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題名:運用類神經網路於股價指數之套利--以日經225指數為例
書刊名:證券市場發展季刊
作者:余尚武 引用關係楊政麟
作者(外文):Yu, Shang-wuYang, Cheng-lien
出版日期:1998
卷期:10:4=40
頁次:頁111-149
主題關鍵詞:股價指數套利類神經網路基因演算法ARIMA模型持有成本Index arbitrageArtificial neural networkGenetic algorithmARIMA mdoelCost-of-carry
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(2) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:87
期刊論文
1.Lim, K. G.(1990)。Arbitrage and price behavior of the Nikkei stock index futures。Journal of Futures markets,12(2),151-161。  new window
2.Brenner, M.、Subrahmanyam, M. G.、Uno, J.(1989)。The behavior of prices in the Nikkei spot and futures market。Journal of Financial Economics,23,363-383。  new window
3.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets,11(3),291-311。  new window
4.Shleifer, Andrei、Vishny, Robert W.(1997)。The Limits of Arbitrage。Journal of Finance,52(1),35-55。  new window
5.Brenner, Menachem、Subrahmanyam, Marti G.、Uno, Jun(1990)。Arbitrage Opportunities in the Japanese Stock and Futures Markets。Financial Analysis Journal,46(2),14-24。  new window
6.Hornik, Kurt、Stinchcombe, Maxwell、White, Halbert(1989)。Multilayer Feedforward Networks Are Universal Approximators。Neural Networks,2(5),359-366。  new window
7.黃琮惠(1993)。日本股價指數期貨及選擇權交易制度(上)。證券管理,11(8),16-36。  延伸查詢new window
8.Bühler, Wolfgang、Kempf, Alexander(1995)。DAX Index Futures: Mispricing and Arbitrage in German Markets。The Journal of Futures Markets,15(7),833-859。  new window
9.Caudill, M.(1992)。The View from Now。AI Expert,24-31。  new window
10.Mahfoud, S.、Mani, G.(1996)。Financial Forecasting Using Genetic Algorithms。Applied Artificial Intelligence,10,543-565。  new window
11.Maier, H. R.、Dandy, G. C.(1996)。Neural network models for forecasting univariate time series。Neural Network World,6(5),747-772。  new window
12.White, H.(1989)。Learning in Neural Networks: A Statistical Perspective。Neural Computation,1(4),425-464。  new window
會議論文
1.Patel, D.(1996)。Using genetic algorithms to construct a network for financial prediction。沒有紀錄。204-213。  new window
2.Wu, S. I.、Lu, R. P.(1993)。Combining artificial neural networks and statistics for stock-market forecasting。沒有紀錄。257-264。  new window
學位論文
1.鍾秀培(1997)。運用類神經網路建構指數套利模型--以日經225指數為例(碩士論文)。國立交通大學。  延伸查詢new window
2.卞志祥(1996)。臺灣加權股價指數投資組合之基因演算法建構模型,0。  延伸查詢new window
3.金必煌(1995)。運用遺傳基因演算法建立動態證券市場技術模型,0。  延伸查詢new window
圖書
1.葉怡成(1997)。應用類神經網路。台北:儒林圖書出版有限公司。  延伸查詢new window
2.Masters, T.(1993)。Practical Neural Network Recipes in C++。New York, NY:Boston:Academic Press。  new window
3.Hecht-Nielsen, Robert(1990)。Neurocomputing。Addison-Wisley。  new window
4.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
5.Freedman, R. S.、Stahl, W. P.(1995)。Assessing the Credit Quality of Municipal Bonds。Artificial Intelligence in the Capital Markets。Chicago, IL。  new window
6.Hall, J.(1994)。Adaptive Selection of U. S. Stocks with Neural Nets。Trading on the Edge。New York, NY。  new window
7.Reilly, D. L.(1995)。Neural Network Fraud Control in the Bank Card Industry。Artificial Intelligence in the Capital Markets。Chicago, IL。  new window
8.Sharpe, W. F.、Alexander, G. J.(1990)。Investments。Englewood Cliffs, NJ:Prentice Hall。  new window
9.Tokyo Stock gExchange(1997)。Fact Book 1997。Fact Book 1997。Japan。  new window
 
 
 
 
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