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    题名: 基因規劃法於金價預測之應用
    Application of Genetic Programming in Gold Price Forecasting
    作者: 黃偉恩
    Huang, Wei En
    贡献者: 劉文卿
    黃偉恩
    Huang, Wei En
    关键词: 金價
    基因規劃法
    gold price
    genetic programming
    日期: 2009
    上传时间: 2013-09-04 16:56:46 (UTC+8)
    摘要: 本文以2003至2009年的資料為研究區間，採用基本面分析指標、技術面分析指標及基因規畫法對倫敦黃金午後定盤價每季帄均塑造金價預測模型，同時歸納以基因規畫法塑造金價預測模型時，應使用何種投入指標與相關基因規畫法參數設定，較有機會獲得較佳預測力的金價預測模型。
    最後發現對於黃金價格而言，各國股市大盤及黃金供需相關因素為使用基因規畫法塑造金價預測模型時較重要的指標種類，而於經濟狀況有劇烈變動時，加入技術分析指標將會改善模型的表現。而比較指標與基因規畫設定參數(如挑選函式、運算子集合、演化代數、染色體群大小)對模型預測力之影響，發現指標對模型預測力的影響遠大於基因規畫設定參數。
    The research uses the data between 2003 to 2009 to discuss the gold price forecastting model. Using fundamental analysis indices, technical analysis indices and Genetic Programming(GP) to modeling the gold price forecastting model. This paper also summarized that what kind of indexes and GP parameters should be set for getting better performance?
    Finally found that ,using the stock indices of important market and gold supply/demand factors to modeling usually get better performance. If there are drastic changes in economic conditions, using the technical analysis indices can improve the performance of model. The comparison of influence on model performance between indexes and GP parameters(ex. selecetio function, operator set, reproducting times, population size) show that, the indices have more influence to model performance than GP parameters.
    參考文獻: 1. 吳聖修 (2003). 應用股票趨勢技術分析於動態投資組合保險中之操作策略, 國立交通大學資訊管理學程碩士班論文.
    2. 李映潔 (2006). 影響黃金價格因素其穩定性之研究, 國立成功大學國際企業研究所博士班.
    3. 許智和. (2003). "運用基因演算法搜尋最佳技術指標之台灣股市實證研究."
    4. 黃光廷 (2002). 技術分析、基本分析與投資組合避險績效之研究, 國立成功大學會計學系碩士論文.
    5. 楊孟龍 (2000). 類神經網路於股價波段預測及選股之應用, 國立中央大學資訊管理所碩士論文.
    6. Baker, S. A., Van Tassel, R. C. (1985). "Forecasting the Price of Gold:A Fundamentalist Approach." Atlantic Economic Journal.
    7. Batchelor, R., Gulley, D. (1995). "Jewellery demand and the price of gold." Resources Policy 21(1): 37-42.
    8. Capie, F., Mills,T. C. , Wood,G. (2005). "Gold as a hedge against the dollar." Journal of International Financial Markets, Institutions and Money 15(4): 343-352
    9. Cashin, P., McDermott, C. J., Scott, A. (2002). "Booms and slumps in world commodity prices." Journal of Development Economics 69(1): 277– 296.
    10. Cecchetti, S. G., Chu,R.S. , Steindel, C. (2000). "The Unreliability of Inflation Indicators." CURRENT ISSUES IN ECONOMICS AND FINANCE 6(4).
    11. Escribano, A., Granger, C. W. J. (1996). Investigating The Relationship Between Gold And Silver Prices, University Of California, San Diego, Department Of Economics.
    12. Fama, E. F. (1965). "The Behavior of Stock-Market Prices." Journal of Business
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    38(1): 34-105.
    13. Johnson, R., Soenen, L., (1997. ). "Gold as an investment asset: perspectives from different countries. ." Journal of Investing 6: 94-99.
    14. Kaufmann, T. D., Winters, R. A. (1989). "The price of gold: A simple model." RESOURCES POLICY 15(4): 309-313.
    15. Koza, J. R. (1998). Genetic Programming On the Programming of Computers by Means of Natural Selection.
    16. Moore, G. H. (1990). "Gold Prices and a Leading Index of Inflation." Challenge 33(4): 52-56.
    17. Murphy, J. J. (1999). Technical analysis of the financial markets, New York Institute of Finance.
    18. Pindyck, R. S., Rotemberg, J. J. (1990). "THE EXCESS CO-MOVEMENT OF COMMODITY PRICES." The Economic Journal 100: 1173-1189.
    19. Salant, S. W., Henderson, D. W. (1978). "Market Anticipations of Government Policies and the Price of Gold." Journal of Potilical Economy 86(4): 627-648.
    20. Schwager, J. D. (1984). Acomplete Guide to The Futures Markets, John Wiley & Sons.
    21. Sjaastad, L. A., Scacciavillani, F. (1996). "The price of gold and the exchange rate." Journal of International Money and Finance 15(6): 879 897.
    22. Solt, M. E., Swanson, P. J. (1981). "On the Efficiency of the Markets for Gold and Silver." Journal of Business 54(3): 453-478.
    23. Taylor, N. J. (1998). "Precious metals and inflation." Applied Financial Economics 8(2): 201-210.
    24. Tufano, P. (1998). "The Determinants of Stock Price Exposure:Financial Engineering and the Gold Mining Industry." THE JOURNAL OF FINANCE 53(3): 1015-1052.
    描述: 碩士
    國立政治大學
    資訊管理研究所
    97356007
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097356007
    数据类型: thesis
    显示于类别:[資訊管理學系] 學位論文

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