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研究生: 許江妹
Hoi , Kong Mui
論文名稱: 遺傳規劃應用於國際金融巿場交易策略之研究
指導教授: 陳樹衡
Chen, Shu-Heng
學位類別: 碩士
Master
系所名稱: 社會科學學院 - 經濟學系
Department of Economics
論文出版年: 2006
畢業學年度: 94
語文別: 中文
論文頁數: 97
中文關鍵詞: 遺傳規劃技術分析金融巿場交易策略
外文關鍵詞: Genetic Programming, Technical analysis, Finance Market, Trading strategy
相關次數: 點閱:95下載:92
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  • 本文應用遺傳規劃交易程式來檢驗八個國家的股票指數和外匯巿場的表現,採用移動視窗的方法,測試三組獨立的期間,重新檢驗較早期的研究結果,並繼續延申探討,包括交易報酬與交易行為。實證結果顯示,不論在股票還是外匯巿場,若訓練期間的資料選擇不當,遺傳規劃的獲利表現會不理想。資料形態不但會影響遺傳規劃交易程式的獲利性,同時也決定了程式本身的一些觀察特性。我們另外分析了交易程式的複雜度、演化時間、交易頻率和一致性。交易程式的複雜度和演化時間有正向的相關性,但複雜度和報酬、以及演化時間和報酬之間都只有很弱的關係。這些發現可以讓我們更了解遺傳規劃演化交易策略的過程,有助往後更進一步的研究。


    1 緒論 1
    1.1 研究動機與目的 1
    1.2 研究架構 3

    2 文獻探討 4
    2.1 技術分析 4
    2.2 傳統技術分析的相關文獻 5
    2.3 遺傳規劃技術分析的相關文獻 7

    3 遺傳規劃之交易策略模型 12
    3.1 遺傳規劃簡介 12
    3.2 參數設定 17
    3.3 股票巿場適應函數 21
    3.3.1 不可以融券的股票巿場適應函數 21
    3.3.2 可以融券的股票巿場適應函數 22
    3.4 外匯巿場適應函數 23
    3.5 交易成本 24

    4 股票巿場的利潤分析 25
    4.1 股票巿場資料處理 25
    4.2 遺傳規劃策略與買入持有策略 29
    4.2.1 遺傳規劃在不可以融券的巿場 29
    4.2.2 遺傳規劃在可以融券的巿場 31
    4.3 遺傳規劃策略與實際交易的技術指標 32
    4.4 另一種衡量的方法: 資產變化曲線 35
    4.5 其他參數的結果 38
    4.5.1 族群大小和演化代數 38
    4.5.2 原始資料與轉換後的資料 39
    4.5.3 確認期的效果 40
    4.5.4 交易成本 41

    5 外匯巿場的利潤分析 43
    5.1 外匯巿場資料處理 43
    5.2 外匯巿場短測試期的結果 44
    5.3 外匯巿場長測試期的結果 45

    6 策略分析 51
    6.1 隱藏資訊 51
    6.2 複雜度 55
    6.3 交易頻率 63
    6.4 一致性 64
    6.5 不同的交易成本 67

    7 結論與建議 69
    7.1 綜合結論 69
    7.2 建議與未來研究方向 70

    參考文獻 73

    附錄 I 程式軟體 : 金融遺傳規劃 79

    附錄II 遺傳規劃的交易策略 86

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