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題名:漫步於隨機森林--輔以多數決學習的臺股指數期貨交易策略
書刊名:經濟論文
作者:鄭仁杰江彌修
作者(外文):Cheng, Jen-chiehChiang, Mi-hsiu
出版日期:2019
卷期:47:3
頁次:頁395-448
主題關鍵詞:多數機器決學習隨機森林交易策略臺灣加權股價指數期貨卡馬比率Ensemble machine learningRandom forestTrading strategiesTAIEX futuresCalmar ratio
原始連結:連回原系統網址new window
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  • 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:3
  • 點閱點閱:3
期刊論文
1.Sortino, F. A.、van der Meer, R.、Plantinga, A.(1999)。The Dutch triangle: A framework to measure upside potential relative to downside risk。Journal of Portfolio Management,26(1),50-58。  new window
2.Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。The Journal of Finance,47(2),577-605。  new window
3.Keating, Con、Shadwick, William F.(2002)。A universal Performance measure。The Journal of Performance Measurement,6(3),59-84。  new window
4.Lo, Andrew W.、Mamaysky, Harry M.、Wang, Jiang(2000)。Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation。Journal of Finance,55(4),1705-1765。  new window
5.Sortino, F. A.、van der Meer, R.(1991)。Downside Risk。Journal of Portfolio Management,17(4),27-31。  new window
6.Kim, K.-J.(2003)。Financial time series forecasting using support vector machines。Neurocomputing,55(1/2),307-319。  new window
7.Hurst, H. E.(1951)。Long-term Storage Capacity of Reservoirs。Transactions of the American Society of Civil Engineers,116,770-799。  new window
8.Dutta, Avijan、Bandopadhyay, Gautam、Sengupta, Suchismita(20120600)。Prediction of Stock Performance in the Indian Stock Market Using Logistic Regression。International Journal of Business and Information,7(1),105-136。new window  new window
9.Brooks, C.、Rew, A. G.、Ritson, S.(2001)。A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100。International Journal of Forecasting,17(1),31-44。  new window
10.Ho, T. K.、Hull, J. J.、Srihari, S. N.(1994)。Decision combination in multiple classifier systems。IEEE Transactions on Pattern Analysis & Machine Intelligence,16(1),66-75。  new window
11.Simon, David P.、Wiggins, Roy A. III(2001)。S&P futures returns and contrary sentiment indicators。Journal of Futures Markets,21(5),447-462。  new window
12.Richards, Anthony(2005)。Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets。Journal of Financial and Quantitative Analysis,40(1),1-27。  new window
13.Borovkova, S.、Tsiamas, I.(2018)。An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification。Quantitative Finance。  new window
14.巫和懋、許智翔(20100600)。交易量在預測內部交易機率與技術分析的訊息價值。經濟論文,38(2),211-244。new window  延伸查詢new window
15.Carling, K.(2000)。Resistant Outlier Rules and the Non-Gaussian Case。Computational Statistics and Data Analysis,33,249-258。  new window
16.Ren, N.、Zargham, M.、Rahimi, S.(2006)。A Decision Tree-Based Classification Approach to Rule Extraction for Security Analysis。International Journal of Information Technology and Decision Making,5(1),227-240。  new window
17.Mandelbrot, B. B.、Wallis, J.(1968)。Noah, Joseph and Operational Hydrology。Water Resources Research,4,909-918。  new window
18.Schwertman, N. C.、de Silva, R.(2007)。Identifying Outliers with Sequential Fences。Computational Statistics and Data Analysis,51,3800-3810。  new window
19.Blume, Lawrence、Easley, David、O'Hara, Maureen(1994)。Market Statistics and Technical Analysis: The Role of Volume。The Journal of Finance,49(1),153-181。  new window
20.Breiman, Leo(2001)。Random Forests。Machine Learning,45(1),5-32。  new window
21.Shannon, Claude E.(1948)。A Mathematical Theory of Communication。The Bell System Technical Journal,27(3),379-423。  new window
會議論文
1.Giacomel, F.、Galante, R.、Pereira, A.(2015)。An Algorithmic Trading Agent Based on a Neural Network Ensemble: A Case of Study in North American and Brazilian Stock Markets。The 2015 IEEE/WIC/ACM International Joint Conferences on Web Intelligence and Intelligent Agent Technologies。  new window
2.Ho, Tin Kam(1995)。Random Decision Forests。The 3rd International Conference on Document Analysis and Recognition。IEEE Computer Society。278-282。  new window
3.Kumar, M.、Thenmozhi, M.(2006)。Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest。The Ninth Indian Institute of Capital Markets Conference。  new window
4.Sen, J.、Chaudhuri, T.(2017)。A Robust Predictive Model for Stock Price Forecasting。The 5th International Conference on Business Analytics and Intelligence。  new window
圖書
1.Breiman, L.、Friedman, J. H.、Olshen, R. A.、Stone, C. J.(1984)。Classification and regression trees。Wadsworth International Group。  new window
單篇論文
1.Khaidem, L.,Saha, S.,Dey, S. R.(2016)。Predicting the Direction of Stock Market Prices Using Random Forest(arXiv:160500003)。  new window
 
 
 
 
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