(3.236.231.14) 您好!臺灣時間:2021/04/11 23:41
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:郭駿
研究生(外文):Chun Kuo
論文名稱:量子啟發式類電磁演化機制應用於股票交易系統
論文名稱(外文):Quantum-Inspired Electromagnetism-like Mechanism for Stock Trading System
指導教授:周耀新
指導教授(外文):Yao-Hsin Chou
口試委員:游家牧陳麒元
口試委員(外文):Chia-Mu YuChi-Yuan Chen
口試日期:2014-07-31
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:資訊工程學系
學門:工程學門
學類:電資工程學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:中文
論文頁數:32
中文關鍵詞:量子計算啟發式演算法技術分析技術指標
外文關鍵詞:Quantum ComputingHeuristic algorithmTechnical analysisTechnical indicators
相關次數:
  • 被引用被引用:0
  • 點閱點閱:144
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:24
  • 收藏至我的研究室書目清單書目收藏:0
啟發式演算法常起源於自然界觀察而來的現象,例如觀察鳥類覓食的粒子群搜尋法(Particle Swarm Optimization, PSO)、模仿蟻群覓食的蟻群最佳化演算法(Ant Colony Optimization)等等。啟發式演算法通常有著執行效率高、高適用性等等特性,能在可接受的時間內求得問題的最佳解或次佳解,因此在解決生活上複雜龐大的問題,例如資源管理、電路設計自動化、股票市場的應用問題等等,往往會選擇使用啟發式演算法,而本研究將著重於股票市場的交易問題,使用量子啟發式類電磁演化計算(Quantum-Inspired Electromagnetism-like Mechanism, QEM),並使用市場上簡單而廣為人知的技術指標(technical indicator)來建構投資交易策略。
技術指標為統計過去一連串的時間序列資料,並經過特定數學函式化,以分析過去的股價行為,並且預期過去的股價變動行為在未來可能會再發生。技術指標會在股價變動過程中提供買賣的訊號,以便投資者決策進場與出場的時機。而技術指標種類繁多,不同的技術指標又有許多不同的參數,因此本研究以技術指標中價、量的移動平均線(Moving Average)針對台灣股票市場建構一個簡單有效的投資策略,探討不同天期移動平均線與價量之間的關係在股市投資決策上之投資績效。

Heuristic Algorithms normally originate from the appearance of nature. For example, Particle Swarm Optimization and Ant Colony Optimization, etc. Heuristic algorithms typically have high efficiency, high applicability characteristics. It can obtain optimal solution or suboptimal solution of the problem within an acceptable time. To solving complex real-world problems, such as resource management, circuit design automation, the application of the financial market will often choose heuristic algorithms.
In this paper, we focus on the financial market trade issues. The present use the Quantum-Inspired Electromagnetism-like Mechanism and some of the simple well-known technical indicators to establish a compact system of invested advice.
The past time-series data are calculated with specific mathematical module and counted by technical indicators. Technical indicators analysis the past stock price behavior and expected behavior of past stock price movement may happen again in the future.
There are many different kinds of technical indicators and each has many different parameters. Therefore, this study used price and volume moving average to investigate the relationship between different parameter in Taiwan stock market.

誌謝 I
論文摘要 II
Abstract III
圖目次 VI
表目次 VII
1.簡介 1
2.文獻探討 2
2.1、類電磁演化計算 2
2.2、量子計算 3
2.3、量子啟發式演化計算相關文獻 4
2.3.1 Quantum-inspired evolutionary Alogrithm 4
2.3.2 Quantum-inspired genetic algorithm 4
3.研究背景與目標 7
3.1 領域問題 7
3.2 台灣50ETF 8
4.研究方法 9
4.1量子啟發式類電磁演化機制應用於股票交易系統 9
4.2技術指標與交易策略 10
4.3移動視窗方法(Sliding Window) 11
4.4 量子啟發式類電磁演化計算 12
4.4.1 編碼 12
4.4.2 演算法流程 13
5.實驗結果 19
5.1 實驗環境 19
5.1.1實驗一環境設定 20
5.1.2實驗二環境設定 21
5.1.3實驗三環境設定 22
5.2 實驗結果 23
5.2.1 實驗1、實驗2結果 23
5.2.2 實驗3結果 28
5.3 實驗結果分析與未來方向 30
5.3.1 實驗結果分析 30
5.3.2 未來方向 31
參考文獻 32

[1] Y. H. Chou, Y. J. Yang, and C. H. Chiu, “Classical and quantum-inspired Tabu search for solving 0/1 knapsack problem”, Systems, Man, and Cybernetics (SMC), 2011 IEEE International Conference on , vol., no. , pp.1364-1369, 2011
[2] J. H. Wang, and J. Y. Leu, “Dynamic trading decision support system using rule selector based on genetic algorithms”, Neural Networks for Signal Processing [1996] VI. Proceedings of the 1996 IEEE SignalProcessing Society Workshop , vol., no., pp.119-128, 1996.
[3] A. Franklin, and K. Karjalainen, “Using genetic algorithms to find technical trading rules”, Journal of Financial Economics, 1999.
[4] D. Lohpetch, and D. Corne, “Discovering effective technical trading rules with genetic programming: towards robustly outperforming buy-andhold”, Nature & Biologically Inspired Computing, 2009. NaBIC 2009. World Congress on , vol., no., pp.439-444, 2009.
[5] Y. I. Cheng, and C. H. Lien, “Fuzzy rule-based stock trading system”,Fuzzy Systems (FUZZ), 2011 IEEE International Conference on , vol., no., pp.2066-2072, 2011.
[6] M. C. Chen, Y. Edward, H. Lin, and R. J. Kuo, “The Application of Ant Colony Optimization System on the Investment Strategies at Taiwan Stock Market”, Journal of Information Management:book.15, vol.1,pp.153-178, 2008.
[7] Matthew Butler, Ali Daniyal, “Multi-Objective Optimization with an Evolutionary Artificial Neural Network for Financial Forecasting”, 11th Annual conference on Genetic and evolutionary computation(GECCO), vol., no. , pp. 1451-1458,2009.
[8] Bïrbïl, S.I., Stochastic Global Optimization techniques, Department of Industrialengineering, A Dissertation Submitted to the Graduate Faculty of North Carolina State University., 2002.
[9] K.-H. Han and J. -H. Kim, “Quantim-inspire evolutionary algorithm for a class of combinatorial,” IEEE Transactions on Evolutionary Computation, vol. 6, pp. 580-593, Dec. 2002.
[10] K-H. Han and J-H. Kim, “Quantum-inspire evolutionary algorithms with a new termination criterion, hc gate , and two phase scheme,” IEEE Transactions on Evolutionary Computation, vol. 8, No. 2, pp. 156-169, 2004.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔