政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/59969
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59969


    Title: 台股指數交易之研究 – EEMD與ANN方法
    Taiwan weighted stock index trading research-EEMD And ANN method
    Authors: 蔡橙檥
    Contributors: 廖四郎
    蔡橙檥
    Keywords: 類神經網路
    Ensemble Empirical Mode Decomposition
    Artificial Neural Network
    Date: 2010
    Issue Date: 2013-09-04 10:08:23 (UTC+8)
    Abstract: 在台灣證券市場中，有許多的技術分析方法或指標，市場參與者或財
    務學者會利用歷史資料來做回溯測試，找出可運用的方法或指標，以此來
    推測出台股加權指數未來的趨勢，也有學者利用類神經網路(Artificial
    Neural Network, ANN)考慮經濟景氣、技術分析指標等作為輸入變數來預測
    台股加權指數，而本文則利用 EEMD(Ensemble Empirical Mode
    Decomposition)拆解出來的結果作為 ANN 的輸入變數，並將 ANN 預測出
    的值轉換成 FK (Forward-calculated %K) 值，再搭配不同的交易方式，來
    補捉台股加權指數的走勢，並比較各種交易方式的績效，找出一個能夠穩
    定獲利的交易模型。
    Reference: Chena A.S., M.T. Leungb, H. Daouk(2003), “Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index”, Computers & Operations Research 30 (2003) 901–923
    Chan M.C., C.C. Wong, C.C. Lan(2000), “Financial Time Series Forecasting by Neural Network Using Conjugate Gradient Learning Algorithm and Multiple Linear Regression Weight Initialization”, Citeseer (2000)
    Hamid S.A., Z. Iqbal(2004), “Using neural networks for forecasting volatility of S&P 500 Index futures prices”, Journal of Business Research 57(2004) 1116-1125
    Irina K., J. Lelis(2008), “Pre-Processing of Input Data of Neural Networks:The Case of Forecasting Telecommunication Network Traffic”, Telenor ASA(2008)
    Lane G.C.(1984), “Trading Strategies”, Future Symposium International(1984)
    Lin T.W., C.C. Yu(2009), “Forecasting stock market with neural networks”, SSRN Working Paper (2009)
    Quaha T.S., B. Srinivasan(1999), “Improving returns on stock investment through neural network selection”, Expert Systems with Applications 17 (1999) 295–301
    Wu Z.H., N.E. Huang(2009), “Ensemble Empirical Mode Decomposition:A Noise-Assisted Date Analysis Method”, Advances in Adaptive Data Analysis Vol. 1, No.1 (2009) 1-41.

    Yu L., S.Y. Wang , K.K. Lai(2008), “Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm”, Energy Economics 30(2008) 2623-2635
    Zhang, J.Z., “Design and implementation of intelligent stock trading decision support systems using adaptive-structure neural networks”, PhD thesis, Department Of Electrical Engineering, National Taiwan University, 1993
    Zhang X., K.K. Lai, S.Y. Wang (2008), “A new approach for crude oil price analysis based on Empirical Mode Decomposition”, Energy Economics 30(2008) 905-918
    林萍珍(2008), 投資分析:含Matlab應用、類神經網路與遺傳演算法模型
    謝志敏(2007), 希爾伯特黃轉換簡介(Hilbert Huang Transform)
    羅華強編著(2005), 類神經網路 – MATLAB的應用
    Description: 碩士
    國立政治大學
    金融研究所
    98352028
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098352028
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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