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題名 台股指數交易之研究 – EEMD與ANN方法
Taiwan weighted stock index trading research-EEMD And ANN method作者 蔡橙檥 貢獻者 廖四郎
蔡橙檥關鍵詞 類神經網路
Ensemble Empirical Mode Decomposition
Artificial Neural Network日期 2010 上傳時間 4-Sep-2013 10:08:23 (UTC+8) 摘要 在台灣證券市場中，有許多的技術分析方法或指標，市場參與者或財務學者會利用歷史資料來做回溯測試，找出可運用的方法或指標，以此來推測出台股加權指數未來的趨勢，也有學者利用類神經網路(Artificial Neural Network, ANN)考慮經濟景氣、技術分析指標等作為輸入變數來預測台股加權指數，而本文則利用 EEMD(Ensemble Empirical Mode Decomposition)拆解出來的結果作為 ANN 的輸入變數，並將 ANN 預測出的值轉換成 FK (Forward-calculated %K) 值，再搭配不同的交易方式，來補捉台股加權指數的走勢，並比較各種交易方式的績效，找出一個能夠穩定獲利的交易模型。 參考文獻 Chena A.S., M.T. Leungb, H. Daouk(2003), “Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index”, Computers & Operations Research 30 (2003) 901–923Chan M.C., C.C. Wong, C.C. Lan(2000), “Financial Time Series Forecasting by Neural Network Using Conjugate Gradient Learning Algorithm and Multiple Linear Regression Weight Initialization”, Citeseer (2000)Hamid S.A., Z. Iqbal(2004), “Using neural networks for forecasting volatility of S&P 500 Index futures prices”, Journal of Business Research 57(2004) 1116-1125Irina K., J. Lelis(2008), “Pre-Processing of Input Data of Neural Networks:The Case of Forecasting Telecommunication Network Traffic”, Telenor ASA(2008)Lane G.C.(1984), “Trading Strategies”, Future Symposium International(1984)Lin T.W., C.C. Yu(2009), “Forecasting stock market with neural networks”, SSRN Working Paper (2009)Quaha T.S., B. Srinivasan(1999), “Improving returns on stock investment through neural network selection”, Expert Systems with Applications 17 (1999) 295–301Wu Z.H., N.E. Huang(2009), “Ensemble Empirical Mode Decomposition:A Noise-Assisted Date Analysis Method”, Advances in Adaptive Data Analysis Vol. 1, No.1 (2009) 1-41.Yu L., S.Y. Wang , K.K. Lai(2008), “Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm”, Energy Economics 30(2008) 2623-2635Zhang, J.Z., “Design and implementation of intelligent stock trading decision support systems using adaptive-structure neural networks”, PhD thesis, Department Of Electrical Engineering, National Taiwan University, 1993Zhang X., K.K. Lai, S.Y. Wang (2008), “A new approach for crude oil price analysis based on Empirical Mode Decomposition”, Energy Economics 30(2008) 905-918林萍珍(2008), 投資分析:含Matlab應用、類神經網路與遺傳演算法模型謝志敏(2007), 希爾伯特黃轉換簡介(Hilbert Huang Transform)羅華強編著(2005), 類神經網路 – MATLAB的應用 描述 碩士
國立政治大學
金融研究所
98352028
99資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098352028 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.author (Authors) 蔡橙檥 zh_TW dc.creator (作者) 蔡橙檥 zh_TW dc.date (日期) 2010 en_US dc.date.accessioned 4-Sep-2013 10:08:23 (UTC+8) - dc.date.available 4-Sep-2013 10:08:23 (UTC+8) - dc.date.issued (上傳時間) 4-Sep-2013 10:08:23 (UTC+8) - dc.identifier (Other Identifiers) G0098352028 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59969 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 98352028 zh_TW dc.description (描述) 99 zh_TW dc.description.abstract (摘要) 在台灣證券市場中，有許多的技術分析方法或指標，市場參與者或財務學者會利用歷史資料來做回溯測試，找出可運用的方法或指標，以此來推測出台股加權指數未來的趨勢，也有學者利用類神經網路(Artificial Neural Network, ANN)考慮經濟景氣、技術分析指標等作為輸入變數來預測台股加權指數，而本文則利用 EEMD(Ensemble Empirical Mode Decomposition)拆解出來的結果作為 ANN 的輸入變數，並將 ANN 預測出的值轉換成 FK (Forward-calculated %K) 值，再搭配不同的交易方式，來補捉台股加權指數的走勢，並比較各種交易方式的績效，找出一個能夠穩定獲利的交易模型。 zh_TW dc.description.tableofcontents 1. 序論 6 1.1 研究動機與目的 6 1.2 研究架構 72. 文獻探討 83. 研究方法 11 3.1 Empirical Mode Decomposition (EMD) 11 3.2 Ensemble Empirical Mode Decomposition (EEMD) 14 3.3 Artificial Neural Network (ANN) 16 3.4 FK Indicator 234. 實證研究 25 4.1 資料選取 25 4.2 實證過程 25 4.2.1 資料分類 26 4.2.2 EEMD拆解結果 27 4.2.3 ANN預測與FK指標 31 4.2.4 交易邏輯與績效 385. 結論 43參考文獻 44Appendix 46 zh_TW dc.format.extent 4037773 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098352028 en_US dc.subject (關鍵詞) 類神經網路 zh_TW dc.subject (關鍵詞) Ensemble Empirical Mode Decomposition en_US dc.subject (關鍵詞) Artificial Neural Network en_US dc.title (題名) 台股指數交易之研究 – EEMD與ANN方法 zh_TW dc.title (題名) Taiwan weighted stock index trading research-EEMD And ANN method en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Chena A.S., M.T. Leungb, H. Daouk(2003), “Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index”, Computers & Operations Research 30 (2003) 901–923Chan M.C., C.C. Wong, C.C. Lan(2000), “Financial Time Series Forecasting by Neural Network Using Conjugate Gradient Learning Algorithm and Multiple Linear Regression Weight Initialization”, Citeseer (2000)Hamid S.A., Z. Iqbal(2004), “Using neural networks for forecasting volatility of S&P 500 Index futures prices”, Journal of Business Research 57(2004) 1116-1125Irina K., J. Lelis(2008), “Pre-Processing of Input Data of Neural Networks:The Case of Forecasting Telecommunication Network Traffic”, Telenor ASA(2008)Lane G.C.(1984), “Trading Strategies”, Future Symposium International(1984)Lin T.W., C.C. Yu(2009), “Forecasting stock market with neural networks”, SSRN Working Paper (2009)Quaha T.S., B. Srinivasan(1999), “Improving returns on stock investment through neural network selection”, Expert Systems with Applications 17 (1999) 295–301Wu Z.H., N.E. Huang(2009), “Ensemble Empirical Mode Decomposition:A Noise-Assisted Date Analysis Method”, Advances in Adaptive Data Analysis Vol. 1, No.1 (2009) 1-41.Yu L., S.Y. Wang , K.K. Lai(2008), “Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm”, Energy Economics 30(2008) 2623-2635Zhang, J.Z., “Design and implementation of intelligent stock trading decision support systems using adaptive-structure neural networks”, PhD thesis, Department Of Electrical Engineering, National Taiwan University, 1993Zhang X., K.K. Lai, S.Y. Wang (2008), “A new approach for crude oil price analysis based on Empirical Mode Decomposition”, Energy Economics 30(2008) 905-918林萍珍(2008), 投資分析:含Matlab應用、類神經網路與遺傳演算法模型謝志敏(2007), 希爾伯特黃轉換簡介(Hilbert Huang Transform)羅華強編著(2005), 類神經網路 – MATLAB的應用 zh_TW
