研究生: |
馮竣嗣 Feng,Chun Szu |
---|---|
論文名稱: |
應用技術分析於期貨市場進行危機預警:以台指期為例 Applying Technical Analysis in Futures Market For Crysis Detection: Using Taiwan Stock Price Index Futures As Example |
指導教授: |
王俊程
Wang,Jyun Cheng 蔡子晧 Tsai,Tzu Hao |
口試委員: |
余士迪
Yu,Shih Ti 李傳楷 Lee,Chuan Kai |
學位類別: |
碩士 Master |
系所名稱: |
科技管理學院 - 經營管理碩士在職專班 Business Administration |
論文出版年: | 2016 |
畢業學年度: | 104 |
語文別: | 中文 |
論文頁數: | 45 |
中文關鍵詞: | 技術分析 、基因演算法 、獲利平滑 、危機預警 |
外文關鍵詞: | Technical analysis, Genetic Algorithm, Stable growth, avoid crisis |
相關次數: | 點閱:2 下載:0 |
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臺灣證券交易所股價指數期貨於1998年以來成交量呈現百倍的成長,貼近台灣市場以及使用新台幣結算等便利性不容忽視,歷經幾次金融危機震盪起伏,技術分析雖有事後諸葛之嫌,但難以忽視其重要性。
本文以技術分析為主,基因演算法為輔,將市場上的交易情緒忠實呈現,在各個技術分析以及交易指標中取得趨吉避凶的方法,經過實驗及歷史回測均能夠在劇烈的波動中避開危機。
基因演算法在運用中較常見於獲利最大化的探討,本文中的設定以獲利平滑,順勢向上為主,除了能夠危機預警也能夠符合交易員在現實交易中的心理壓力平衡,可見基因演算法與技術分析的搭配使用能夠確實地找出趨勢。
Since 1998 , the trading volume of FITX has had hundredfold growth. We should not underestimate the convenience of FITX, for instance, being line with Taiwan market and using New Taiwan dollar to close an account. Although technical analysis after several times of financial turmoil seems like twenty-twenty hindsight, we should not ignore the importance of it.
This thesis mainly rely on technical analysis supplemented by Genetic Algorithm, truly presents investors’ sentiment, finding way to pursue interests and to prevent losses in many kinds of technical analysis and trading indicators. After experiment and backtesting we are also able to avoid crisis in strong volatility.
Genetic Algorithm is commonly used to maximize benefits. In this thesis, Genetic Algorithm is mainly used to get a stable growth. It is able to avoid crisis, and conforming to the investors’ sentiment in real trading. It can be seen that we are really able to find trend by using Genetic Algorithm with technical analysis.
中文部分
1. 林文修、陳仕哲(2014),遺傳演算法在台灣股價趨勢轉折點與 波動訊號捕捉之應用。
2. 林聰武、洪大能(2012),從技術指標探討交易策略之研究-以台灣股市為例。
3. 杜金龍,最新技術指標-在臺灣股市應用的訣竅,財訊出版社有限公司,三版,2008。
4. 邱寬旭(2009),基因演算法演化交易策略在股票買賣點的預測。
5. 徐弘翰(2014),運用基因演算法買賣期貨之研究-以台股期貨為例。
6. 連立川、葉怡成、謝明勳,「以遺傳演算法建構台灣股市買賣決策規則之研究」,2004 智慧型知識經濟研討會暨第二屆演化式計算應用專題研討會,台北市,民國 93 年。
7. 鄧紹勳(2009),遺傳演算法於股市擇時策略之研究。
英文部分
A. Goldberg, D. E., “Genetic Algorithms inSearch, Optimization and MachineLearning,” Addison-Wesley Publishing Company, 1989.
B. Allen, F., and Karjalainen, R., “Using Genetic Algorithms to Find Technical Trading Rules,” Journal of Finance Economics (51), 1999, pp. 245-271.
C. Armano, Giuliano, et al., “Stock market prediction by a mixture of genetic-neural experts,” International Journal of Pattern Recognition and Artificial Intelligence (16), 2002, pp.501-526.
D. Phua, H. P. K., Ming, D., and Lin, W., “Neural Network with Genetically Evolution Algorithms for Stocks Prediction,” Asia-Pacific Journal of Operation Research (18:1), 2001, pp. 103-108
E. Kim K. and Han I., “Genetic Algorithms Approach to Feature Discretization in Artificial Neural Networks for the Prediction of Stock Price Index,” Expert Systems with Applications, Vol. 19, 2000, pp. 125-132.
F. Davis, L., “Handbook of Genetic Algorithms,” Van No strand Reinhold, NY, 1991.
G. Blanco, P.F., Sagi, D.B., Soltero, F., and Hidalgo, J.I., Technical Market Indicators Optimization using Evolutionary Algorithm, GECCO’08, July 12-16, 2008.
H. Bauer, R. J, “Genetic Programming II: Automatic Discovery of Reusable Programs”, The MIT Press, 1994
I. Bodenhofer, U., Genetic Algorithms: Theory and Applications, 2004
網站部分
1. MBA智庫百科,http://wiki.mbalib.com
2. 大眾綜合証券,http://www.tcsc.com.tw
3. 華富財經,https://www.quamnet.com