| dc.contributor.advisor | 陳樹衡 | zh_TW |
| dc.contributor.advisor | Chen, Shu-Heng | en_US |
| dc.contributor.author (Authors) | 許江妹 | zh_TW |
| dc.contributor.author (Authors) | Hoi , Kong Mui | en_US |
| dc.creator (作者) | 許江妹 | zh_TW |
| dc.creator (作者) | Hoi , Kong Mui | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 14-Sep-2009 13:34:00 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 13:34:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 13:34:00 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0922580381 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32279 | - |
| dc.description (描述) | 碩士 | 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) | 92258038 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本文應用遺傳規劃交易程式來檢驗八個國家的股票指數和外匯巿場的表現，採用移動視窗的方法，測試三組獨立的期間，重新檢驗較早期的研究結果，並繼續延申探討，包括交易報酬與交易行為。實證結果顯示，不論在股票還是外匯巿場，若訓練期間的資料選擇不當，遺傳規劃的獲利表現會不理想。資料形態不但會影響遺傳規劃交易程式的獲利性，同時也決定了程式本身的一些觀察特性。我們另外分析了交易程式的複雜度、演化時間、交易頻率和一致性。交易程式的複雜度和演化時間有正向的相關性，但複雜度和報酬、以及演化時間和報酬之間都只有很弱的關係。這些發現可以讓我們更了解遺傳規劃演化交易策略的過程，有助往後更進一步的研究。 | zh_TW |
| dc.description.tableofcontents | 1 緒論 1 1.1 研究動機與目的 1 1.2 研究架構 3 2 文獻探討 4 2.1 技術分析 4 2.2 傳統技術分析的相關文獻 5 2.3 遺傳規劃技術分析的相關文獻 7 3 遺傳規劃之交易策略模型 12 3.1 遺傳規劃簡介 12 3.2 參數設定 17 3.3 股票巿場適應函數 21 3.3.1 不可以融券的股票巿場適應函數 21 3.3.2 可以融券的股票巿場適應函數 22 3.4 外匯巿場適應函數 23 3.5 交易成本 24 4 股票巿場的利潤分析 25 4.1 股票巿場資料處理 25 4.2 遺傳規劃策略與買入持有策略 29 4.2.1 遺傳規劃在不可以融券的巿場 29 4.2.2 遺傳規劃在可以融券的巿場 31 4.3 遺傳規劃策略與實際交易的技術指標 32 4.4 另一種衡量的方法: 資產變化曲線 35 4.5 其他參數的結果 38 4.5.1 族群大小和演化代數 38 4.5.2 原始資料與轉換後的資料 39 4.5.3 確認期的效果 40 4.5.4 交易成本 41 5 外匯巿場的利潤分析 43 5.1 外匯巿場資料處理 43 5.2 外匯巿場短測試期的結果 44 5.3 外匯巿場長測試期的結果 45 6 策略分析 51 6.1 隱藏資訊 51 6.2 複雜度 55 6.3 交易頻率 63 6.4 一致性 64 6.5 不同的交易成本 67 7 結論與建議 69 7.1 綜合結論 69 7.2 建議與未來研究方向 70 參考文獻 73 附錄 I 程式軟體 : 金融遺傳規劃 79 附錄II 遺傳規劃的交易策略 86 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0922580381 | en_US |
| dc.subject (關鍵詞) | 遺傳規劃 | zh_TW |
| dc.subject (關鍵詞) | 技術分析 | zh_TW |
| dc.subject (關鍵詞) | 金融巿場 | zh_TW |
| dc.subject (關鍵詞) | 交易策略 | zh_TW |
| dc.subject (關鍵詞) | Genetic Programming | en_US |
| dc.subject (關鍵詞) | Technical analysis | en_US |
| dc.subject (關鍵詞) | Finance Market | en_US |
| dc.subject (關鍵詞) | Trading strategy | en_US |
| dc.title (題名) | 遺傳規劃應用於國際金融巿場交易策略之研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Alexander S.S. (1964), "Price Movements in Speculative Markets: Trends or Random Walks," P. Cootner, (ed.) The Random Character of Stock Market Prices, MIT Press, Cambridge, Mass, Vol. 2, pp. 338-372. | zh_TW |
| dc.relation.reference (參考文獻) | Allen, F., and R. Karjalainen (1999), "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Vol. 51, pp. 245-271. | zh_TW |
| dc.relation.reference (參考文獻) | Bessembinder, H., and K. Chan (1995), "The profitability of technical trading rules in the asian stock markets." | zh_TW |
| dc.relation.reference (參考文獻) | Pacific Basin Finance Journal, Vol. 3, pp. 257-284. | zh_TW |
| dc.relation.reference (參考文獻) | Bessembinder, H., and K. Chan (1998), "Market Efficiency and the Return of Technical Analysis," Financial | zh_TW |
| dc.relation.reference (參考文獻) | Management, Vol. 27, pp. 5-17. | zh_TW |
| dc.relation.reference (參考文獻) | Bhattacharyya, S., O. V. Pictet, and G. Zumbach (2002), "Knowledge-Intensive Genetic Discovery in Foreign Exchange | zh_TW |
| dc.relation.reference (參考文獻) | Markets," IEEE Transactions on Evolutionary Computation, Vol. 6, No. 2, pp. 169-181. | zh_TW |
| dc.relation.reference (參考文獻) | Brock, W., J. Lakonishok, and B. LeBaron (1992), "Simple Technical Trading Rules and the Stochastic Properties of | zh_TW |
| dc.relation.reference (參考文獻) | Stock Returns," Journal of Finance, Vol. 47, pp. 1731-1764. | zh_TW |
| dc.relation.reference (參考文獻) | Brown, S., Goetzmann W. and Kumar A. (1998), "The Dow Theory: William Peter | zh_TW |
| dc.relation.reference (參考文獻) | Hamilton`s Track Record Reconsidered," Journal of Finance, Vol. 534, No. 4, pp. 1311-1333. | zh_TW |
| dc.relation.reference (參考文獻) | Chang, P. H. and C. L Osler (1999), "Methodical Madness: Technical Analysis and the Irrationality of Exchange-rate | zh_TW |
| dc.relation.reference (參考文獻) | Forecasts," Economic Journal, 109, pp. 636-661. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H. (1998), "Modeling Volatility with Genetic Programming: A First | zh_TW |
| dc.relation.reference (參考文獻) | Report,`` {\\em Neural Network World, Vol. 8, No. 2, pp. 181-190. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H. (2001), "On the Relevance of Genetic Programming in Evolutionary Economics,`` | zh_TW |
| dc.relation.reference (參考文獻) | in K. Aruka (ed.), {\\em Evolutionary Controversy in Economics towards a New Method in Preference of Trans | zh_TW |
| dc.relation.reference (參考文獻) | Discipline, Springer-Verlag, Tokyo, pp. 135-150. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H. and B.-T. Chie (2005), "A Functional Modularity Approach to Agent-based Modeling of the | zh_TW |
| dc.relation.reference (參考文獻) | Evolution of Technology,`` in A. Namatame, T. Kaizouji, and Y. Aruka. (eds.), {\\em Economics and Heterogeneous | zh_TW |
| dc.relation.reference (參考文獻) | Interacting Agents, Springer, forthcoming. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H., and T.-W. Kuo (2001), "Trading Strategies on Trial: | zh_TW |
| dc.relation.reference (參考文獻) | A Comprehensive Review of 21 Practical Trading Strategies Over 56 Listed Stocks,`` | zh_TW |
| dc.relation.reference (參考文獻) | in {\\em Proceedings of the Fourth International Conference on | zh_TW |
| dc.relation.reference (參考文獻) | Computational Intelligence and Multimedia Applications (ICCIMA 2001), | zh_TW |
| dc.relation.reference (參考文獻) | IEEE Computer Society Press, pp. 66-71. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H., and T.-W. Kuo (2003a), "Discovering Hidden Patterns with Genetic Programming,`` in | zh_TW |
| dc.relation.reference (參考文獻) | S.-H. Chen and P. P. Wang (ed.), {\\em Computational Intelligence in Economics and | zh_TW |
| dc.relation.reference (參考文獻) | Finance, Springer-Verlag, pp. 329-347. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H., and T.-W. Kuo (2003b), "Modeling International Short-Term Capital Flow with Genetic Programming,`` in | zh_TW |
| dc.relation.reference (參考文獻) | K. Chen, et al. (eds.), {\\em Proceedings of 7th Information Sciences ({\\bf JCIS 2003), September 26-30, 2003, Cary, | zh_TW |
| dc.relation.reference (參考文獻) | North Carolina, U.S.A., pp. 1140-1144. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H., and T.-W. Kuo (2003c), "Overfitting or Poor Learning: A Critique of Current Financial Applications of | zh_TW |
| dc.relation.reference (參考文獻) | GP,`` in C. Ryan, T. Soule, M. Keijzer, E. Tsang, R. Poli, and E. Costa (eds.), {\\em Genetic Programming, Lecture Notes | zh_TW |
| dc.relation.reference (參考文獻) | in Computer Science 2610, Springer, pp. 34-46. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, S.-H., T.-W. Kuo, Y.-P. Shien (2002), "Genetic Programming: A Tutorial with the Software Simple GP,`` | zh_TW |
| dc.relation.reference (參考文獻) | in S.-H. Chen (ed.), {\\em Genetic Algorithms and Genetic Programming in Computational Finance, Kluwer, 2002, pp. 55-77. | zh_TW |
| dc.relation.reference (參考文獻) | Cooper, Michael (1999), "Filter rules based on price and volume in individual security overreaction," The Review | zh_TW |
| dc.relation.reference (參考文獻) | of Financial Studies, Vol. 12, pp. 901-935. | zh_TW |
| dc.relation.reference (參考文獻) | Coutts, J. A., and K. C. Cheung (2000), "Trading Rules and Stock Returns : Some Preliminary Short Run Evidence from The Hang Seng 1985-1997," Applied Financial Economic, Vol. 10, No. 6, pp. 579-586. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E. F. (1970), "Efficient capital markets: a review of theory and empirical work," Journal of | zh_TW |
| dc.relation.reference (參考文獻) | Finance, Vol. 25, pp. 383-417. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E. F., and M. E. Blume (1966), "Filter Rules and Stock Market Trading Profits," Journal of Business, Vol. 39, pp. | zh_TW |
| dc.relation.reference (參考文獻) | 226-241. | zh_TW |
| dc.relation.reference (參考文獻) | Fang, Y. and Xu, D. (2003), "The predictability of asset returns: and approach combining technical analysis and time series forecasts," International Journal of Forecasting , Vol. 19, pp. 369-385. | zh_TW |
| dc.relation.reference (參考文獻) | Granville, Joseph E. (1976), New Strategy of Daily Stock Market Timing for Maximun Profit, Englewood Cliffs: | zh_TW |
| dc.relation.reference (參考文獻) | Prentice-hall Inc. | zh_TW |
| dc.relation.reference (參考文獻) | Holland, J. (1975), Adaptation in Natural and Artificial System, University of Michigan Press. | zh_TW |
| dc.relation.reference (參考文獻) | Jensen, M. C., and G. Bennington （1970）, "Random Walks and Technical Theories: Some Additional Evidences," | zh_TW |
| dc.relation.reference (參考文獻) | Journal of Finance, Vol. 25, pp. 469-482. | zh_TW |
| dc.relation.reference (參考文獻) | Koza, J. (1992）, Genetic Programming, Cambridge, MA: MIT Press. | zh_TW |
| dc.relation.reference (參考文獻) | Koza, J. (1995 ), "Survey of genetic algorithms and genetic programming," WESCON `95, Conference record, | zh_TW |
| dc.relation.reference (參考文獻) | Microelectronics Communications Technology Producing Quality Products Mobile and Portable Power Emerging Technologies, pp. 589-594. | zh_TW |
| dc.relation.reference (參考文獻) | Lanquillon, C. (1999), "Dynamic Aspects in Neural Classification,`` {\\em Journal of Intelligent Systems in | zh_TW |
| dc.relation.reference (參考文獻) | Accounting, Finance and Management, Vol. 8, No. 4, pp. 281-296. | zh_TW |
| dc.relation.reference (參考文獻) | Levich, R. M., and L. R. Thomas (1993), "The significance of technical trading-rule profits in the foreign exchange | zh_TW |
| dc.relation.reference (參考文獻) | market: | zh_TW |
| dc.relation.reference (參考文獻) | A bootstrap approach," | zh_TW |
| dc.relation.reference (參考文獻) | Journal of International Money and Finance, Vol. 12, pp. 451-474. | zh_TW |
| dc.relation.reference (參考文獻) | Neely C. J., Paul A. Weller, and R. Dittmar (1997), "Is Technical Analysis in Foreign Exchange Market Profitable? A Genetic Programming Approach, " | zh_TW |
| dc.relation.reference (參考文獻) | Journal of Financial and Quantitative Analysis, Vol. 32, pp. 405-426. | zh_TW |
| dc.relation.reference (參考文獻) | Neely C. J. and Paul A. Weller (1999), "Technical trading rules in the european monetary system," Jouranl of International Money and Finance, Vol. 18, No. 3 , pp. 429-458. | zh_TW |
| dc.relation.reference (參考文獻) | O`Neill, M., A. Brabazon, and C. Ryan (2002), "Forecasting Market Indices Using Evolutionary Automatic Programming,`` | zh_TW |
| dc.relation.reference (參考文獻) | in S.-H. Chen (ed.), {\\em Genetic Algorithms and Genetic Programming in Computational Finance, Kluwer, pp. 175-195. | zh_TW |
| dc.relation.reference (參考文獻) | Pereira, R. (2002), "Forecasting Ability but No Profitability: An Empirical Evalaution of Genetic Algorithm-Optimised | zh_TW |
| dc.relation.reference (參考文獻) | Technical Trading Rules,`` in S.-H. Chen (2002) (ed.), {\\em Evolutionary Computation in Economics and Finance, | zh_TW |
| dc.relation.reference (參考文獻) | Physica-Verlag, pp. 287-310. | zh_TW |
| dc.relation.reference (參考文獻) | Potvin, J. Y., P. Soriano, M. Vallee (2004), "Generating trading rules on the stock markets with genetic | zh_TW |
| dc.relation.reference (參考文獻) | programming," Computers \\& Operations Research, Vol. 31, pp. 1033-1047. | zh_TW |
| dc.relation.reference (參考文獻) | Pruitt, S. W. and White, R. E. (1988), "The CRISMA Trading System: Who Says Technical Analysis can not | zh_TW |
| dc.relation.reference (參考文獻) | Beat the Market?" Journal of Portfolio Management, Vol. 14, pp. 55-58. | zh_TW |
| dc.relation.reference (參考文獻) | Sullivan, R., Timmermann, A., and White, H. (1999), " Data-snooping, technical trading rule performance, and the | zh_TW |
| dc.relation.reference (參考文獻) | bootstrap," Journal of Finance, Vol. 54, pp. 1647-1692. | zh_TW |
| dc.relation.reference (參考文獻) | Sweeney R. J. (1986), "Beating the foreign exchange market," Journal of Finance , Vol. 41, pp. 163-182. | zh_TW |
| dc.relation.reference (參考文獻) | Tsao, C.-Y. and S.-H. Chen (2004), "Statistical Analysis of Genetic Algorithms in Discovering Technical Trading Strategies,`` | zh_TW |
| dc.relation.reference (參考文獻) | {\\em Advances in Econometrics, Vol. 17, pp. 1-43. | zh_TW |
| dc.relation.reference (參考文獻) | Wang, Jun (2000), "Trading and hedging in S\\&P 500 spot and futures markets using genetic programming, " The | zh_TW |
| dc.relation.reference (參考文獻) | Journal of Futures Markets, Vol. 20, pp. 911-942. | zh_TW |
| dc.relation.reference (參考文獻) | Yu, Tina, S-H Chen and T-W Kuo (2004a), "A Genetic Programming Approach to Model International Short-Term Capital Flow", Applications of Artificial Intelligence in Finance and Economics, Advances in Econometrics, Elsevier, Vol. 19, pp. 45-70. | zh_TW |
| dc.relation.reference (參考文獻) | Yu, Tina, S-H Chen and T-W Kuo (2004b), "Discovering Financial Technical Trading Rules Using Genetic Programming with Lambda | zh_TW |
| dc.relation.reference (參考文獻) | Abstraction," in U-M, O`Reilly, T. Yu, R. Riolo and B. Worzel (eds.), Genetic Programming Theory and Practice II, Springer, pp. 11-30. | zh_TW |
