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題名 基因規劃法於金價預測之應用
Application of Genetic Programming in Gold Price Forecasting作者 黃偉恩
Huang, Wei En貢獻者 劉文卿
黃偉恩
Huang, Wei En關鍵詞 金價
基因規劃法
gold price
genetic programming日期 2009 上傳時間 4-九月-2013 16:56:46 (UTC+8) 摘要 本文以2003至2009年的資料為研究區間，採用基本面分析指標、技術面分析指標及基因規畫法對倫敦黃金午後定盤價每季帄均塑造金價預測模型，同時歸納以基因規畫法塑造金價預測模型時，應使用何種投入指標與相關基因規畫法參數設定，較有機會獲得較佳預測力的金價預測模型。 最後發現對於黃金價格而言，各國股市大盤及黃金供需相關因素為使用基因規畫法塑造金價預測模型時較重要的指標種類，而於經濟狀況有劇烈變動時，加入技術分析指標將會改善模型的表現。而比較指標與基因規畫設定參數(如挑選函式、運算子集合、演化代數、染色體群大小)對模型預測力之影響，發現指標對模型預測力的影響遠大於基因規畫設定參數。
The research uses the data between 2003 to 2009 to discuss the gold price forecastting model. Using fundamental analysis indices, technical analysis indices and Genetic Programming(GP) to modeling the gold price forecastting model. This paper also summarized that what kind of indexes and GP parameters should be set for getting better performance? Finally found that ,using the stock indices of important market and gold supply/demand factors to modeling usually get better performance. If there are drastic changes in economic conditions, using the technical analysis indices can improve the performance of model. The comparison of influence on model performance between indexes and GP parameters(ex. selecetio function, operator set, reproducting times, population size) show that, the indices have more influence to model performance than GP parameters.參考文獻 1. 吳聖修 (2003). 應用股票趨勢技術分析於動態投資組合保險中之操作策略, 國立交通大學資訊管理學程碩士班論文.2. 李映潔 (2006). 影響黃金價格因素其穩定性之研究, 國立成功大學國際企業研究所博士班.3. 許智和. (2003). "運用基因演算法搜尋最佳技術指標之台灣股市實證研究."4. 黃光廷 (2002). 技術分析、基本分析與投資組合避險績效之研究, 國立成功大學會計學系碩士論文.5. 楊孟龍 (2000). 類神經網路於股價波段預測及選股之應用, 國立中央大學資訊管理所碩士論文.6. Baker, S. A., Van Tassel, R. C. (1985). "Forecasting the Price of Gold:A Fundamentalist Approach." Atlantic Economic Journal.7. Batchelor, R., Gulley, D. (1995). "Jewellery demand and the price of gold." Resources Policy 21(1): 37-42.8. Capie, F., Mills,T. C. , Wood,G. (2005). "Gold as a hedge against the dollar." Journal of International Financial Markets, Institutions and Money 15(4): 343-3529. Cashin, P., McDermott, C. J., Scott, A. (2002). "Booms and slumps in world commodity prices." Journal of Development Economics 69(1): 277– 296.10. Cecchetti, S. G., Chu,R.S. , Steindel, C. (2000). "The Unreliability of Inflation Indicators." CURRENT ISSUES IN ECONOMICS AND FINANCE 6(4).11. Escribano, A., Granger, C. W. J. (1996). Investigating The Relationship Between Gold And Silver Prices, University Of California, San Diego, Department Of Economics.12. Fama, E. F. (1965). "The Behavior of Stock-Market Prices." Journal of Business4338(1): 34-105.13. Johnson, R., Soenen, L., (1997. ). "Gold as an investment asset: perspectives from different countries. ." Journal of Investing 6: 94-99.14. Kaufmann, T. D., Winters, R. A. (1989). "The price of gold: A simple model." RESOURCES POLICY 15(4): 309-313.15. Koza, J. R. (1998). Genetic Programming On the Programming of Computers by Means of Natural Selection.16. Moore, G. H. (1990). "Gold Prices and a Leading Index of Inflation." Challenge 33(4): 52-56.17. Murphy, J. J. (1999). Technical analysis of the financial markets, New York Institute of Finance.18. Pindyck, R. S., Rotemberg, J. J. (1990). "THE EXCESS CO-MOVEMENT OF COMMODITY PRICES." The Economic Journal 100: 1173-1189.19. Salant, S. W., Henderson, D. W. (1978). "Market Anticipations of Government Policies and the Price of Gold." Journal of Potilical Economy 86(4): 627-648.20. Schwager, J. D. (1984). Acomplete Guide to The Futures Markets, John Wiley & Sons.21. Sjaastad, L. A., Scacciavillani, F. (1996). "The price of gold and the exchange rate." Journal of International Money and Finance 15(6): 879 897.22. Solt, M. E., Swanson, P. J. (1981). "On the Efficiency of the Markets for Gold and Silver." Journal of Business 54(3): 453-478.23. Taylor, N. J. (1998). "Precious metals and inflation." Applied Financial Economics 8(2): 201-210.24. Tufano, P. (1998). "The Determinants of Stock Price Exposure:Financial Engineering and the Gold Mining Industry." THE JOURNAL OF FINANCE 53(3): 1015-1052. 描述 碩士
國立政治大學
資訊管理研究所
97356007
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097356007 資料類型 thesis dc.contributor.advisor 劉文卿 zh_TW dc.contributor.author (作者) 黃偉恩 zh_TW dc.contributor.author (作者) Huang, Wei En en_US dc.creator (作者) 黃偉恩 zh_TW dc.creator (作者) Huang, Wei En en_US dc.date (日期) 2009 en_US dc.date.accessioned 4-九月-2013 16:56:46 (UTC+8) - dc.date.available 4-九月-2013 16:56:46 (UTC+8) - dc.date.issued (上傳時間) 4-九月-2013 16:56:46 (UTC+8) - dc.identifier (其他 識別碼) G0097356007 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60204 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 資訊管理研究所 zh_TW dc.description (描述) 97356007 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 本文以2003至2009年的資料為研究區間，採用基本面分析指標、技術面分析指標及基因規畫法對倫敦黃金午後定盤價每季帄均塑造金價預測模型，同時歸納以基因規畫法塑造金價預測模型時，應使用何種投入指標與相關基因規畫法參數設定，較有機會獲得較佳預測力的金價預測模型。 最後發現對於黃金價格而言，各國股市大盤及黃金供需相關因素為使用基因規畫法塑造金價預測模型時較重要的指標種類，而於經濟狀況有劇烈變動時，加入技術分析指標將會改善模型的表現。而比較指標與基因規畫設定參數(如挑選函式、運算子集合、演化代數、染色體群大小)對模型預測力之影響，發現指標對模型預測力的影響遠大於基因規畫設定參數。 zh_TW dc.description.abstract (摘要) The research uses the data between 2003 to 2009 to discuss the gold price forecastting model. Using fundamental analysis indices, technical analysis indices and Genetic Programming(GP) to modeling the gold price forecastting model. This paper also summarized that what kind of indexes and GP parameters should be set for getting better performance? Finally found that ,using the stock indices of important market and gold supply/demand factors to modeling usually get better performance. If there are drastic changes in economic conditions, using the technical analysis indices can improve the performance of model. The comparison of influence on model performance between indexes and GP parameters(ex. selecetio function, operator set, reproducting times, population size) show that, the indices have more influence to model performance than GP parameters. en_US dc.description.tableofcontents 壹、序論 ......................................................................................................................... 8一、研究背景 .............................................................................................................. 8二、研究動機 .............................................................................................................. 9三、研究目的 ............................................................................................................ 10四、研究流程 ............................................................................................................ 10貳、文獻探討................................................................................................................ 12一、金價波動因素..................................................................................................... 12二、投資分析工具..................................................................................................... 17(一) 基本面分析工具 ............................................................................................. 17(二) 技術面分析工具 ............................................................................................. 17三、基因規劃法 ........................................................................................................ 19(一) 原理 ............................................................................................................... 19(二) 基本構成 ........................................................................................................ 19參、研究設計................................................................................................................ 22一、 塑模架構 .......................................................................................................... 22二、塑模參數 ............................................................................................................ 23(一)指標 ................................................................................................................. 23(二)模型參數.......................................................................................................... 24(三)時間參數.......................................................................................................... 24三、 塑模流程 .......................................................................................................... 25(一)前處理 ............................................................................................................. 25(二) GP建模 .......................................................................................................... 28(三) 評估指標 ........................................................................................................ 28(四) 回饋調整 ........................................................................................................ 29四、基因規劃運算..................................................................................................... 29(一) GP運算元件................................................................................................... 29(二)GP運算流程 .................................................................................................... 31肆、塑模結果................................................................................................................ 32一、塑模調整策略..................................................................................................... 32(一)指標調整.......................................................................................................... 32(二)模型參數調整 .................................................................................................. 32二、實驗結果 ............................................................................................................ 33(一) 指標調整 ........................................................................................................ 33(二) 模型參數調整 ................................................................................................ 35(三) 塑模最終結果 ................................................................................................ 38三、結果評論 ............................................................................................................ 38（二）模型參數..................................................................................................... 39（三）塑模最終結果 ............................................................................................. 39伍、結論 ....................................................................................................................... 40一、主要研究發現..................................................................................................... 40二、研究貢獻 ............................................................................................................ 40三、研究限制 ............................................................................................................ 41四、未來研究建議..................................................................................................... 41引用文獻 ....................................................................................................................... 42附錄一、指標種類及包含指標 ...................................................................................... 44附錄二、塑模最終結果 ................................................................................................. 49 zh_TW dc.format.extent 1458504 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/#G0097356007 en_US dc.subject (關鍵詞) 金價 zh_TW dc.subject (關鍵詞) 基因規劃法 zh_TW dc.subject (關鍵詞) gold price en_US dc.subject (關鍵詞) genetic programming en_US dc.title (題名) 基因規劃法於金價預測之應用 zh_TW dc.title (題名) Application of Genetic Programming in Gold Price Forecasting en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. 吳聖修 (2003). 應用股票趨勢技術分析於動態投資組合保險中之操作策略, 國立交通大學資訊管理學程碩士班論文.2. 李映潔 (2006). 影響黃金價格因素其穩定性之研究, 國立成功大學國際企業研究所博士班.3. 許智和. (2003). "運用基因演算法搜尋最佳技術指標之台灣股市實證研究."4. 黃光廷 (2002). 技術分析、基本分析與投資組合避險績效之研究, 國立成功大學會計學系碩士論文.5. 楊孟龍 (2000). 類神經網路於股價波段預測及選股之應用, 國立中央大學資訊管理所碩士論文.6. Baker, S. A., Van Tassel, R. C. (1985). "Forecasting the Price of Gold:A Fundamentalist Approach." Atlantic Economic Journal.7. Batchelor, R., Gulley, D. (1995). "Jewellery demand and the price of gold." Resources Policy 21(1): 37-42.8. Capie, F., Mills,T. C. , Wood,G. (2005). "Gold as a hedge against the dollar." Journal of International Financial Markets, Institutions and Money 15(4): 343-3529. Cashin, P., McDermott, C. J., Scott, A. (2002). "Booms and slumps in world commodity prices." Journal of Development Economics 69(1): 277– 296.10. Cecchetti, S. G., Chu,R.S. , Steindel, C. (2000). "The Unreliability of Inflation Indicators." CURRENT ISSUES IN ECONOMICS AND FINANCE 6(4).11. Escribano, A., Granger, C. W. J. (1996). Investigating The Relationship Between Gold And Silver Prices, University Of California, San Diego, Department Of Economics.12. Fama, E. F. (1965). "The Behavior of Stock-Market Prices." Journal of Business4338(1): 34-105.13. Johnson, R., Soenen, L., (1997. ). "Gold as an investment asset: perspectives from different countries. ." Journal of Investing 6: 94-99.14. Kaufmann, T. D., Winters, R. A. (1989). "The price of gold: A simple model." RESOURCES POLICY 15(4): 309-313.15. Koza, J. R. (1998). Genetic Programming On the Programming of Computers by Means of Natural Selection.16. Moore, G. H. (1990). "Gold Prices and a Leading Index of Inflation." Challenge 33(4): 52-56.17. Murphy, J. J. (1999). Technical analysis of the financial markets, New York Institute of Finance.18. Pindyck, R. S., Rotemberg, J. J. (1990). "THE EXCESS CO-MOVEMENT OF COMMODITY PRICES." The Economic Journal 100: 1173-1189.19. Salant, S. W., Henderson, D. W. (1978). "Market Anticipations of Government Policies and the Price of Gold." Journal of Potilical Economy 86(4): 627-648.20. Schwager, J. D. (1984). Acomplete Guide to The Futures Markets, John Wiley & Sons.21. Sjaastad, L. A., Scacciavillani, F. (1996). "The price of gold and the exchange rate." Journal of International Money and Finance 15(6): 879 897.22. Solt, M. E., Swanson, P. J. (1981). "On the Efficiency of the Markets for Gold and Silver." Journal of Business 54(3): 453-478.23. Taylor, N. J. (1998). "Precious metals and inflation." Applied Financial Economics 8(2): 201-210.24. Tufano, P. (1998). "The Determinants of Stock Price Exposure:Financial Engineering and the Gold Mining Industry." THE JOURNAL OF FINANCE 53(3): 1015-1052. zh_TW
