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| Title: | 基於特徵選取之LSTM模型應用:外匯超額報酬預測
LSTM Model with Feature Selection for Foreign Exchange Return Prediction |
| Authors: | 黃紹瑋
Huang, Shao-Wei |
| Contributors: | 林建秀
Ling, Chien-Hsiu
黃紹瑋
Huang, Shao-Wei |
| Keywords: | 外匯交易
利差交易策略
動能交易策略
價值交易策略
深度學習
特徵篩選
因子重要度
Foreign exchange trading
carry trade
momentum trade
value trade
LSTM
feature selection
feature importance |
| Date: | 2021 |
| Issue Date: | 2021-08-04 14:49:59 (UTC+8) |
| Abstract: | 本研究使用總經因子和個別外匯因子之交乘項作為LSTM模型的因子，希望藉由深度學習模型來捕捉總經因子和個別外匯因子的互動，並比較其對於外匯超額報酬之解釋力和傳統四因子(利差、動能、價值、市場因子)在線性模型(OLS)上對外匯超額報酬之解釋力的差異。而在因子的部分，本文做了特徵篩選的處理，希望能提升模型的預測力，最後在比較樣本外R^2時，發現LSTM模型的表現優於OLS模型。
接著，將預測力較好的LSTM模型進行策略交易，把LSTM模型預測出的國家超額報酬進行排列，買入預測前25%的國家貨幣，賣出預測後25%的國家貨幣，進而和傳統價值、動能及利差交易策略建構的投資組合做比較，並以夏普比率(Sharpe Ratio)及卡馬比率(Calmar Ratio)當作績效的衡量，最後在結果上發現LSTM模型建立的投資組合績效優於傳統價值、動能及利差因子進行的交易策略。另外，本文最終也探討因子之重要度，發現和利率相關的總經因子對於外匯超額報酬有不錯的預測能力。
This paper used the covariates which are the product of macroeconomic factors and specific foreign exchange factors to train LSTM model, and author hopes to capture the interaction between macroeconomic factors and specific foreign exchange factors through LSTM model. Additionally, author applied feature selection method, trying to enhance the prediction of models. The purpose of using LSTM model with covariates and OLS model with four traditional factors is to compare the prediction of foreign exchange return. Finally, LSTM model performed better than OLS model in the values of coefficient of determination.
Furthermore, the paper used the outcomes predicted by LSTM model to trade in currency markets and tried to compare the performance made by value trade, momentum trade and carry trade. All strategies were made to buy the currencies in the top quarter of predictions and to sell currencies in the bottom quarter of prediction. Author used Sharpe ratio and Calmar ratio to measure the performance of all strategies, finding that the strategy made by LSTM model outperformed than other strategies. This paper also explored the importance of factors, and it turned out that the factors related to interests predicted well in foreign exchange return. |
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| Description: | 碩士
國立政治大學
金融學系
108352009 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352009 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100706 |
| Appears in Collections: | [金融學系] 學位論文
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