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研究生:謝博丞
研究生(外文):Po-Cheng Hsieh
論文名稱:具多構面決策指標於證券投資系統建立之研究
論文名稱(外文):A study of constructing a multi-strategy stock investment information system
指導教授:陳大正陳大正引用關係
學位類別:碩士
校院名稱:國立虎尾科技大學
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:2009
畢業學年度:97
語文別:中文
論文頁數:50
中文關鍵詞:投資策略技術指標融資融券機構投資人元月效應信用交易
外文關鍵詞:investment strategytechnical analysisinstitutional investorsJanuary effect
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本研究主要為針對元月效應下探討從各種構面進行股市交易獲利狀況,並嘗試著從其中建立一套具有多構面決策指標之股市交易系統進行研究。在現今各類技術指標發展完善的股市交易中,不能僅倚賴單一指標,而更需從多方面進行分析,如基本分析、籌碼分析及市場分析等,才有辦法降低風險及創造獲利。故本研究經由實驗探討各指標、券資比及跟隨機構投資人之獲利能力,結合指標找出適當之進入點與退出點,並有效減少各指標之交易次數,使用多構面決策指標找出股價相對低點建議投資人適時逢低買進,根據各指標投資策略尋求賣出時機。
本研究經實驗發現,以多構面指標投資策略搭配適當退出門檻值,將有具有獲利成效,其中在2009年全球經濟衰退時仍可保有獲利能力,而使用多構面指標買進後,參照券資比率賣出,以台灣50為股票為對象,且適當的參數設定下,依實驗數據結果顯示在第一季可獲得合理之利潤,證明本論文所提出之方法為有效投資參考。
This research is to investigate that how to maximize the profit from the stock trading by using different combination of indexes. Based on the above decision approach, a decision system for deciding the trading stock has been built in this study. Due to the trading decision can not just rely on unique index; more technical analysis of stock indexes will be included in our decision model for earning more profits. The purpose of this study is to examine the relationship between stock indexes, level of margin transactions, and effect of three primaries institutional investors with the January effect so as to utilize those indexes to make the investment strategy. We constructed a multi-strategy stock investment information system based on the proposed approach. The numerical experiment shows that the proposed approach can provide the investors to earn reasonable profits from the stock market.
摘 要......................................i
Abstract..........................................ii
表 目 錄..........................................vi
圖 目 錄..........................................vii
一、 緒論.....................................1
1.1 研究背景與動機...........................1
1.2 研究目的.................................2
1.3 研究步驟與流程...........................2
1.4 研究內容及架構...........................3
二、 文獻探討.................................5
2.1 元月效應.................................5
2.2 股票市場分析.............................6
2.3 信用交易.................................12
2.4 機構投資人...............................14
2.4.1 投資類別簡介.............................14
2.4.2 機構投資人對股價影響之依據...............15
2.4.3 機構投資人交易對股價影響.................18
三、 研究方法.................................19
3.1 方法與架構...............................19
3.2 投資策略指標.............................21
3.3 系統架構.................................30
3.2.1 系統流程.................................31
3.2.2 網路資料截取.............................31
3.2.3 進場點評估...............................32
3.2.4 退場點評估...............................32
3.4 系統開發.................................33
3.4.1 資料擷取系統.............................33
3.4.2 系統開發流程.............................33
四、 實驗與結果...............................35
4.1 資料來源.................................35
4.2 實驗限制.................................35
4.3 實驗設計.................................36
4.4 實驗結果與分析...........................37
4.4.1 使用單一技術指標.........................37
4.4.2 券資比...................................39
4.4.3 跟隨機構投資人...........................40
4.4.4 使用混合技術指標進場.....................41
五、 結論與建議...............................45
參考文獻..........................................46
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