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| Title: | 以線性與非線性模式進行市場擇時策略
Implementing the Market Timing Strategy on Taiwan Stock Market: The Linear and Nonlinear Appraoches |
| Authors: | 余文正
Yu, Alex |
| Contributors: | 徐燕山
蔡瑞煌
Yenshan Hsu
Ray H. Tsaih
余文正
Alex Yu |
| Keywords: | 市場擇時
類神經網路
後向傳導網路系統
market timing
neural network
Back Propagation neural network |
| Date: | 1998 |
| Issue Date: | 2016-04-21 17:06:02 (UTC+8) |
| Abstract: | This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market.
This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market. |
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| Description: | 碩士
國立政治大學
財務管理研究所
86357007 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#B2002001498 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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