEMD-ANN Models were compared in two kinds of markets – trend and fluctuation. In addition, two trading strategies were tested after the future prices are forecasted. The study attempted to identify a suitable forecasting model.\nMoreover, the factors for price fluctuation of TAIEX were also analyzed in the study. Through EEMD, they could be decomposed to IMFs with various physical meanings and more important IMFs were selected to be analyzed in accordance with the statistic value. |
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資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0997550051 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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| 005101.pdf | 2.85 MB | Adobe PDF2 | View/Open |
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