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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/131509
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/131509


    Title: 機器學習與傳統模型對外匯報酬之因子分析
    The Factor Analysis on Foreign Exchange Return between Machine Learning and Traditional Factor Models
    Authors: 黃開雋
    Huang, Kai-Chun
    Contributors: 林建秀
    Lin, Chien-Hsiu
    黃開雋
    Huang, Kai-Chun
    Keywords: 機器學習
    外匯超額報酬
    隨機森林
    梯度提升
    神經網路
    Machine Learning
    Excess Foreign Exchange Return
    Random Forest
    Gradient Boosting
    Neural Networks
    Date: 2020
    Issue Date: 2020-09-02 11:49:57 (UTC+8)
    Abstract: 本研究主要是以機器學習模型為基礎,透過機器學習方法找出是否有潛在的因子能夠讓傳統上使用的因子外對外匯的超額報酬提供更高的解釋力,本研究使用樹模型、梯度提升、具隱藏層的神經網路以及隨機森林模型。本研究先在樣本期間(1997/01 至 2019/05)以HML投組法將19國匯率資料建構出利差、動能以及價值交易策略因子來取得傳統模型使用的因子。除了傳統上常使用的因子外,我們同時加入了其他的總經因子以及個別國家因子進入我們的模型之中,透過因子重要性分析我們發現不同的因子對於不同的模型會有不一樣的影響程度,但是除了市場因子外,並未有一個新加入的因子能夠顯著影響到所有的機器學習模型,故我們在結論處提出未來能夠改進的方向。
    This paper tries to find some latent factors that can help us explain excess foreign return efficiently except using traditional factors which are market factor, value factor, momentum factor, and carry trade factor. We use three kinds of machine learning models in this paper which are random forest model, gradient boosting tree model, and neural network with hidden layer from one to five models. First, we use 19 countries’ foreign exchange data from Jan. 1997 to May. 2019 to build traditional factors by HML method. Then, we also put some macro factors and country-specific factors into machine learning models. Last, we specify which factor can affect the explanation ability separately by ranking variable importance in each model.
    Reference: [1] 郭秀樺(2018)。外匯報酬之利差、動能及價值交易策略成因分析。國立政治大學金融研究所碩士論文,台北市。
    [2] Barroso, P., & Santa-Clara, P. (2015). Beyond the carry trade: Optimal currency portfolios. The Journal of Financial and Quantitative Analysis, 50, 1037–1056.
    [3] Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2009). Carry trades and currency crashes. NBER Macroeconomics Annual, 23, 313–348.
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    Description: 碩士
    國立政治大學
    金融學系
    107352023
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107352023
    Data Type: thesis
    DOI: 10.6814/NCCU202001275
    Appears in Collections:[金融學系] 學位論文

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