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題名:分類迴歸樹於S&P500指數預測之研究
書刊名:管理科學研究
作者:王嘉隆詹淑慧
作者(外文):Wang, Jar-longChan, Shu-hui
出版日期:2005
卷期:特刊
頁次:頁141-150
主題關鍵詞:分類迴歸樹技術指標股票市場Classification and regression treeTechnical indicatorsStock market
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(3) 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:3
  • 共同引用共同引用:12
  • 點閱點閱:20
過去有關技術分析的文獻中,有直接利用技術指標來做效率市場之假說檢定,有的則嘗試透過人工智慧技術建構技術指標與股價間之關係,進而來預測股側之走勢,不同過去文獻所使用的方法,本研究嘗試透過分類迴歸樹(Classification and Regression Tree, CART)技術,以KD技術指標建立一專家系統,並形成一交易準則的分類樹,,再對每一分類以迴歸進行分析,進而偵測買進及賣出訊號。實證結果顯示本研究方法對於S&P500指數的預測能力,較諸於買入持有(buy and hold),及直接以KD技術指標為交易法則,有較佳的績效表現。
This study attempts to propose an alternative way to detect the buy and sell signals by combining classification and regression tree and KD technical indicator and use it to make prediction of the S&P 500 Index. The empirical results indicate that the proposed method outperforms the buy-and-hold strategy and trading rule directly used KD technical indicator.
期刊論文
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會議論文
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研究報告
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圖書
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圖書論文
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