| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (作者) | 謝宛純 | zh_TW |
| dc.creator (作者) | 謝宛純 | zh_TW |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-九月-2011 16:47:41 (UTC+8) | - |
| dc.date.available | 29-九月-2011 16:47:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-九月-2011 16:47:41 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0097357015 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50816 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 97357015 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 雖然技術分析的爭議非常的多，在市場上卻仍然被廣泛應用，原因即是因為容易被理解且方便應用，不過當馬可夫轉換模型出現時，技術分析便面臨的挑戰。馬可夫轉換模型又稱為隨機分段趨勢模型(stochastic segmented trend model)，預測方法也類似於技術分析，利用一段期間內的趨勢來判斷未來走勢。 本研究利用馬可夫轉換模型以及技術分析中相當受歡迎的移動平均轉換法相互作比較，研究標的則選擇國內的兩種期貨：臺股期貨與黃金期貨和國外的五種商品期貨：紐約黃金、布蘭特原油、芝加哥小麥、玉米和大豆共七種期貨，相互比較後，我們發現馬可夫轉換模型在樣本內的獲利績效比均線轉換法的績效要來得好，其中平滑推論又比濾嘴推論的績效好。 另外，馬可夫轉換模型在樣本外的績效並不亮眼，原因可能是估計參數的不穩定性過高，不過在臺灣黃金期貨的部分，樣本外表現也是非常的亮眼。 | zh_TW |
| dc.description.tableofcontents | 第壹章 緒論 1第一節 研究背景與動機 1第二節 研究目的 4第三節 研究架構 5第四節 研究流程圖 6第貳章 文獻探討 7第一節 馬可夫狀態轉換模型 7第二節 均線轉換模型 11第參章 研究方法 15第一節 資料來源與整理 15第二節 研究模型建立 17第三節 獲利績效測試方法 19第肆章 實證結果 22第一節 馬可夫轉換模型參數估計 22第二節 馬可夫轉換模型獲利績效測試 25第三節 均線轉換轉換模型獲利績效測試 37第伍章 結論與建議 40參考文獻 42附錄 45 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097357015 | en_US |
| dc.subject (關鍵詞) | 台股期貨 | zh_TW |
| dc.subject (關鍵詞) | 黃金期貨 | zh_TW |
| dc.subject (關鍵詞) | 移動平均線 | zh_TW |
| dc.subject (關鍵詞) | 馬可夫狀態轉換模型 | zh_TW |
| dc.title (題名) | 馬可夫轉換基礎下技術分析：七種國內外期貨的探討 | zh_TW |
| dc.title (題名) | Technical analysis based on Markov regime switching model：seven internal and external futures | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 一、 中文部分 | zh_TW |
| dc.relation.reference (參考文獻) | 1. 黎明淵， “馬可夫轉換模型應用性與合用性探討”，國立政治大學國際貿易學系博士論文，民國八十九年. | zh_TW |
| dc.relation.reference (參考文獻) | 二、 英文部份 | zh_TW |
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| dc.relation.reference (參考文獻) | 4. Bergman, U. M. and Hansson, J. (2005), “Real Exchange Rates and Switching Regimes”, Journal of International Money and Finance 24, 121-138 | zh_TW |
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| dc.relation.reference (參考文獻) | 9. Goldfeld, Stephen M., and Quandt, Richard E. (1973), “A Markov Model for Switching Regressions”, Journal of Econometrics, Vol.1, p.3-15 | zh_TW |
| dc.relation.reference (參考文獻) | 10. Hamilton, J. D. (1994) Time Series Analysis, Princeton, NJ: Princeton University Press,. | zh_TW |
| dc.relation.reference (參考文獻) | 11. Hamilton, J. D., and Susmel, R. (1994) "Autoregressive Conditional Heteroskedasticity and Changes in Regime", Journal of Econometrics, Vol.64, P307-333. | zh_TW |
| dc.relation.reference (參考文獻) | 12. Hudson, R., Dempsey, M. and Keasey, K. (1996), “A Note on the Weak Form Efficiency of Capital Markets: The Application of Simple Technical Trading Rules to UK Stock Prices–1935 to 1994”, Journal of Banking & Finance, Vol.20, , p.1121-1132. | zh_TW |
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| dc.relation.reference (參考文獻) | 14. Marsh, I. W. (2000), “High-frequency Markov Switching Models in the Foreign Exchange Market”, Journal of Forecasting, 19, 123-134 | zh_TW |
| dc.relation.reference (參考文獻) | 15. Osler, Carol (2000), "Support for Resistance: Technical Analysis and Intraday Exchange Rates”, FRBNY Economic Policy Review , July 2000, p.53-68 | zh_TW |
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| dc.relation.reference (參考文獻) | | zh_TW |
