| dc.contributor.advisor | 陳樹衡 | zh_TW |
| dc.contributor.author (作者) | 郭子文 | zh_TW |
| dc.creator (作者) | 郭子文 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-九月-2009 13:24:37 (UTC+8) | - |
| dc.date.available | 14-九月-2009 13:24:37 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 13:24:37 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0087258502 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32206 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 87258502 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 隨著計算智慧(Computational Intelligence)工具的發展日益成熟, 將這些工具應用在經濟或財務問題上的文章逐漸增多, 國際上對這塊跨科際的研究領域愈來愈重視, 本論文討論和使用的工具是演化計算中的遺傳規劃(Genetic Programming)。 很多應用遺傳規劃的文章,經常被人質疑的一個問題是參數的任意設定, 參數任意或故意的設定是否會影響搜尋的速度或結果,是很多使用者所關心的; 除了參數設定的問題之外,也會有人質疑應用強大的搜尋工具是否會發生過度學習, 關於這些質疑,本論文仔細討論應用此工具時應該注意的參數設定和相關問題, 同時也討論關於過度學習和學習不足的問題,並提出一些心得,可以作為遺傳規劃使用者的參考。 除了討論這些問題之外,本論文使用這些經驗和心得,實際應用在交易策略尋找的問題上, 其中一個應用範圍是關於跨國資金流動的問題,另一個則應用在股票市場。 由以前相關的文獻可以知道,使用遺傳規劃演化出來的交易策略通常是複雜而且不易閱讀, 如果希望遺傳規劃能夠真正對投資者有所幫助,除了交易策略是否能夠獲利之外, 如何改善策略不易閱讀是很重要的問題。 本論文也針對這個問題提出方法並且實際應用在股票市場, 結果發現尋找出來的交易策略不但有超額報酬而且策略簡單易懂。 | zh_TW |
| dc.description.tableofcontents | 1 緒論 1 2 文獻回顧 5 3 遺傳規劃 18 4 過度學習和學習不足 35 5 遺傳規劃的應用:尋找跨市場的交易策略 45 6 遺傳規劃的應用:尋找股票市場的交易策略 59 7 結論和未來方向 74 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0087258502 | en_US |
| dc.subject (關鍵詞) | 計算智慧 | zh_TW |
| dc.subject (關鍵詞) | 遺傳規劃 | zh_TW |
| dc.subject (關鍵詞) | 過度學習 | zh_TW |
| dc.subject (關鍵詞) | 交易策略 | zh_TW |
| dc.subject (關鍵詞) | 股票市場 | zh_TW |
| dc.title (題名) | 投資訊號之演化性辨識:機制設計的研究與應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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