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    题名: 深度學習結合凱利法則之投資策略: 以台灣股市為實證
    Investment Strategy for Deep Learning and Kelly Criterion: Evidence in Taiwan Stock Market
    作者: 胡詠惟
    Hu, Yong-Wei
    贡献者: 廖四郎
    Liao, Szu-Lang
    胡詠惟
    Hu, Yong-Wei
    关键词: 量化交易
    長時間短期記憶模型
    卷積神經網路
    凱利法則
    深度學習
    日期: 2020
    上传时间: 2020-08-03 17:37:41 (UTC+8)
    摘要: 本研究從台灣50成分股中，篩選出44家公司當作樣本。蒐集2007-2019年間的股價資料，以技術指標當作模型的輸入變數，應用卷積神經網路、長時間短期記憶模型於投資策略上，並結合凱利法則配置投資組合權重。實證結果發現長時間短期記憶模型在訓練期間(2007-2015)、測試期間(2016-2019)內預測股票漲跌準確率表現皆比卷積神經網路優異。實證結果也顯示使用長時間短期記憶模型建構之策略相比元大台灣50 ETF績效，各年度夏普值大多數表現得比元大台灣50 ETF優異。顯示使用深度學習與凱利法則在投資策略上，可以在控制風險的前提下，得到不錯的策略績效。
    This Research selects 44 companies from constituent stocks of Taiwan 50 Index as a sample. Collect stock price data from 2007 to 2019 and use technical indicators as input variables of the model, then apply Convolutional Neural Networks、Long Short Term Memory Network to investment strategies. In this research, Kelly criterion is used to allocate stock weights. Empirical results show that Long Short Term Memory Network performs better than Convolutional Neural Network in the accuracy of predicting stock movement during the training period (2007-2015) and the test period (2016-2019). Empirical results also show that most of the annual Sharpe ratios of portfolios constructed by Long Short Term Memory Network are greater than that of Yuanta Taiwan 50 ETF. In the end, this research shows that using deep learning method and Kelly criterion in portfolio construction can get good performance on the premise of controlling risks.
    參考文獻: [1] Adebiyi, A. A., Adewumi, A. O., & Ayo, C. K. (2014). Comparison of ARIMA and artificial neural networks models for stock price prediction. Journal of Applied Mathematics, 2014, 1-7.
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    [11] Kelly, J. L. (1956) A new interpretation of information rate. Bell System Technical Journal, 35(4), 917-926.
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    [19] Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.
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    [21] Wu, M. E., & Chung, W. H. (2018). A novel approach of option portfolio construction using the Kelly criterion. IEEE Access, 6(1), 53044-53052.
    [22] Zhai, Y., Hsu, A., & Halgamuge, S. K. (2007). Combining news and technical indicators in daily stock price trends prediction. In D. Liu, S. Fei, Z. Hou, H. Zhang & C. Sun (Eds.), Advances in Neural Networks – ISNN 2007 (pp. 1087-1096). Berlin, Germany: Springer.
    描述: 碩士
    國立政治大學
    金融學系
    107352015
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107352015
    数据类型: thesis
    DOI: 10.6814/NCCU202000612
    显示于类别:[金融學系] 學位論文

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