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題名:現貨盤後期貨交易資訊內涵之研究--以新加坡交易所日經225指數期貨為例
書刊名:管理學報
作者:李天行 引用關係陳能靜 引用關係蔡榮裕
作者(外文):Lee, Tian-shyugChen, Nen-jingTsai, Jung-yu
出版日期:2001
卷期:18:4
頁次:頁567-588
主題關鍵詞:類神經網路期貨預測隨機漫步Neural networksFuturesGARCHRandom walkNikkei 225
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(7) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:6
  • 共同引用共同引用:2
  • 點閱點閱:42
本研究探討新加坡交易所日經 225 指數現貨盤後期貨交易資訊之內涵,利用領先現貨開盤5分鐘之期貨指數及現貨前一日之收盤指數當作輸入層之輸入變數建構類神經網路模式,進行現貨開盤指數價格之預測。在類神經網路預測模式之建構方面,首先利用敏感度分析決定模式之參數,而有關建構模式之穩健性評估方面,則利用訓練樣本佔總樣本之不同資料比例加以分析。而為了評估建構模式之預測效果,以 1998年 10 月 1 日至 1999 年 3 月 31 日現貨與期貨指數5分鐘日內資料為實証之時間序列資料,實証結果顯示建構之類神經網路預測模式相較於隨機漫步模型、以現貨前一日之收盤指數為輸入變數之類神經網路模式及GARCH模型顯著有較好之預測能力,顯示非現貨交易時段之期貨交易價格內含豐富之資訊,可做為預測現貨開盤指數之參考,且類神經網路相較於GARCH模型而言,為一較優良之預測工具。
This study investigates the information content of SGX-DT Nikkei 225 futures prices during the non-cash-trading (NCT) period. The futures price at 07:55 and previous day’s closing index at 14:00 in the cash market are used as the input nodes to predict the 08:00 opening cash market price index by the backpropagation neural network model. Sensitivity analysis is first employed to address and solve the issue of finding the appropriate setup of the topology of the networks. Extensive studies are then performed on the robustness of the constructed network by using different training and testing sample sizes. To demonstrate the effectiveness of our proposed method, the five-minute intraday data of spot and futures index from October 1, 1998 to March 31, 1999 was evaluated using the designed neural network model. Analytic results demonstrate that the proposed neural network model outperforms the neural network model with previous day’s closing index as the input variable, random walk and the GARCH model forecasts. It therefore indicates that there is valuable information involved in the futures prices during the NCT period that can be used to forecast the opening cash price index.Besides, the neural network model provides better forecasting results than the GARCH model.
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學位論文
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5.陳瑞卿(2000)。應用總體經濟因素於加權股價指數的預測-類神經網路與多元迴歸比較之研究,0。  延伸查詢new window
6.黃裕堅(1999)。股票市場與期貨市場之間報酬波動性關係,0。  延伸查詢new window
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8.林章鈞(1994)。使用類神經網路於臺灣貨幣市場匯率趨勢預測之研究,0。  延伸查詢new window
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圖書
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