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題名:分類迴歸樹於亞洲股票市場獲利能力之研究
書刊名:輔仁管理評論
作者:詹淑慧王嘉隆
作者(外文):Chan, Shu-huiWang, Jar-long
出版日期:2007
卷期:14:1
頁次:頁41-59
主題關鍵詞:分類迴歸樹技術指標亞洲股票市場Classification and regression treeTechnical indicatorsAsian stock 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(1) 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:1
  • 共同引用共同引用:16
  • 點閱點閱:28
期刊論文
1.Allen, Franklin、Karjalainen, Risto E.(1999)。Using Genetic Algorithms to Find Technical Trading Rules。Journal of Financial Economics,51(2),245-271。  new window
2.Bessembinder, H.、Chan, K.(1998)。Market efficiency and the returns to technical analysis。Financial Management,27(2),5-17。  new window
3.Scholes, M.、Williams, J.(1977)。Estimating Betas from Non-Synchronous Data。Journal of Financial Economics,5(3),309-327。  new window
4.Leigh, W.、Purvis, R.、Ragusa, J. M.(2002)。Forecasting the NYSE composite index with technical analysis, pattern recognizer, neural networks and genetic algorithm: a case study in romantic decision support。Decision Support Systems,32(4),361-377。  new window
5.Gencay, R.(1998)。The predictability of security returns with simple technical trading rules。Journal of Empirical Finance,5(4),347-359。  new window
6.Ito, A.(1999)。Profits on Technical Trading Rules and Time-varying Expected Returns: Evidence from Pacific-Basin Equity Markets。Pacific-Basin Finance Journal,7(3/4),283-330。  new window
7.Hsieh, David A.(1991)。Chaos and nonlinear dynamics: application to financial markets。Journal of Finance,46(5),1839-1877。  new window
8.余尚武、楊政麟(19980000)。運用類神經網路於股價指數之套利--以日經225指數為例。證券市場發展,10(4)=40,111-149。new window  延伸查詢new window
9.Baharumshah, A. Z.、Sarmidi, T.、Tan, H. B.(2003)。Dynamic Linkages of Asian Stock Markets。Journal of the Asia Pacific Economy,8(2),180-209。  new window
10.Brownstone, D.(1996)。Using Percentage Accuracy to Measure Neural Network Predictions in Stock Market Movements。Neurocomputing,10,237-250。  new window
11.Harvey, C.(1995)。The Cross-section of Volatility and Autocorrelation in Emerging Markets。Finanzmarkt and Portfolio Management,9,12-34。  new window
12.Hinich, C. D.、Patterson, D. M.(1985)。Evidence of Nonlinearity in Daily Stock Returns。Journal of Business and Economic Statistics,3,69-77。  new window
13.Refenes, A. N.、Burgess, N.、Bentz, Y.(1997)。Neural Networks in Financial Engineering: a Study in Methodology。IEEE Transactions on Neural Networks,8(6),1222-1267。  new window
14.林金賢、李家豪(20030400)。利用類神經模糊建構投資組合。管理學報,20(2),339-364。new window  延伸查詢new window
15.Kao, Duen-Li、Shumaker, Robert D.(199901)。Equity Style Time。Financial Analysts Journal,37-48。  new window
16.Neely, Christopher J.、Weller, Paul A.、Dittmar, Rob(1997)。Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach。Journal of Financial and Quantitative Analysis,32(4),405-426。  new window
17.Ranter, M.、Leal, R. P. C.(1999)。Test of Technical Trading Strategies in the Emerging Equity Markets of Latin America and Asia。Journal of Banking and Finance,23(12),1887-1905。  new window
18.Saad, E.、Prokhorov, D.、Wunsch, D.(1998)。Comparative Study of Stock Trend Prediction Using Time Delay, Recurrent and Probabilistic Neural Networks。IEEE Transactions on Neural Networks,9(6),1456-1470。  new window
19.Willey, T.(1992)。Testing for Nonlinear Dependence in Daily Stock Indices。Journal of Economics and Business,44(1),63-76。  new window
20.Jensen, M. C.、Bennington, G.(1970)。Random Walks and Technical Theories: Some Additional Evidences。Journal of Finance,25(2),469-482。  new window
21.李天行、陳能靜、蔡榮裕(20011200)。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。管理學報,18(4),567-588。new window  延伸查詢new window
22.Fama, Eugene F.、Blume, Marshall E.(1966)。Filter Rules and Stock Market Trading Profits。The Journal of Business,39(1 Part 2),226-241。  new window
23.Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance,47(5),1731-1764。  new window
24.Harvey, C. R.(1995)。Predictable risk and returns in emerging markets。Review of Financial Studies,8(3),773-816。  new window
25.Bessembinder, Hendrik、Chan, Kalok(1995)。The Profitability of Technical Trading Rules in the Asian Stock Markets。Pacific-Basin Finance Journal,3(2/3),257-284。  new window
26.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。  new window
27.Sorensen, E. H.、Miller, K. L.、Ooi, C. K.(2000)。The Decision Tree Approach to Stock Selection。Journal of Portfolio Management,27(1),42-53。  new window
28.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
29.游淑禎(19980000)。類神經網路應用於臺灣股市預測:統合基本面與技術面資訊。證券市場發展季刊,10(3)=39,97-134。new window  延伸查詢new window
30.黃國棟、許中川、黃金生(20021200)。回饋式類神經網路知識發掘應用於最適投資組合資金配置。中山管理評論,10(4),651-682。new window  延伸查詢new window
31.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
32.官美蘭、苑守慈(2000)。透明化與個人化之股市預測分析。資訊管理學報,6(2),211-239。  延伸查詢new window
33.Tsaih, R.、Hsu, Y.、Lai, C. C.(1998)。Forecasting S&P 500 Stock Index Futures with a Hybrid AI System。Decision Support Systems,23(2),161-174。  new window
會議論文
1.Kamijo, K.、Tanigawa, T.(1990)。Stock Price Pattern Recognition: A Recurrent Neural Network Approach。IEEE International Joint Conference on Neural Networks,215-221。  new window
研究報告
1.Grundy, B. D.、Martin, J. S.(1998)。Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing。Wharton School, University of Pennsylvania。  new window
圖書
1.Brock, W. A.、Hsieh, D.、LeBaron, B.(1991)。Nonlinear Dynamics, Chaos and Instability。Cambridge, MA:London:MIT Press。  new window
2.Pring, M. J.(1991)。Technical Analysis Explained。New York:McGraw-Hill Book Company。  new window
3.Park, K.、Schoenfeld, S.(1992)。The Pacific Rim Future and Options Markets。Chicago:Probus Publishing Company。  new window
4.Sorensen, E. H.、Mezrich, J. J.、Miller, K. L.(1996)。Asset Allocation - The Cart Before the Bourse。Salomon Brothers。  new window
5.Breiman, L.、Friedman, J. H.、Olshen, R. A.、Stone, C. J.(1984)。Classification and Regression Trees。Chapman & Hall/CRC。  new window
6.Trippi, R. R.、Turban, E.(1993)。Neural Network in Finance and Investing。Probus Publishing Company。  new window
圖書論文
1.Alexander, Sindey. S.(1961)。Price Movement in Speculative Markets: Trends or Random Walks。The Random Character of Stock Market Prices。Cambridge, Mass:MIT Press。  new window
2.Alexander, Sindey S.(1964)。Price Movement in Speculative Markets: Trends or Random Walks。The Random Character of Stock Market Prices。Cambridge, Mass:MIT Press。  new window
3.Pan, M.、Chiou, J.、Hocking, R.、Rim, H.(1991)。An Examination of Mean-Reverting Behavior of Stock Prices in Pacific-Basin Stock Markets。Pacific-Basin Capital Markets Research。Amsterdam:North Holland。  new window
4.Bailey, W.、Stultz, R. M.、Yen, S.(1990)。Properties of daily stock returns from the Pacific Basin stock markets: Evidence and implications。Pacific-Basin Capital Markets Research。New York, NY。  new window
 
 
 
 
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