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    Title: 基於 EEMD 與類神經網路方法進行台指期貨高頻交易研究
    A Study of TAIEX Futures High-frequency Trading by using EEMD-based Neural Network Learning Paradigms
    Authors: 黃仕豪
    Huang, Sven Shih Hao
    Contributors: 蕭又新
    Shiau, Yuo Hsien
    黃仕豪
    Huang, Sven Shih Hao
    Keywords: 類神經網路方法
    燭型圖(K線圖)
    自回歸滑動平均模型
    集合經驗模態分解法
    高頻交易
    平行運算
    時間序列分析
    大型數據處理
    Artificial Neural Networks
    Candlestick Charts
    Autoregressive Moving Average model
    Ensemble Empirical Mode Decomposition
    High-Frequency Trading
    Parallel Computing
    Time series analysis
    Big Data Processing
    Date: 2013
    Issue Date: 2014-08-25 15:22:46 (UTC+8)
    Abstract: 金融市場是個變化莫測的環境,看似隨機,在隨機中卻隱藏著某些特性與關係。不論是自然現象中的氣象預測或是金融領域中對下一時刻價格的預測, 都有相似的複雜性。 時間序列的預測一直都是許多領域中重要的項目之一, 金融時間序列的預測也不例外。在本論文中我們針對金融時間序列的非線性與非穩態關係引入類神經網路(ANNs) 與集合經驗模態分解法(EEMD), 藉由ANNs處理非線性問題的能力與EEMD處理時間序列信號的優點,並進一步與傳統上使用於金融時間序列分析的自回歸滑動平均模型(ARMA)進行複合式的模型建構,引入燭型圖概念嘗試進行高頻下的台指期貨TAIEX交易。在不計交易成本的績效測試下本研究的高頻交易模型有突出的績效,證明以ANNs、EEMD方法與ARMA組成的混合式模型在高頻時間尺度交易下有相當的發展潛力,具有進一步發展的價值。在處理高頻時間尺度下所產生的大型數據方面,引入平行運算架構SPMD(single program, multiple data)以增進其處理大型資料下的運算效率。本研究亦透過分析高頻時間尺度的本質模態函數(IMFs)探討在高頻尺度下影響台指期貨價格的因素。
    Financial market is complex, unstable and non-linear system, it looks like have some principle but the principle usually have exception. The forecasting of time series always an issue in several field include finance. In this thesis we propose several version of hybrid models, they combine Ensemble Empirical Mode Decomposition (EEMD), Back-Propagation Neural Networks(BPNN) and ARMA model, try to improve the forecast performance of financial time series forecast. We also found the physical means or impact factors of IMFs under high-frequency time-scale. For processing the massive data generated by high-frequency time-scale, we pull in the concept of big data processing, adopt parallel computing method ”single program, multiple data (SPMD)” to construct the model improve the computing performance. As the result of backtesting, we prove the enhanced hybrid models we proposed outperform the standard EEMD-BPNN model and obtain a good performance. It shows adopt ANN, EEMD and ARMA in the hybrid model configure for high-frequency trading modeling is effective and it have the potential of development.
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    Description: 碩士
    國立政治大學
    應用物理研究所
    100755005
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100755005
    Data Type: thesis
    Appears in Collections:[應用物理研究所 ] 學位論文

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