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題名:基因表達規劃法於外匯保證金交易投資策略之研究--以歐元兌美元為例
書刊名:管理資訊計算
作者:林文修蘇敏龍
作者(外文):Lin, Wen-shiuSu, Min-lung
出版日期:2016
卷期:5:2
頁次:頁30-46
主題關鍵詞:基因表達規劃法外匯保證金交易技術分析Gene expression programmingForeign exchange margin tradingTechnical analysis
原始連結:連回原系統網址new window
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本研究主要目標是以基因表達規劃法(Gene Expression Programming, GEP)多基因的設計,解決外匯保證金交易中,最難以解決的最適資金投入比率問題。本研究透過GEP多基因的設計,以及GEP隨機數值常數(RNC)權重設計機制,創新地以動態方式解決外匯保證金交易(Foreign exchange margin trading)資金投入比率問題,期望能避免人性因素而影響投資行為,並能穩定地獲得投資報酬率。經由研究結果顯示:(1)本研究所提出之技術指標模型,確實有機會為投資者帶來尚可的報酬,但在發生非預期性之經濟數據發佈時,則無法發揮該有的作用。(2)本研究採用的九項技術指標中,根據GEP之演化以KD與RSI較能為模型帶來超額報酬,而MA、MACD、Bollinger Bands等技術指標則較不具參考價值。
The main purpose of this study is to use the concept of collective intelligence to dynamically determine the optimal ratio of capital investment through the multiple-gene design of gene expression programming (GEP), and the weighting mechanism of GEP random numeric constants (RNC), hoping that the investment behavior to avoid been affected by human factors and obtain stable ROI..The results of studies show that: (1) The more stringent the trading signals are the worse it functions. 70-30 are more likely to bring stable excess returns for investors. (2) The model proposed in this study does have a good opportunity to bring acceptable rewards for investors. But it cannot function as sell as it is supposed in the event that unexpected economy data out of expectation are announced. (3) Among the nine technical indicators used in this study, KD and RSI are more likely to bring excess returns for the model according to the evolution of GEP, while MA, MACD, and Bollinger bands have less value for reference.
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.Chen, Y.、Mabu, S.、Member, Hirasawa K.、Hu, M. J.(2007)。Genetic Network Programming with Sarsa Learning and Its Application to Creating Stock Trading Rules。IEEE Evolutionary Computation,220-227。  new window
3.Ferreira, C.(2001)。Gene Expression Programming: A New Adaptive Algorithm for Solving Problem。Complex System,13,87-129。  new window
4.Lopes, Heitor S.、Weinert, Wagner R.(2004)。Egipsys: An enhanced gene expression programming approach for symbolic regression problems。International Journal of Applied Mathematics and Computer Science,14(3),375-384。  new window
5.Zuo, J.、Tang, C. J.、Li, C.、Yuan, C. A.、Chen, A. L.(2004)。Time Series Prediction Based on Gene Expression Programming。Advance in Web-Age Information Management Lecture Notes in Computer Science,3129,55-64。  new window
會議論文
1.林文修、林聖庭、陳奕帆(2011)。共演化機制在動態資產配置模型建構之研究。2011TAAI第十六屆人工智慧與應用研討會。桃園縣中壢市:中華民國人工智慧學會。  延伸查詢new window
2.林文修、黃怡婷(2011)。演化式計算於共同基金投資組合建構與交易策略挖掘之研究。第二十二屆國際資訊管理學術研討會暨資管年會。台中:中華民國資管學會:朝陽科技大學。  延伸查詢new window
3.林文修、陳伊伶(2011)。整合式演化計算於證券投資組合之應用。第二十二屆國際資訊管理學術研討會暨資管年會。台中:中華民國資管學會:朝陽科技大學。  延伸查詢new window
4.林文修、黃華威(2011)。演化式計算應用於投資組合建構之研究。第二十二屆國際資訊管理學術研討會暨資管年會。台中:中華民國資管學會:朝陽科技大學。  延伸查詢new window
5.林文修、價偉廉、蘇誼閔(2012)。基因表達規畫法探勘股票交易規則之研究。第十八屆海峽兩岸資訊管理發展與策略學術研討會。臺北市:中華民國資訊管理學會:實踐大學。  延伸查詢new window
6.林文修、蔡慧菊(2010)。基因表示規劃法於台股期貨價格發現之研究。2010 ICIM 第二十一屆國際資訊管理學術研討會。台南市:中華民國資訊管理學會:成功大學。  延伸查詢new window
7.Ferreira, C.(2002)。Function Finding and the Creation of Numerical Constants in Gene Expression Programming。Proceeding of Industrial Applications。  new window
8.Huang, C. H.、Yang, C. B.、Chen, H. H.(2013)。Trading Strategy Mining with Gene Expression Programming。The 2013 International Conference on Applied Mathematics and Computational Methods in Engineering,80-85。  new window
9.Hsieh, L. F.、Hsieh, S. C.、Tai, P. H.(2010)。Optimize stock variation prediction via DOE and BPNN。The 8th International Conference on Supply Chain Management and Information Systems (SCMIS),1-7。  new window
學位論文
1.王界舜(2010)。外匯技術指標獲利績效分析與預測(碩士論文)。輔仁大學。  延伸查詢new window
2.陳有忠(2007)。技術指標應用於外匯交易之研究-以英鎊、日圓及台幣為例(碩士論文)。國立臺灣科技大學。  延伸查詢new window
3.張簡明賢(2010)。採購風險控管之最適外匯避險策略探討(碩士論文)。國防大學管理學院。  延伸查詢new window
4.黃榮煌(2008)。外匯交易-價格分析與投資策略(碩士論文)。國立成功大學。  延伸查詢new window
5.戴棨泯(2014)。模糊基因表達規劃法在台指期貨投資策略探勘之研究(碩士論文)。輔仁大學。  延伸查詢new window
圖書
1.陳紹勝(2011)。史上最強的圖解外匯投資書。臺北:漢湘文化。  延伸查詢new window
2.Dave, C.、任以能、王彤(2013)。外匯交易的第一本書:全新外匯交易指南。臺北:經球文化。  延伸查詢new window
3.Ferreira, C.(2006)。Gene Expression Programming: Mathematical Modeling by and Artificial Intelligence。Spring-Verlag。  new window
4.Koza, John R.(1992)。Genetic Programming: On the Programming of Computers by Means of Natural Selection。MIT Press。  new window
5.Holland, J. H.(1975)。Adaptation in Natural and Artificial Systems: An Introductory Analysis with Application to Biology, Control, and Artificial Intelligence。MI:University of Michigan Press。  new window
圖書論文
1.Yang, C. H.(2010)。Improved Gene Expression Programming Algorithm Tested by Predicting Stock Indexes。CAAI Transactions on Intelligent Systems。  new window
 
 
 
 
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