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研究生:陳崴逸
研究生(外文):Wei-Yi Chen
論文名稱:應用自組織映射圖神經網路於選擇權隱含波動率之研究
論文名稱(外文):Application of Self-Organizing Map to Option Implied Volatility
指導教授:陳安斌陳安斌引用關係
指導教授(外文):An-Pin Chen
學位類別:碩士
校院名稱:國立交通大學
系所名稱:資訊管理研究所
學門:電算機學門
學類:電算機一般學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:44
中文關鍵詞:選擇權隱含波動率自組織映射圖神經網路
外文關鍵詞:Index OptionImplied VolatilitySelf-Organizing Map
相關次數:
  • 被引用被引用:5
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本研究旨在利用指數選擇權與其標的物之間存在的關係,對標的物之價格進行預測動作。故本研究擬利用隱含波動率所構成的圖形(由買權主要序列的隱含波動率或賣權主要序列的隱含波動率構成)來掌握標的物的價格漲跌。傳統上選擇權投資人預期標的物未來價格走勢上漲時,會買進買權,若此則會使買權的隱含波動率相對賣權的隱含波動率上升。若選擇權投資人預期標的物未來價格走勢下跌,則會買進賣權,使得賣權的隱含波動率相對買權的隱含波動率上升。

另外,本研究探討人工智慧領域中非監督式分群的自組織映射圖神經網路,由於自組織映射圖神經網路以自我群聚模式將大量未分類資料分群,使高維度複雜非線性資料轉化為低維度幾何關係,以萃取隱含於資料中的知識規則且能提供視覺化功能,相當適合做為金融資料分析預測之用途。

因此,本研究擬透過自組織映射圖神經網路對上述圖形進行分群,並賦予各群對應之買賣訊號,稍後再進行相關之模擬投資與操作實驗。實驗結果證實依本研究投資操作,其績效穩定地優於大盤買進持有策略及隨機買進策略。因此,選擇權主要序列隱含波動率之行為於研究期間確能對標的物之價格產生預測作用。
In this study we investigate the lead-lag relations between the index option market and the stock market at the aggregate level. We could forecast the fluctuation of Taiwan Stock Market Index if the relations did exist. We apply the diagram constructed by volatility, the combination of the implied volatility of call and put, to represent the option market’s view for future stock market movements and discover their relations. Investors would long call when they expect the future price of spot market to soar. Thus, the implied volatility of call would rising. If the implied volatility of call is higher than put, the investors will long call when they expect the future price of spot market to decline. Thus, the implied volatility of put would rising, and the implied volatility of put is higher than call. Therefore, we could use self-organizing map to classify diagram constructed by implied volatility, checking the trading signal for next day and producing real trading suggestion. Comparing our strategy with buy-and-hold strategy, our strategy is better .
摘要.....................................................I
Abstract.................................................II
誌謝.....................................................III
目錄.....................................................IV
一、緒論.................................................1
1.1 研究動機與背景.....................................1
1.2 研究目的...........................................2
1.3 研究方法與步驟.....................................3
1.4 研究限制...........................................5
1.5 論文架構...........................................5
二、 文獻探討............................................6
2.1 選擇權隱含波動率...................................6
2.2 VIX................................................8
2.3 類神經網路.........................................11
2.4 集群分析...........................................12
2.5 自組織映射圖神經網路...............................12
2.6 小結...............................................14
三、 研究方法............................................15
3.1 自組織映射圖神經網路...............................15
3.1.1 神經網路的分類...................................15
3.1.2 自組織特徵映射圖神經網路簡介.....................15
3.1.3 自組織特徵映射圖神經網路演算法...................16
四、 實驗方法............................................20
4.1 實驗流程...........................................20
4.1.1 樣本資料收集.....................................21
4.1.2 自組織映射圖神經網路分群.........................23
4.1.3 圖型比對庫.......................................23
4.1.4 買賣訊號制定及動態演化...........................26
4.1.5 交易策略制定.....................................27
4.1.6 績效評估模式.....................................27
4.2 實證結果分析.......................................28
4.3 績效評估...........................................29
五、 結論與建議..........................................30
5.1 結論...............................................30
5.2 建議...............................................30
參考文獻.................................................32
附錄.....................................................37
中文文獻:

1. 蔡瓊梅,「利用隱含波動率價差來探討S&P500指數選擇權與其現貨之間的價格領先落後關係」,2005

2. 陳思名,「台指選擇權波動性指標之預測能力比較」,國立臺灣大學國際企業學研究所碩士論文,2005

3. 胡僑芸,「台指選擇權VIX指數之編制與交易策略分析」,國立中山大學財務管理研究所碩士論文,2003。

4. 鄭義、胡僑芸、林忠義,「波動度指數VIX於臺指選擇權市場之應用」,臺灣期貨市場TAIFEX REVIEW專題報導,第7卷,頁13-33,2005。

5. 吳秉奇,「類神經網路在台股指數期貨的預測應用」,國立中央大學,碩士論文,民國88年。

6. 葉怡成,類神經網路模式應用與實作,儒林圖書公司,台北,2003。

7. 曾士育、薛兆亨、李昇暾,「以自我組織網路映射圖探索股市投資決策之研究—以台灣加權股價指數為例」,第七屆人工智慧與應用研討會,2002。

8. 林芳君,群體決策與自組特徵映射應用於期貨投資報酬率預測之研究,2006


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