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| 研究生： |
呂冠宏 |
|---|---|
| 論文名稱： |
多變量模糊時間數列在財務上的應用 An Application of Multivariate Fuzzy Time Series on Financial Markets. |
| 指導教授： | 吳柏林 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
理學院 - 應用數學系 Department of Mathematical Sciences |
| 論文出版年： | 2008 |
| 畢業學年度： | 96 |
| 語文別： | 中文 |
| 論文頁數： | 44 |
| 中文關鍵詞： | 模糊時間數列 、模糊關係矩陣 、預測 |
| 相關次數： | 點閱：132 下載：118 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
股票是許多人採取投資的項目。若能準確預測股價的漲跌，則可以有效地降低投資風險，賺取利潤。然而，有許多因素會影響股票走勢，例如政治因素，匯率變化，天災人禍。因此，股票走勢很難被精確預測。我們嘗試用模糊統計來解決股價預測的問題。本論文藉由模糊相關矩陣來建立多變量模糊時間數列，以便用來預測股票趨勢。實證研究則以台灣加權股價指數為對象，對每日的收盤價進行模糊時間數列分析與預測，還計算誤差與準確率。實證研究顯示，能降低投資者的風險。
1. 前言 1
2. 模糊時間數列模式建構 4
2.1 模糊邏輯 4
2.2 模式建立 5
2.3 FAR(1)模式建構 9
2.4 FAR(P)模式建構 13
2.5 VFAR(1,2)模式建構 14
3. 實証分析 - 點估計 16
3.1 資料分析 16
3.2 計算模糊矩陣 17
3.3 FAR(1)模式預測結果 19
3.4 FAR(2)模式預測結果 25
3.5 VFAR(1,2)模式預測結果 28
4. 實證分析 - 區間估計 33
5. 結論 37
附錄1 39
附錄2 40
參考文獻 42
中文部份
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英文部分
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