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| Title: | 應用卷積神經網路於ETF漲跌之研究
The study of application of Convolutional Neural Networks to exchange Traded Funds trend |
| Authors: | 蘇彥昀
Su, Yen-Yun |
| Contributors: | 杜雨儒
劉文卿
Tu, Yu-Ju
Liu, Wen-Qing
蘇彥昀
Su, Yen-Yun |
| Keywords: | 人工智慧
卷積神經網路
漲跌趨勢
技術指標
ETF
Artificial Intelligence
Convolutional Neural Network
Stock
Technical Analysis
Groupthink |
| Date: | 2019 |
| Issue Date: | 2019-08-07 16:08:30 (UTC+8) |
| Abstract: | 本研究使用深度學習中的卷積神經網路，針對美國資產規模前十大ETF來做漲跌趨勢的預測，建立卷積神經網路架構，再利用收集的2000年至2018年的歷史資料來做資料的前處理、訓練模型，把得到的模型進一步去預測未來的漲跌情況。
本研究在訓練資料中除了ETF歷史資料以外，還選擇了多面向的技術指標、包含常見的移動平均線、相對強弱指數以及其他有關之技術分析。而集體思維指的是群體決策中的一種現象，在本研究中指的是群眾預期未來市場變化進而做出的反應，是以VIX指數(俗稱恐慌指數)作為表現。本研究對於卷積神經網路模型應用在預測ETF漲跌趨勢提供了兩種不同的資料標籤方式所建構的模型，其投資實驗也證明了利用此種方法可以獲得不錯的年化收益率(25.58%)及較高的上漲猜對的機率(82.04%)，此種方法建立之模型相比於傳統的買入持有策略、隨機買入策略表現的結果都更好，顯示本研究的實驗結果在投資上擁有更好的效果，輔助投資人在投資時作為參考。
With the growth of computer hardware speed, artificial intelligence, which requires a lot of computing technology, is popular again. Due to the progress of GPU performance, effective parallel computing accelerates the operations required by the algorithm, allows these artificial intelligence technology being more convenient and effective in different fields. Deep learning is one of the artificial intelligence that has been discussed by many people in recent years.
This study is based on the convolutional neural network in deep learning, and forecasts the ups and downs of the US Top 10 ETF. First, the convolutional neural network architecture of the each ETF is established. Then, the historical data from 2000 to 2018 will be preprocessed to train the model, and further, the model will be used to predict the future trend.
In addition to ETF historical data, this study selected multi-oriented technical analyses, including simple moving average, relative strength index and other related technical analyses. Groupthink is a psychological phenomenon that occurs within a group of people in which the desire for harmony or conformity in the group results in an irrational or dysfunctional decision-making outcome. In this study, groupthink means the reaction of the stockholder in anticipation of future market changes that is represented the VIX index (commonly known as Volatility Index). This study provides multiple sets of parameters for predicting ETF ups and downs in convolutional neural network models. The experimental performance also proves that this method can obtain a good return rate (25.58%) and provide investors as a reference in the future. |
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| Description: | 碩士
國立政治大學
資訊管理學系
106356037 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106356037 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201900552 |
| Appears in Collections: | [資訊管理學系] 學位論文
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