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    Title: 神經網路在匯率預測上的應用
    Authors: 陳彥良
    Chen, Scott
    Contributors: 李桐豪
    陳彥良
    Chen, Scott
    Keywords: 匯率
    預測
    神經網路
    Exchange rate
    Forecasting
    Neural networks
    Date: 1993
    Issue Date: 2016-04-29 16:43:18 (UTC+8)
    Abstract: 所謂神經網路,乃是對生物神經系統的模擬,而本文主要利用神經網路之逆傳遞模型 (Back - Propagation) ,來進行匯率的樣本外預測,再以時間數列ARIMA 的預測結果加以比較分析。
    Reference: 中文部分
    ( 1 ) 吳柏林等著「來華外籍觀光人口數之分析及預測」,政大應數所發表, 1992 年。
    ( 2 ) 楊建民等著「以範例學習法預測臺灣股市行為」,政大學報第六十三期
    P.353 - 372
    ( 3 ) 汪義育、林柏生著「匯率、利率估計與預測之研究--臺灣實證分析」 台北市銀行,經濟研究叢書第四十一種。
    ( 4 ) 蔡鐘屏著「匯率預測模型的比較以匯率決定理論為例」,工技學院工技所碩士論文, 1990 年。
    ( 5 ) 莊清芳著「時間數列分析之經濟預測能力評價」,臺灣經濟金融月刊,第二十五卷,第一期,民國七十八年。
    ( 6 ) 于政長著「匯率預測」,臺灣經濟金融月刊,第270 期,民國七十六年。
    ( 7 ) 伍忠賢著「專家預測法在匯率預測的運用」,台北市銀行月刊第十八卷第四期P.88 - 93
    ( 8 ) 李儀坤譯「匯率變動預測方法之有效性分析」 台北市銀行月刊第二十卷第十期P.36 - 44
    ( 9 ) 楊建民等著「在微平行電腦上發展類神經網路演算法以預測臺灣股市行為」 政大資管所,1992 年。
    ( 1 0 )滑明曙著「新台幣/美元匯率為隨機漫步?」臺北市銀月刊,第二十三卷,第十一期。
    ( 1 1 )鄭鴻章著「臺灣匯率實證研究」 政大國貿所研士論文, 1987 年。
    ( 1 2 )靳蕃等著「神經網路與神經計算機」,儒林公司出社。
    ( 1 3 )胡玉城著「暢談類神經網路」,倚天公司出版。
    ( 1 4 )周宜魁著「國際金融」,三民出版社。
    英文部份
    ( 1) Chien -Fu Jeff Lin "The econometrics of structural change ,neural network and panel data analysis" PH.D. of Economics ,UCSD , 1992
    ( 2) Kuan C. M. and Li u T., 1991, " Forcasting exchange rates using feedforward and recurrent neural networks" Unpublished manuscript.
    ( 3) Hornik K., H. Stinchcombe and H. White ,1989, " Multi-layer feedforward networks are universal approximator ", Neural Networks, 2,359-366
    ( 4) Harvey A.C. 1990. The econometric analysis of time series ,second edition ,Cambridge ,MIT Press
    ( 5) Meese R. and K. Rogoff (1983b) ," The out-of-sample failure of empirical exchange rate model: Sampling error or misspecification? " in J.A. Frankel , ed., Exchange rates and international macroeconomics
    ( 6) Richard M, Levich "Empirical studies of exchange rates: Price behavior ,rate determination and market efficiency. " International economics, BookⅡ,1985.
    ( 7) Bilson J. F. O. (1978b) " The monetary approach to the exchange rate: Some empirical evidence" Staff Papres 2S:No 1 ,25:48-75
    ( 8) Frenkel J.A. (978) , " Purchasing power parity: Doctrinal perspectives and evidence from the 1920s " , Journal of International Economics, 8 :161-191
    ( 9) Ky Tam "Neural network models and the prediction of bank bankruptcy" Omega ,Vol.19 ,No.5 P429-455
    (10) Timo Terasvirta , Chien-Fu Lin and Clive W.J. Granger, "Power of the neural network linearity test “ Discussion Paper 91-101 Jan.1991
    (11) Chung-Da Ho " Empirical models of exchange rate determination: The case of Taiwan" ,1992 .
    (12) Ronald Macdonald and Mark P. Taylor, "Exchange Rate economisc " IMF Staff Paper Vol.39, No.1 P1-43
    (13) Dunis C. ,Feeny M. " Exchange rate forecasting" Wood Head-Faulkner Published ,1989 .
    (14) William H. Branson " Macroeconomic determinants of real exchange risk II in J.A. Frankel ed. Exchange rate and international macroeconomics ,1983
    (15) Pamela K. Coats " Why expert system fail" Financial Management ,Autumn 1988 P77-86
    (16) Deliven D. Hawley ,John D. Johnson " Artificial Neural System: A new tool for financial decision -making" Financial analysts Journal/Nov-Dec 1991 P63-72
    (17) Amir D. Aczel ,Norman H. Josephy " The chaotic behavior of foreign exchange rates" The American Economist Vol.35, No.2 CFal1 1991)
    (18) Ting-Fang Chiang" Technical trading rules based on on classifier systems" PH.D. in Economics, UCLA, 1992
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    G80351002
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004166
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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