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研究生:劉安崇
研究生(外文):An-Chung Liu
論文名稱:利用彩色派翠網路檢測股票交易訊號
論文名稱(外文):A Colored Petri Net for stock trading signals detection
指導教授:施東河施東河引用關係
指導教授(外文):Dong-Her Shih
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:資訊管理系碩士班
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:2013
畢業學年度:101
語文別:英文
論文頁數:52
中文關鍵詞:技術指標技術分析彩色派翠網路股票買賣訊號檢測
外文關鍵詞:Technical indicatorsStock trading signalsColored Petri NetTechnical analysis
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在股票交易市場中,股票的交易訊號預測是一項熱門的研究,對於投資者來說,它是一項重要的工具。根據以往的研究,通常使用技術指標來當作股票價格監控的一項工具,並協助投資者設定交易規則。但是,以往的研究大多數只著重在價格的預測,而不是在更實際的交易時機預測上。所以,投資者往往沒有辦法得到明顯的獲利。因此,在各種不同且多變化的因素上要找出合適的股票交易策略是不容易的。本論文提出一個新的方法藉由透過彩色派翠網路(CPN)來分析與技術指標之間的關係來找出隱含在歷史訊息中的交易規則,讓投資者獲得更高的利潤。藉由 CPN 模型產生的三種交易訊號,以及透過我們所提出的五種不同的策略應用。實驗結果顯示,在不同的策略下,所獲得的投資報酬率也不同。也指出在評估投資報酬率上,彩色派翠網路是一個易於使用的模型。
Stock trading signals detection is a very popular research issue and it is an important tool for investors in the stock transaction markets. According to the previous researches, it normally uses the technical indicators to detect stock price and it can help investors to set up trading rules. But, the previous researches are focus on stock price detection rather than the practical opportunity of transaction forecasting, so, investors usually couldn’t obtain significant profits. Therefore, it’s too difficult to detect an appropriate stock trading rule on different and various factors. This paper proposes a novel approach using a Colored Petri Net (CPN) model to discover the relationships by analyzing various technical indicators between each other, and exposing the rules of trading signals hidden in historical data for investment to get more profits. We proposed five different strategies by applying a CPN model to generate three signals. The experiment shows that there are different returns on investment in different strategies and the CPN model is an easy-to-use tool with
considerable return on investment.
中文摘要......................................................................................................................... i
Abstract .......................................................................................................................... ii
Table of Contents .......................................................................................................... iii
List of Tables ................................................................................................................. iv
List of Figures ................................................................................................................ v
1. Introduction .......................................................................................................... 1
2. Literature review .................................................................................................. 3
2.1 Technical analysis ..................................................................................... 3
2.2 Computational intelligence ..................................................................... 4
2.3 Principal component analysis (PCA) ..................................................... 5
2.4 Colored Petri Net ..................................................................................... 6
3. Methodology ......................................................................................................... 8
3.1 Stock screening ......................................................................................... 9
3.2 Input variable selection ......................................................................... 10
3.3 CPN model construction........................................................................ 12
3.4 Estimate the earning .............................................................................. 13
4. Experiment of CPN ............................................................................................ 14
4.1 Input variables and settings of CPN..................................................... 14
4.2 Return on investment and strategies .................................................... 19
4.3 Experiment result of CPN ..................................................................... 20
5. Experiment of modified CPN ............................................................................ 24
5.1 Modified CPN model construction ....................................................... 25
5.2 Experiment process of modified CPN .................................................. 26
5.3 Experiment results of modified CPN ................................................... 29
6. Discussion............................................................................................................ 34
7. Conclusion .......................................................................................................... 39
Reference ..................................................................................................................... 40
Appendix A ................................................................................................................. 44
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