政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99766

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99766

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政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 > Item 140.119/99766

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題名:	基於微服務架構之即時建模的程式交易系統 Real-Time Modeling Program Trading System Based On Microservice Architecture
作者:	萬恩福 Wan, En Fu
貢獻者:	劉文卿 Liou, Wen Ching 萬恩福 Wan, En Fu
關鍵詞:	程式交易即時建模適應性調整時間序列模型分散式運算集成方法 Program Trading Real-Time Modeling Adaptation Time Series Model Distributed Computing Ensemble Method
日期:	2016
上傳時間:	2016-08-09 10:45:02 (UTC+8)
摘要:	本研究以預測台指期為例，透過時間序列作為預測模型，其貢獻在於以即時建模的方式，解決批次建模難以臨時調整模型之缺點，以分散式運算技術Storm，結合R之運算環境，在極短的時間內，平行建立大量單變數與多變數時間序列模型，改善以往建立模型時，為了找出較佳模型，所需反覆執行的建模過程，最後採取集成方法，將所有模型集結起來，以投票方式預測適應性訊號，並且透過適應性調整的機制，逐漸逼近最佳的預測準確度。
參考文獻:	[1] Y. F. Wang, "Predicting stock price using fuzzy grey prediction system," Expert Systems with Applications, vol. 22, pp. 33–38, 2002/01/01 2002. [2] M. H. F. Zarandi, B. Rezaee, I. B. Turksen, and E. Neshat, "A type-2 fuzzy rule-based expert system model for stock price analysis," Expert Systems with Applications, vol. 36, pp. 139–154, 2009/01/01 2009. [3] R. J. Kuo, C. H. Chen, and Y. C. Hwang, "An intelligent stock trading decision support system through integration of genetic algorithm based fuzzy neural network and artificial neural network," Fuzzy Sets and Systems, vol. 118, pp. 21-45, 2001/02/16 2001. [4] R. Tsaih, Y. Hsu, and C. C. Lai, "Forecasting S&P 500 stock index futures with a hybrid AI system," Decision Support Systems, vol. 23, pp. 161–174, 1998/06/01 1998. [5] M. M. Rounaghi and F. N. Zadeh, "Investigation of market efficiency and financial stability between S&P 500 and London stock exchange: Monthly and yearly forecasting of time series stock returns using ARMA model," Physica A: Statistical Mechanics and its Applications, vol. 456, pp. 10–21, 2016/08/01 2016. [6] V. Akgiray, "Conditional Heteroscedasticity in time series of stock returns: Evidence and forecasts," The Journal of Business, vol. 62, pp. 55-80, 1989/01 1989. [7] H. R. Stoll and R. E. Whaley, "The dynamics of stock index and stock index futures returns," Journal of Financial and Quantitative Analysis, vol. 25, pp. 441-468, 1990/12/01 1990. [8] Q. C. Chu, W.-l. G. Hsieh, and Y. Tse, "Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs," International Review of Financial Analysis, vol. 8, pp. 21-34, 1999/01/01 1999. [9] D. A. Dickey and W. A. Fuller, "Distribution of the estimators for Autoregressive time series with a unit root," Journal of the American Statistical Association, vol. 74, pp. 427-431, 1979/06 1979. [10] G. E. Pelham and G. Jenkins, "Time series analysis, forecasting and control," 1990/01/11 1990. [11] R. F. Engle, "Autoregressive conditional Heteroscedasticity with estimates of the variance of United Kingdom inflation," Econometrica, vol. 50, pp. 987-1007, 1982/07 1982. [12] T. Bollerslev, "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, vol. 31, pp. 307-327, 1986/04/01 1986. [13] S. Johansen, "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, vol. 12, pp. 231-254, 1988/06/01 1988. [14] 楊奕農, 時間序列分析, 2009. [15] C. A. Sims, "Macroeconomics and reality," Econometrica, vol. 48, pp. 1-48, 1980/01 1980. [16] R. F. Engle and C. W. J. Granger, "Co-Integration and error correction: Representation, estimation, and testing," Econometrica, vol. 55, pp. 251-276, 1987/03 1987. [17] K. Yang, H. Yoon, and C. Shahabi, "A feature subset selection technique for Multivariate time series," Advances in Knowledge Discovery and Data Mining, pp. 516-522, 2005. [18] D. Inc. (2016). Docker. Available: https://www.docker.com/ [19] A. S. Foundation. (2016). Apache Kafka. Available: http://kafka.apache.org/ [20] J. Kreps, L. Corp, and J. Rao, "Kafka: A distributed messaging system for log processing." [21] M. Zaharia, M. Chowdhury, T. Das, A. Dave, Justin, M. McCauley, et al., "Resilient distributed Datasets: A fault-tolerant abstraction for in-memory cluster computing." [22] M. Zaharia, T. Das, H. Li, T. Hunter, S. Shenker, and I. Stoica, "Discretized streams," Proceedings of the Twenty-Fourth ACM Symposium on Operating Systems Principles - SOSP `13, 2013. [23] A. S. Foundation. (2016). Apache Spark. Available: http://spark.apache.org/ [24] A. S. Foundation. (2016). Apache Storm. Available: http://storm.apache.org/ [25] A. Toshniwal, S. Taneja, A. Shukla, K. Ramasamy, J. M. Patel, S. Kulkarni, et al., "Storm@twitter," pp. 147-156, 2014/06/18 2014. [26] S. Urbanek, "Rserve A fast way to provide R Functionality to applications," 2003. [27] Kong. (2014). Microservices architecture pattern. Available: http://microservices.io/patterns/microservices.html
描述:	碩士國立政治大學資訊管理學系 103356011
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0103356011
資料類型:	thesis
顯示於類別:	[資訊管理學系] 學位論文

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