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| Title: | 資產配置基於集成學習的多因子模型－以台灣股市為例
Asset Allocation Based on Ensemble-Learning Assisted Multi-Factor Models– Taiwan Stock Market as an Example |
| Authors: | 陳昱安
Chen, Yu-An |
| Contributors: | 江彌修
Chiang, Mi-Hsiu
陳昱安
Chen, Yu-An |
| Keywords: | 因子選股
機器學習
集成學習
隨機森林
台股市場
Factors stock selection
Machine learning
Ensemble-learning
XGBoost
Random forest
Taiwan stock market |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:38:21 (UTC+8) |
| Abstract: | 本研究使用了三種傳統多因子選股模型以及結合了因子選股的兩種集成學習法為基礎之機器學習分類模型Extreme Gradient Boosting (XGBoost)、Random Forest來建構選股模型，並且比較了傳統多因子選股模型以及機器學習因子選股模型之策略績效，同時觀察兩種機器學習模型之間預測效果以及策略績效的差異性。而本研究所採用之資產標的為台灣股票市場之上市股票，樣本回測期間採自2010/1/1 至2020/1/1之所有台灣上市股票，因子特徵選取方面撇除掉過去研究常用之基本面數據，採用價量面以及台灣市場獨有之籌碼面資料，實證結果顯示，兩種機器學習模型在樣本內回測期間大幅優於傳統多因子選股模型，而在樣本外回測期間策略績效表現亦較傳統多因子選股模型出色，顯示了機器學習模型挖掘出資產報酬趨勢的能力。仔細比較XGBoost和Random Forest的策略績效後，可以發現到XGBoost優於Random Forest，表示帶有懲罰項係數防止決策樹過度擬合之XGBoost模型在樣本外表現上優於Random Forest，完整體現了金融市場隨著時間不斷變化的特性，模型優化了過度擬合歷史數據的缺點，提升模型在樣本外的性能。
In this paper, we implement three traditional multi-factor stock selection models and two ensemble-learning models including Extreme Gradient Boosting (XGBoost) and Random Forest combined with stock factors. We compared the strategy performance of traditional factor stock selection model and ensemble-learning factor stock selection model, and the difference between the prediction effectiveness and strategy performance of the two ensemble-learning models. The assets used in this research are the listed stocks in Taiwan stock market and the backtesting period is from 2010/1/1 to 2020/1/1. The stock factors include technical data and the unique trading volume data of Taiwan stock market and exclude fundamental data that commonly used in the research before. The empirical results show that the two ensemble-learning models outperform the traditional multi-factor stock selection model during the whole period. This results prove the ability of ensemble-learning models to capture asset return trend. In the results, we can also find that XGBoost outperforms Random Forest, indicating the model with penalty coefficients to prevent over-fitting outperforms, fully reflecting the time-varying of financial market, the model optimizes the disadvantage in over-fitting historical data and improves the performance of the model outside the sample. |
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| Description: | 碩士
國立政治大學
金融學系
107352021 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107352021 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000702 |
| Appears in Collections: | [金融學系] 學位論文
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