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| 研究生： |
萬恩福 Wan, En Fu |
|---|---|
| 論文名稱： |
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 |
| 指導教授： |
劉文卿
Liou, Wen Ching |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 資訊管理學系 Department of Management Information System |
| 論文出版年： | 2016 |
| 畢業學年度： | 104 |
| 語文別： | 中文 |
| 論文頁數： | 73 |
| 中文關鍵詞： | 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 |
| 外文關鍵詞： | Program Trading, Real-Time Modeling, Adaptation, Time Series Model, Distributed Computing, Ensemble Method |
| 相關次數： | 點閱：39 下載：0 |
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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。
摘要 I
目錄 II
圖目錄 V
表目錄 VII
第一章 、緒論 1
第一節 、研究背景 1
第二節 、研究動機與目的 1
第三節 、研究流程 4
第二章 、文獻探討 5
第一節 、單根檢定 5
第二節 、ARMA與ARIMA 6
一 、ARMA(p, q) 6
二 、ARIMA(p, d, q) 7
三 、Box-Jenkins 7
第三節 、GARCH 8
第四節 、JOHANSEN共整合檢定 9
一 、跡檢定（Trace Test） 10
二 、最大特性根檢定（Maximum Eigenvalue Test) 10
第五節 、VAR與VECM 10
一 、VAR（Vector Autoregression） 10
二 、VECM（Vector Error Correction Model） 11
第六節 、CORONA 12
第七節 、DOCKER 13
第八節 、APACHE KAFKA 14
第九節 、APACHE SPARK 16
第十節 、APACHE STORM 19
第十一節 、RSERVE 21
第三章 、研究方法 23
第一節 、研究架構 23
第二節 、即時建模 24
一 、集成方法（Ensemble Method） 24
二 、模型等級 28
第三節 、適性訊號 30
一 、適性訊號產生 30
二 、適應性調整（Adaptation） 31
第四節 、兩階段建模 33
第四章 、系統實作與測試 35
第一節 、系統概述 35
第二節 、系統實作 39
一 、Corona微服務 39
二 、兩階段建模微服務 42
第三節 、系統測試 60
一 、測試環境 60
二 、測試結果 63
第五章 、結論與未來展望 69
第一節 、結論 69
第二節 、未來展望 70
參考文獻 71
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