臺灣博碩士論文加值系統

此研究使用人工智慧之機器學習技術，應用於台灣股票市場。本文運用4項基本面指標、15項技術面指標，搭配3項籌碼面指標，應用隨機森林演算法迴歸的功能、XGBoost演算法迴歸的功能、PLS演算法、SVM演算法迴歸的功能預測個股報酬率作為投資標的，也應用隨機森林演算法分類的功能，預測未來可能上漲之股票篩選投資標的，再搭配均等權重或最小變異數投資組合建立每月投資組合。
實證結果發現，預測個股報酬率之機器學習投資策略，年化報酬率優於市場加權指數及元大台灣50ETF的報酬率，也有較佳的夏普指數，多數策略能獲得顯著正的超額報酬；以分類方法預測個股漲跌的機器學習方法，其投資表現則是落後市場加權指數及元大台灣50ETF績效表現的結果。

This research applies artificial intelligence, machine learning algorithm to Taiwan stock market. This research uses 4 fundamental indicators, 15 technical indicators and also 3 chip indicators. The research applies random forest algorithm regression function, XGBoost algorithm regression function, PLS algorithm, SVM algorithm regression function to predict the stock return as investment targets. This study also applies random forest algorithm classification function to predict the trend of stocks. Finally, the research forms monthly portfolios with equal weighted and minimum variance investment portfolios respectively.
The empirical results show that the machine learning investment strategies which predict the stock return has a higher annualized return than the market-weighted index and Yuanta Taiwan 50 ETF. They also have better Sharpe index. Furthermore, half of the strategies have significantly positive excess return. The investment strategies that predict the possibility of individual stock price to rise and fall have performance that are outperformed by the the market-weighted index and the Yuanta Taiwan 50 ETF.

書名頁 i
論文口試審定書 ii
中文摘要 iii
英文摘要 iv
誌謝 v
目錄 vi
表目錄 viii
圖目錄 ix
1. 緒論 1
2. 文獻回顧 4
2.1人工智慧、機器學習與投資策略 4
2.2隨機森林(Random Forest) 6
2.3 XGBoost 7
2.4 Supporting Vector Machine (SVM) 8
2.5 Partial Least Squares Regression (PLS) 9
2.6機器學習在投資策略中常使用的變數 9
3. 研究設計 11
3.1樣本資料期間與訓練期、測試期及預測期 11
3.2研究方法 12
3.3投資組合績效評估 16
4. 實證結果 18
4.1資料分析 18
4.2機器學習投資策略參數設定說明 20
4.3樣本外投資表現 21
4.4超額報酬 29
5. 結論 32
參考文獻 38

表目錄
表 1 敘述性統計表 18
表 2 被選進投資組合次數最多的股票-Strategy 1&6 20
表 3 投資組合報酬率表現最佳月份選中之股票-Strategy1&6 24
表 4 投資組合報酬率表現最佳月份選中之股票-Strategy4&9 25
表 5 投資策略表現比較: 機器學習策略與市場加權指數&元大台灣50 26
表 6 投資策略年度績效表現 28
表 7 超額報酬檢驗-Strategy 1&6 30
表 8 超額報酬檢驗- Strategies Without Strategies 1&6 31
表 A1變數定義 34
表 A2 超額報酬檢驗- Strategies Without Strategies 1&6 35

圖目錄
圖 1 均等權重投資組合與台灣加權指數及ETF0050累積報酬率 23
圖 2 最小變異數投資組合與台灣加權指數及ETF0050累積報酬率 23

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