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| Title: | 基於神經網路的台指期量化交易策略
Quantitative TAIEX Futures Trading Strategies Based on Neutral Networks |
| Authors: | 陸韋廷
Lu, Wei-Ting |
| Contributors: | 江彌修
Chiang, Mi-Hsiu
陸韋廷
Lu, Wei-Ting |
| Keywords: | 神經網路
卷積神經網路
循環神經網路
量化交易
台指期
Neural Networks
Convolution Neural Networks
Recurrent Neural Networks
Quantitative Trading Strategies
TAIEX Futures |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:37:43 (UTC+8) |
| Abstract: | 本研究使用三種不同的神經網路模型，分別為人工神經網路(Artificial Neural Network, ANN)、卷積神經網路(Convolution Neural Networks, CNN)和循環神經網路(Recurrent Neural Networks, RNN)，並將其應用於台灣加權股價指數期貨(台指期)的交易策略開發。本研究比較當輸入資料的資訊含量不同時，對於神經網路模型的輸出結果與交易策略績效所造成的影響。另外也針對三個不同的神經網路模型的輸出結果與交易策略績效進行分析與探討。從實證結果來看，本研究發現不論是使用哪個神經網路模型，在每一個模型中表現最佳的均為使用輸入資訊含量最多的組別，亦即提供更多與預測目標相關的資訊時，這些資訊的確能夠有效提升神經網路模型的訓練結果，並在交易策略的回測獲得更好的報酬與績效。而在本研究使用的三個神經網路模型中，卷積神經網路不論在全樣本或是樣本外均擁有最佳的績效表現。另外，本研究建構的交易策略績效與長期持有大盤績效相比，不論在全樣本或是樣本外時間，績效表現均優於大盤表現。代表神經網路模型確實能夠捕捉到交易標的價格變動的規則，幫助建立具備良好獲利與較佳風險控管能力的交易策略。
In this paper, we implement three neural network models including Artificial Neural Network (ANN), Convolution Neural Networks (CNN) and Recurrent Neural Networks (RNN) in TAIEX Futures quantitative trading strategies. We compare the impact on the performance of trading strategies with different input information. In addition, we analyze the performance of trading strategies with different neural network models. We found that the group with the most input information performs best in each model. Among the three neural network models used in this paper, the performance of Convolution Neural Networks are the best whether they are at all times or testing period. In addition, the performance of the quantitative trading strategies constructed in this study are better than the performance of the benchmark whether they are at all times or testing period. In this paper, we found that the neural network models are useful to build quantitative trading strategies with good performance. |
| Reference: | 一、英文參考文獻
[1] Brock W., Lakonishok J., LeBaron B. (1992). Simple Technical Trading Rules and the Stochastic Properties of Stock Returns. The Journal of Finance, Vol. 47, No. 5, 1731-1764.
[2] Cho K., Merrienboer B., Gulcehre C., Bahdanau D., Bougares F., Schwenk H., Bengio Y. (2014). Learning Phrase Representations using RNN Encoder-Decoder for Statistical Machine Translation. Association for Computational Linguistics, Pages 1724-1734.
[3] Elman J. (1990). Finding structure in time. Cognitive Science, Volume 14, Issue 2, Pages 179-211.
[4] Fukushima K. (1980). Neocognitron:A self-organizing neural network model for a mechanism of pattern recognition unaffected by shift in position. Biological Cybernetics. 36 (4): 193–202.
[5] Hsu P.H., Hsu Y.C., Kuanc C.M. (2010). Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias. Journal of Empirical Finance, Volume 17, Issue 3, Pages 471-484.
[6] Hsu P.H., Taylor M.P. (2016). Technical Trading: Is It Still Beating The Foreign Exchange Market? Journal of International Economics, 102, 188-208.
[7] LeCun Y., Boser B., Denker J.S., Henderson D., Howard R.E., Hubbard W., Jackel L.D. (1989) Backpropagation Applied to Handwritten Zip Code Recognition. Neural Computation, 1(4), 541–551.
[8] LeCun Y., Bengio Y. (1995). Convolutional Networks for Images, Speech, and Time Series. The Handbook of Brain Theory and Neural Networks, 255-258.
[9] Levich R., Thomas L. (1993). The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach. Journal of International Money and Finance, Volume 12, Issue 5, 451-474.
[10] Pruitt S.W., White R.E. (1988). The CRISMA Trading System: Who Says Technical Analysis Can`t Beat The Market? Journal of Portfolio Management, 55-58.
[11] Sepp H., Jürgen S. (1997). Long Short-Term Memory. Neural Computation. 9 (8): 1735-1780.
[12] Sezer O.B., Ozbayoglu M. (2018). Algorithmic Financial Trading with Deep Convolutional Neural Networks: Time Series to Image Conversion Approach. Applied Soft Computing, Volume 70, Pages 525-538.
[13] Warren M., Pitts W. (1943). A Logical Calculus of Ideas Immanent in Nervous Activity. Bulletin of Mathematical Biophysics. 5 (4): 115–133.
[14] Werbos P. (1974). Beyond Regression: New Tools for Prediction and Analysis in the Behavioral Sciences. Harvard University, PhD thesis.
二、中文參考文獻
[1] 李杰穎，(2019)。卷積神經網路結合技術指標交易策略在台灣加權指數期貨之運用，國立政治大學，碩士論文。
[2] 許晏寧，(2019)。利用深度強化式學習建構價差交易策略:以台指期與摩台期為例，國立政治大學，碩士論文。
[3] 鄭仁杰，江彌修(2019)。漫步於隨機森林-輔以多數決學習的台股指數期貨交易策略，《經濟論文》，47:3，395-448。
[4] 賴嘉蔚，(2017)。卷積神經網路預測時間序列能力分析，國立政治大學，碩士論文。 |
| Description: | 碩士
國立政治大學
金融學系
107352016 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107352016 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000691 |
| Appears in Collections: | [金融學系] 學位論文
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