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題 名 | 運用基因演算法與模糊理論於臺股指數期貨投資策略之研究=The Application of Genetic Algorithm and Fuzzy Theory to Investment Strategies of Taiwan Stock Index Futures |
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作 者 | 余尚武; 郭至軒; | 書刊名 | 中華管理評論 |
卷 期 | 7:2 2004.04[民93.04] |
頁 次 | 頁132-157 |
分類號 | 561.76 |
關鍵詞 | 模糊理論; 基因演算法; 投資決策; 股價指數期貨; Fuzzy theory; Genetic algorithm; Investment decision; Stock index futures; |
語 文 | 中文(Chinese) |
中文摘要 | 股價指數期貨交易為買賣未來股價指數商品,為一種高風險、高獲利的交易,對市場反應比一般商品更敏銳迅速,而影響其變動之因素分析,複雜性遠比股票市場高,投資者必須具備豐富的專業財經知識,同時要蒐集相關的資訊,才能做出分析,但這對一般投資者而言有其困難性存在。 本研究即是利用人工智慧方法,結合基因演算法與模糊理論,以發展最佳投資規則,並據此分別處理買進、賣出之推論;為符合市場交易之多變性與對投資環境之適應性,規則庫將透過基因演算法動態學習,週期性調整規則庫內容;系統之歸屬函數(membershipi function)亦可由基因演算法動態調整,以期能增進投資績效。實證研究發現:結合基因演算法與模糊理論處理買進、賣出之推論確實能為投資人帶來較高的報酬,其報酬率高於買入持有策略,報酬率的高低受到該期間股價指數期貨波動大小的影響。同時也說明技術分析能為投資人帶來較高的報酬。 |
英文摘要 | Stock index futures trading is high risk and high profit because its market response is more sensitive than other financial products. And the analysis of the factors which influence fluctuation of index futures is much more complex than stock market. Hence, as far as general investors are concerned, it is difficult for them to have both enough professional knowledge of finance and collect related information at the same time. This study, as a result, proposes an approach of artificial intelligence by integrating genetic algorithm with fuzzy theory to achieve the optimization of trading rules. Since the trading rules vary with time, it cannot be always fit to use. Therefore, to meet the changes in the trading market and the adaptability to the investment environment, genetic algorithm is applied to regularly optimize the fuzzy trading rules, and in the same way, the membership function also can be effectively determined to raise the profitability. The result indicates that integrating genetic algorithm with fuzzy theory to make trading decision is better than buy-and-hold strategies to improve the investment performance, and the rate of return on investment is affected by volatility of stock index futures. The result also indicates that technical analysis is able to improve the investment performance. |
本系統中英文摘要資訊取自各篇刊載內容。