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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/50816


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/50816


    題名: 馬可夫轉換基礎下技術分析：七種國內外期貨的探討
    Technical analysis based on Markov regime switching model：seven internal and external futures
    作者: 謝宛純
    貢獻者: 杜化宇
    謝宛純
    關鍵詞: 台股期貨
    黃金期貨
    移動平均線
    馬可夫狀態轉換模型
    日期: 2010
    上傳時間: 2011-09-29 16:47:41 (UTC+8)
    摘要: 雖然技術分析的爭議非常的多，在市場上卻仍然被廣泛應用，原因即是因為容易被理解且方便應用，不過當馬可夫轉換模型出現時，技術分析便面臨的挑戰。馬可夫轉換模型又稱為隨機分段趨勢模型(stochastic segmented trend model)，預測方法也類似於技術分析，利用一段期間內的趨勢來判斷未來走勢。
    本研究利用馬可夫轉換模型以及技術分析中相當受歡迎的移動平均轉換法相互作比較，研究標的則選擇國內的兩種期貨：臺股期貨與黃金期貨和國外的五種商品期貨：紐約黃金、布蘭特原油、芝加哥小麥、玉米和大豆共七種期貨，相互比較後，我們發現馬可夫轉換模型在樣本內的獲利績效比均線轉換法的績效要來得好，其中平滑推論又比濾嘴推論的績效好。
    另外，馬可夫轉換模型在樣本外的績效並不亮眼，原因可能是估計參數的不穩定性過高，不過在臺灣黃金期貨的部分，樣本外表現也是非常的亮眼。
    參考文獻: 一、 中文部分
    1. 黎明淵， “馬可夫轉換模型應用性與合用性探討”，國立政治大學國際貿易學系博士論文，民國八十九年.
    二、 英文部份
    1. Bessembinder, H. and Chan, K. (1995),“The Profitability of Technical Trading Rules in the Asia Stock Market”, Pacific-Basin Finance Journal 3, p.257-284
    2. Brock,W., Lakonishok, J. and LeBaron, B. (1992), “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,” Journal of Finance, Vol.47, p.1731-1764.
    3. Brooks, C. and Persand, G. (2001), “The Trading Profitability of Forecasts of the Gilt--Equity Yield Ratio”, International Journal of Forecasting 17, p.11-29
    4. Bergman, U. M. and Hansson, J. (2005), “Real Exchange Rates and Switching Regimes”, Journal of International Money and Finance 24, 121-138
    5. Clare, A.D., S.H. Thomas, and M.R. Wickens (1994), Is The Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?, Economic Journal 104, 303–315.
    6. Coonter, Paul. H. (1962), “Stock Market Price: Random vs. System Change” , Industrial Management Review, Spring 1962, Vol. 3, Iss. 2, p. 24-45
    7. Dacco, R. and Satchell, S. (1995) , “Why Do Regime Switching Models Forecast So Badly”`, Discussion Paper FE-7/95, Birkbeck College
    8. Gray, S. F. (1996), “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process”, Journal of Financial Economics, Vol. 42, p.27-62.
    9. Goldfeld, Stephen M., and Quandt, Richard E. (1973), “A Markov Model for Switching Regressions”, Journal of Econometrics, Vol.1, p.3-15
    10. Hamilton, J. D. (1994) Time Series Analysis, Princeton, NJ: Princeton University Press,.
    11. Hamilton, J. D., and Susmel, R. (1994) "Autoregressive Conditional Heteroskedasticity and Changes in Regime", Journal of Econometrics, Vol.64, P307-333.
    12. Hudson, R., Dempsey, M. and Keasey, K. (1996), “A Note on the Weak Form Efficiency of Capital Markets: The Application of Simple Technical Trading Rules to UK Stock Prices–1935 to 1994”, Journal of Banking & Finance, Vol.20, , p.1121-1132.
    13. Levich, R. M. and Thomas, L. R. (1993), “The Significance of Technical Trading Rule Profits in The Foreign Exchange Market: A Bootstrap Approach”, Journal of International Money and Finance, Vol.12, p.451-474.
    14. Marsh, I. W. (2000), “High-frequency Markov Switching Models in the Foreign Exchange Market”, Journal of Forecasting, 19, 123-134
    15. Osler, Carol (2000), "Support for Resistance: Technical Analysis and Intraday Exchange Rates”, FRBNY Economic Policy Review , July 2000, p.53-68
    16. Pruitt, S. W. and White, Richard E. (1988), “The CRISMA Trading System: Who Says Technical Analysis Can Not Beat the Market?”, Journal of Portfolio Management, September 1988, p.55-58
    17. Taylor, M. P. and Allen, H. (1992),“The Use of Technical Analysis in The Foreign Exchange Market”. Journal of International Money and Finance, Vol. 11, Iss. 3, June 1992, p.304-314
    描述: 碩士
    國立政治大學
    財務管理研究所
    97357015
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097357015
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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