:::

詳目顯示

回上一頁
題名:應用結構方程式與模糊系統對外匯市場波動交易之研究
作者:馮瑜瑾 引用關係
作者(外文):Yugin Fen
校院名稱:國立高雄第一科技大學
系所名稱:管理研究所
指導教授:蘇恩德
闕河士
學位類別:博士
出版日期:2013
主題關鍵詞:模糊理論模型結構方程式向量自我迴歸匯率波動Structural Equation Model (SEM)Vector Autoregression (VAR)Currency VolatilityFuzzy Model
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:6
本研究運用結構方程式模型(SEM)處理分析觀察變數-各種總體經濟指標與潛在變數-美元價值、新台幣價值及美元綜合指數間相互變動的關係,另採用向量自我迴歸(VAR)動態時間序列模型作進一步分析,除了可與SEM靜態的時間序列模型作一比較外,另亦希望藉由VAR模型更精確解析上述潛在變數彼此的互動關係及影響程度,以建構更完整的SEM結構模式。結合上述變數並增加匯率波動此風險變數後,發展出可控管風險的模糊理論模型(Fuzzy Model),應用模糊邏輯推論方法,搭配專家知識庫系統,將各輸出入變數轉換為語言變數的術語型態後,訂定出模糊規則,再運用基因演算法搜尋問題的最佳解,求得各變數之歸屬函數,最後建構成以SEM結構與模糊理論為基礎架構並考量風險控管的交易決策系統。
本文以實證模擬外匯買賣交易,實證結果顯示,運用結構方程式與模糊邏輯所建構的交易決策系統,其操作投資績效確實可獲得超額報酬,並擊敗買入-持有方式所做的投資績效;進而驗證在同樣的交易決策系統下,納入匯率波動此風險因素於系統中比不納入系統,其操作投資績效明顯較佳;另外交易策略的買賣加權值亦很顯著的受到美元價值與匯率波動的高低起伏所影響。
The present study uses the structural equation model (SEM) to analyze the correlations between various economic indices pertaining to latent variables, such as the New Taiwan Dollar (TWD) value, the United States Dollar (USD) value, and USD index. This research adopts the vector autoregression (VAR) dynamic time series model in addition to a comparison analysis by using the SEM static time series model. This study aims to more accurately examine the interactive relations and the degree of influence of the above-mentioned variables, by using the VAR model to construct the complete SEM structure model. In addition, a risk factor of volatility of currency returns is considered to develop a risk-controllable fuzzy inference system. The rational and linguistic knowledge-based fuzzy rules are established based on the SEM model and then optimized using the genetic algorithm. The empirical results reveal that the fuzzy logic trading system using the SEM indeed outperforms the buy-and-hold strategy. Moreover, when considering the risk factor of currency volatility, the performance appears significantly better. Remarkably, the trading strategy is apparently affected when the USD value or the volatility of currency returns shifts into either a higher or lower state.
Acedo, F. J. and Galan, J. L. (2011), "Export stimuli revisited: The influence of the characteristics of managerial decision makers on international behavior", International small business journal, Vol.29 No.6, pp.648-670.
Akaike, H. (1973), "Markovian representation of stochastic processes and Its application to the analysis of autoregeressive moving average process", Annuals of the Institute of Statistical Mathematics, Vol.26, pp.363-387.
Akatsuka, K. and Leggate, K. (2000), "Perceptions of foreign exchange rate risk in the shipping industry", Maritime policy and management, Vol.28, pp.235-250.
Alder, M. and Dumas, B. (1984), "Exposure to currency risk: definition and measurement", Financial management, Vol.26 No.1, pp.41-50.new window
Alexander, S.S., (1964)," Price movements in speculative markets: trends or random walks", Industrial Management Review, Vol.5 No .2, pp.25-46.
Alizadeh, M. et al. (2011), "An adaptive neuro-fuzzy system for stock portfolio analysis", Int. J. Intell. Syst, Vol.26, pp.99-114.
Anderson, T. W., Kunitomo, N. and Matsushita, Y. (2011), "On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments", Journal of econometrics, Vol.165 No.1, pp.58-69.new window
Anichul H. Khan, Haider A. Khan and Hasnat Dewan, (2013), "Central bank autonomy, legal institutions and banking crisis incidence", International Journal of Finance and Economics, Vol.18, No.1, pp.51-73.new window
Barrett, P. (2007), "Structural Equation Modelling: Adjudging model fit," Personality and individual differences, Vol.42 No.5, pp.815-24.
Bartov, E. and Bodnar, G. M. (1994), "Firm valuation expectations and the exchange rate exposure effect, "Journal of Finance, Vol. 49, pp.1755-1785.
Becker, L.A. and Seshadri, M. (2003), "Comprehensibility and overfitting avoidance in genetic programming for technical trading rules", Worcester polytechnic institute computer science technical report, WPI-CS-TR-03-09.
Behret, H. and Kahraman, C. (2010), "A multi-period newsvendor problem with pre-season extension under fuzzy demand", Journal of business economics and management, Vol.11 No.4, pp.613-629.
Bodnar, G. M. and Wong, M. H. F. (2003), "Estimating exchange rate exposures: issues in model structure", Financial management, Vol.32, pp.35-67.
Boreiko, D. (2003), "EMU and accession countries: Fuzzy cluster analysis of membership", International journal of finance and economics, Vol.8, pp.309-325.
Brabazon, T. and O’Neill, M. (2002) , "Trading Foreign Exchange Markets Using Evolutionary Automatic Programming", In Barry, A. M., editor, GECCO 2002: Proceedings of the Bird of a Feather Workshops, Genetic and Evolutionary Computation Conference, pp.133-136, New York. AAAI.
Breedon, F. and Vitale, P. (2010), "An empirical study of portfolio-balance and information effects of order flow on exchange rates", Journal of international money and finance, Vol.29 No.3, pp.504-524.
Burger-Helmchen, T. (2009), "Option chain and change management: A structural equation application", European management journal, Vol.27 No.3, pp.176-186.
Chan, K. C. C., Lee, V. and Leung, H. (1997), "Generating fuzzy rules for target tracking using a steady-state genetic algorithm", IEEE Trans. Evolutionary computation, pp.189-200.
Chen-Hsun Lee (2010), " The theory of capital structure: signal factor hypothesis ", An unpublished doctoral dissertation.
Chou, S. R., Yang, J. A. and Lee, C. H. (2011), "Determinants of capital structure in taiwan 50: a structure equation modeling approach", Sun yat-sen management review, Vol.19 No.2, pp.225-277.
Clements, K., Lan, Y. and Seah, S. P. (2012), "The Big Mac Index two decades on: an evaluation of burgernomics", International journal of finance and economics, Vol.17, pp.31-60.
Dickey, D. A. and Fuller, W. A. (1981), "Distribution of the estimators for autoregressive time series with a unit root", Econometrica, Vol.49, pp.1057-1072.
Doidge, C., Griffin, J. and Williamson, R. (2006), "Measuring the economic importance of exchange rate exposure?", Journal of empirical finance, Vol.13, pp.550-576.
Eerola, A. and Miles, I. (2011), "Methods and tools contributing to FTA: A knowledge-based perspective", Futures, Vol.43 No.3, pp.265-278.
Eichengreen, Barry and Razo-Garcia, R. (2006), "The international monetary system in the last and next 20 years", Economic policy, Vol.21 No.47, pp.393-442.
Ekholm, B. G., and Wallin, J. (2011), "The Impact of Uncertainty and Strategy on the Perceived Usefulness of Fixed and Flexible Budgets", Journal of business finance and accounting, Vol.38, pp.145-164.
Fama, E. F. (1970), "Efficient capital markets: a review of theory and empirical work", Journal of finance, Vol.25,pp.383-417.
Fama, E. F. and French, K. R. (1993), "Common risk factors in the returns on stocks and bonds", Journal of financial economics, Vol.33 No.1, pp.3-56.new window
Fisher Black and Myron Scholes (1973), "The pricing of options and corporate liabilities", Journal of political economy, Vol.81 No.3, pp.637–654.
Fyfe, C., Marney, J. P. and Tarbert, H. F. E. (1999), "Technical analysis versus market efficiency – A genetic programming approach", Applied financial economics, Vol.9,pp.183-191.
Geisendorf, S. (2011), "Internal selection and market selection in economic Genetic Algorithms", Journal of evolutionary economics, Vol.21 No.5, pp.817-847.
Granger, C. W. J. (1969), "Investigating causal relations by econometric models and cross-spectral methods", Econometrica, Vol.37,pp.424-438.
Graziano, M. G. (2012), "Fuzzy cooperative behavior in response to market imperfections", Int. J. Intell. Syst, Vol.27, pp.108-131.
Gunst, R. F. and Mason, R. L. (1979), "Some Considerations in the Evaluation of Alternate Prediction", Technometrics, Vol.21 No.1, pp.55-63.new window
Hu, K. C. and Jen, W. (2008), "Exploring the effects of relational performance and service quality on customer''s satisfaction and loyalty in the freight shipping industry from the viewpoint of business-to-business", Journal of the chinese institute of transportation, Vol.20 No.2, pp.201-228.
Jensen, M. and Bennington, G. (1970), "Random walks and technical theories: some additional evidences", Journal of finance, Vol.25, pp.469-482.
Jöreskog, K. and Sörbom, D. (1993), "LISREL 8: structural equation modeling with the SIMPLIS command language", Chicago, IL: Scientific Software International Inc.
Jorion, P. (1990), "The exchange rate exposure of U.S. multinationals", Journal of business, Vol.63, pp.331-345.
Jorion, P. (1991), "The pricing of exchange risk in the stock market", Journal of financial and quantitative analysis, Vol.26, pp.353-376.
Kargbo, J. M. (2009), "Financial globalization and purchasing power parity in the G7 countries", Applied economics letters, Vol.16 No.1, pp.69-74.new window
Kuppam, A. R. and Pendyala, R. M. (2001), "A structural equations analysis of commuter activity and travel patterns", Transportation, Vol.28 No.1, pp.33-54.new window
Lan, Y. (2006), "Equilibrium exchange rates and currency forecasts: a Big Mac perspective", International Economics and Finance Journal, Vol.1, pp.291-311.new window
Lee, S. M. and Hong, S. (2002), "An enterprise-wide knowledge management system infrastructure", Industrial management and data systems, Vol.102 No.1, pp.17-25.new window
Li, Jin and Tsang, E. P. K. (1999), "Improving technical analysis predictions: an application of genetic programming", Artificial Intelligence Research Symposium.
Lin, C. H. (1984), "Theories and applications of Structural Equation Models and LISREL IV program", Psychological testing, Vol.31, pp.149-163.
Lintner, J. (1965), "The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets", Review of Economics and Statistics, Vol.47, pp.13-37.
Lopetch, D. and Corne, D. (2010), "Outperforming buy-and-hold with evolved technical trading rules: daily, weekly and monthly trading", Proceedings of EvoApplications, Vol.2, pp.171-181.
McDonald, R. P. and Ho, M. -H. R. (2002), "Principles and practice in reporting statistical equation analyses", Psychological methods, Vol.7 No.1, pp.64-82.new window
MacDonald, R. (2007), "Exchange rate economics: theories and evidence", UK : Routledge milton park.
Mamdani, E. H. and Assilian, S. (1975), "An experimental in linguistic synthesis with a fuzzy logic control", International journal of man-machine studies, Vol.7, pp.1–13.
Mamdani, E. H. (1976), "Advances in the linguistic synthesis of fuzzy controllers." Journal of man–machine studies, Vol.8, pp.669-678.
Marney, J. P., Tarbert, H. and Fyfe, C. (2005), "Risk adjusted returns from technical trading: A genetic programming approach", Applied financial economics, Vol.15, pp.1073-1077.
Martinez-Lopez, F. J. and Casillas, J. (2009), "Marketing Intelligent Systems for consumer behavior modeling by a descriptive induction approach based on Genetic Fuzzy Systems", Industrial marketing management, Vol.38 No.7, pp.714-731.
McCarthy, I. (2009), "Simulating sequential search models with genetic algorithms: Analysis of price ceilings, taxes, advertising and welfare", Computational economics, Vol.34 No.3, pp.217-241.
Moffet, M. and Karlsen, J. (1994), "Managing foreign exchange rate economic exposure", Journal of international financial management and accounting, Vol.5 No.2, pp.157-175.
Neely, C. J. and Weller, P. A. (1999), "Technical trading rules in the European monetary system", Journal of international money and finance, Vol.18 pp.429-458.
Neely, C. J. (2005), "An analysis of recent studies of the effect of foreign exchange intervention", Federal reserve bank of St. Louis review, Vol.87 No.6, pp.685-717.
Nunez-Letamendia, L. (2002), "Trading systems designed by genetic algorithms", Managerial finance, Vol.28 No.8, pp.87-106.
Pham, T. T. and Chen, G. (2002), "Some applications of fuzzy logic in rule–based expert systems", Expert Systems, Vol.19, pp.208-223.
Ross, S. A. (1976), "The arbitrage theory of capital asset pricing", Journal of Economic Theory, Vol.13, pp.341-360.
Sharpe, W. F. (1964), "Capital Asset Prices: A theory of market equilibrium under conditions of risk", Journal of finance, Vol.19 No.3, pp.425-442.
Sims, C. A. (1980), "Macroeconomics and reality", Ecometrica, Vol.33, pp.1-48.
Terceno, A. and Vigier, H. (2011), "Economic-Financial forecasting model of businesses using fuzzy relations", Economic computation and economic cybernetics studies and research, Vol.45 No.1, pp.215-232.new window
Titman, S. and Wessels, R. (1988), "The determinants of capital structure choice", Journal of Finance, Vol.43 No. 1, pp.1-19.new window
Tseng, M. -L., Lin, R. -J. and Chen, H. -P. (2011), "Evaluating the effectiveness of e-learning system in uncertainty", Industrial management and data systems, Vol.111 No.6, pp.869-889.
Usha, R. and Luc, M. (2011), "Identifying the underlying structure of demand during promotions: A structural equation modeling approach", Expert systems with applications, Vol.38 No.5, pp.5544-5552.
Williamson, R. (2001), "Exchange rate exposure and competition: evidence from the automotive industry", Journal of financial economics, Vol.59, pp.441-475.
Zadeh, L. A. (1965), "Information and control", Fuzzy sets, Vol.8, pp.338-353.
Zadeh, L. A. (1996), "Fuzzy sets, fuzzy logic, and fuzzy systems: selected papers: Advances in fuzzy systems-applications and theory", NJ: World Scientific, Vol.6.
Zhang, W. Y. and Lee, S. Y. (2009), "Nonlinear dynamical structural equation models", Quantitative finance, Vol.9 No.3, pp.305-314.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE