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    Title: 遺傳規劃應用於國際金融巿場交易策略之研究
    Authors: 許江妹
    Hoi , Kong Mui
    Contributors: 陳樹衡
    Chen, Shu-Heng
    許江妹
    Hoi , Kong Mui
    Keywords: 遺傳規劃
    技術分析
    金融巿場
    交易策略
    Genetic Programming
    Technical analysis
    Finance Market
    Trading strategy
    Date: 2005
    Issue Date: 2009-09-14 13:34:00 (UTC+8)
    Abstract: 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。
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    Description: 碩士
    國立政治大學
    經濟研究所
    92258038
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922580381
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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