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| Title: | 遺傳模式在匯率上分析與預測之應用
Genetic Models and Its Application in Exchange Rates Analysis and Forecasting |
| Authors: | 許毓云
Hsu, Yi-Yun |
| Contributors: | 吳柏林
Wu, Berlin
許毓云
Hsu, Yi-Yun |
| Keywords: | 非線性時間數列
遺傳建模
主導模式
隸屬度函數
匯率
Nonlinear time series
Genetic modeling
Leading models
Membership function
Exchange rates |
| Date: | 1998 |
| Issue Date: | 2009-09-18 18:28:04 (UTC+8) |
| Abstract: | Abstract
In time series analysis, we often find the trend of dynamic data changing with time. Using the traditional model fitting can`t get a good explanation for dynamic data. Therefore, many scholars developed various methods for model construction. The major drawback with most of the methods is that personal viewpoint and experience in model selection are usually influenced in them. Therefore, this paper presents a new approach on genetic-based modeling for the nonlinear time series. The research is based on the concepts of evolution theory as well as natural selection. In order to find a leading model from the nonlinear time series, we make use of the evolution rule: survival of the fittest. Through the process of genetic evolution, the AIC (Akaike information criteria) is used as the adjust function, and the membership function of the best-fitted models are calculated as performance index of chromosome. Empirical example shows that the genetic model can give an efficient explanation in analyzing Taiwan exchange rates, especially when the structure change occurs. |
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| Description: | 碩士
國立政治大學
應用數學研究所
86751005
87 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#B2002001687 |
| Data Type: | thesis |
| Appears in Collections: | [應用數學系] 學位論文
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