English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109948/140897 (78%)
Visitors : 46130978      Online Users : 800
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 理學院 > 應用數學系 > 學位論文 >  Item 140.119/146298
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/146298


    Title: 黃金期貨當沖的預測與操作策略
    The Day Trading Forecasting and Operating Strategy of Gold Futures
    Authors: 顧宗桓
    Ku, Tsung-Huan
    Contributors: 曾正男
    Tzeng, Jeng-Nan
    顧宗桓
    Ku, Tsung-Huan
    Keywords: 區間模糊數
    當沖
    操作策略
    黃金期貨
    Interval fuzzy number
    Day trading
    Operating strategy
    Gold futures
    Date: 2023
    Issue Date: 2023-08-02 13:02:13 (UTC+8)
    Abstract: 本研究使用區間模糊數來建立模糊區間模型用以預測出財經資料最高價最低價之價格範圍,作為實際操盤使用。本論文以黃金期貨交易作為研究標的,在預測模型的建立上我們嘗試幾種不同的建立模組,得到預測未來的模糊區間,再用以操作當沖策略,並計算其收益。我們提供了新的模糊區間建立的R-r 方法,拓展模糊區間為一個三維的數值,以此三維數值進行預測,並結合適當的操作策略,提高收益的成效。本論文以1982年至2022年的黃金期貨為資料,經過多種模型測試,本研究預測模型直線MAX5日數據的結果呈現良好且穩定,操作策略成效優於傳統模糊統計的論文,因此,本研究推薦以直線MAX5日預測模型進行預測。
    This paper uses interval fuzzy number to establish a fuzzy interval forecasting model to forecast the price range of the highest price and lowest price of financial data for trading. This paper takes gold futures day trading as the research objective. In the establishment of the forecasting model, this paper tries several different models to obtain the next day’s forecasting fuzzy interval, and then combine the proposed operating strategy to calculate its profit. This paper provides a new fuzzy interval for establishing the R-r method which expands the fuzzy interval into a three-dimensional value, then use this three-dimensional value to forecast, and improve the effectiveness of profit through the proposed operating strategy. The gold futures data in this paper are selected from 1982 to 2022. In the variety of model testing, the MAX 5-day linear forecasting model data performed well, and its effectiveness is better than the traditional fuzzy statistical papers. Therefore, this paper recommends the MAX 5-day linear forecasting model.
    Reference: [1] Ji, Zhang, D., & Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis, 71, 101526–101526.
    [2] Narayan, Narayan, S., & Zheng, X. (2010). Gold and oil futures markets: Are markets efficient? Applied Energy, 87(10), 3299–3303.
    [3] Reboredo. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665–2676.
    [4] Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41–49.
    [5] Malliaris, A. G. (1981). Martingale Methods in Financial Decision-Making. SIAM Review, 23(4), 434–443.
    [6] Hull. (2006). Options, futures, and other derivatives (6th ed.). Pearson, Prentice Hall.
    [7] 吳柏林、謝名娟(2011)網路教育問卷調查新技術與線上模糊統計分析建構,國家教育研究院
    [8] 吳柏林(2015)模糊統計導論:方法與應用(二版) ,五南出版社
    [9] 陳松男(2008)金融工程學: 金融商品創新選擇權理論,新陸書局
    Description: 碩士
    國立政治大學
    應用數學系
    108751004
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108751004
    Data Type: thesis
    Appears in Collections:[應用數學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    100401.pdf4494KbAdobe PDF276View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback