臺灣博碩士論文加值系統

紙本專利開放日108.08.29

紙本專利開放日108.08.29

中文摘要 I
英文摘要 II
致謝 III
目錄 IV
表目錄 VII
圖目錄 VIII
1. 導論 1
1.1 研究背景 1
1.2 研究目的 2
1.3 論文架構 3
2. 文獻探討 4
2.1 統計套利 4
2.2 基本面指標 4
2.3 人工智慧相關文獻 5
2.3.1 遺傳演算法 5
2.3.2 機率整合體 6
3. 研究方法 7
3.1 交易模型 7
3.2 選股模型 7
3.3 技術指標 9
3.3.1 布林通道 9
3.3.2 基本面指標 11
3.4 績效指標 11
3.4.1 年化報酬率 11
3.4.2 Maximum drawdown 12
3.4.3 Calmar ratio 12
3.4.4 Sharpe ratio 13
3.4.5 Information ratio 13
3.5 遺傳演算法 14
3.5.1 編碼方式 15
3.5.2 親代選擇方法 16
3.5.3 交配與突變 16
3.6 機率整合體 18
3.6.1 機率整合體理論架構 18
3.6.2 機率整合體演算法 21
4. 研究結果 23
4.1 資料來源與研究區間 23
4.2 實驗結果驗證方式 23
4.2.1 Temporal Validation 23
4.2.2 最佳化演算法參數設定 24
4.2.3 Benchmark 25
4.3 實驗結果比較 25
4.3.1 兩支股票統計套利 25
4.3.2 多支股票統計套利 37
4.3.3 加入相關係數選股模型 44
4.3.4 以基本面指標建立價差模型 49
5. 結論 59
參考文獻 60

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