簡易檢索 / 詳目顯示

研究生: 張嘉豪
Jia-Hao Jhang
論文名稱: 應用平滑支撐向量分類於台灣股票市場選股之研究
An Application of Smooth Support Vector Classification on Stock Selection in Taiwan Stock Exchange
指導教授: 余尚武
Shang-Wu Yu
盧瑞山
Jui-Shan Lu
口試委員: 周子銓
none
學位類別: 碩士
Master
系所名稱: 管理學院 - 資訊管理系
Department of Information Management
論文出版年: 2007
畢業學年度: 95
語文別: 中文
論文頁數: 61
中文關鍵詞: 基本分析平滑支撐向量機平滑支撐向量分類
外文關鍵詞: Fundamental Analysis, Smoothing Support Vector Machine, Smooth Support Vector Classification
相關次數: 點閱:266下載:3
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報
  • 許多人工智慧方法常有過多參數需要調整與測試,使得模型複雜度增加,而平滑支撐向量機(Smooth support vector machine, SSVM)中,採用RBF核心函數僅需調整 和 兩個參數,相對於其它方法,具有較低模型複雜度。
    過去研究運用相關預測工具於選股議題上,未考量實際取得財務比率之時間點,本研究考量實際上資料取得時點,依據其資料結合平滑支撐向量分類(Smooth support vector classification , SSVC)建立選股模型, 和 參數搜尋方法則分別採用Grid和UD,並擬定單期和多期參數搜尋策略,實證1996/6/31~2006/10/31期間,SSVC選股模型之績效是否具有超額報酬。
    實證結果顯示,多期參數搜尋策略結合Grid參數搜尋法所建立之SSVC選股模型,於空頭或多頭市場,皆可獲得超額報酬。


    Many methods of artificial intelligence often need to adjust too many parameters, tests and complexity. Smooth Support Vector Machine (SSVM), adapt the RBF adjustment and two parameters only, as opposed to other methods, SSVM with lower complexity.
    Previous studies related predictive tools used in selecting stocks that, do not take into account the financial ratios achieved time. This study considers the timing of obtained data in reality, based on its data combination with Smoothing Support Vector Classification (SSVC), and establish stock-selection model. The methods of searching parameters use UD and Grid to develop the parameters searching strategy of single-phase and multi-phase. The empirical time is 1996/6/31~2006/10/31. The study discusses whether the performance of SSVC-Selection Model superior to excessive compensation or not.
    The empirical results show that the SSVC-Selection Model with multi-phase strategy combining Grid, both in bear or bull markets can achieve excess return.

    第1章緒論1 1.1研究背景與動機1 1.2研究目的2 1.3研究架構4 1.4研究範圍與限制5 第2章文獻探討6 2.1基本分析6 2.1.1效率市場假說7 2.1.2運用基本分析於選股8 2.2平滑支撐向量機9 2.2.1支撐向量機理論概述10 2.2.2平滑支撐向量機13 2.2.3相關文獻15 第3章研究方法17 3.1研究流程17 3.2研究樣本18 3.2.1資料來源18 3.2.2資料處理18 3.3平滑支撐向量機選股模型18 3.3.1研究變數定義與選取19 3.3.2SSVM tools22 3.3.3SSVM核心函數23 3.3.4RBF參數設定24 第4章實證結果與分析25 4.1單期參數搜尋與績效探討25 4.2多期參數搜尋與績效探討31 4.3模型綜合比較與探討37 第5章結論與建議49 5.1研究結論49 5.2管理意涵49 5.3後續研究建議50 參考文獻51

    中文部份:
    [1]吳智鴻(2004),「結合基因演算法最佳化「支持向量機」參數∼財務危機上之應用」,國立台北大學企業管理研究所博士論文。
    [2]徐美珍(2003),「企業財務危機之預測」,國立政治大學統計研究所碩士論文。
    [3]黃奎傑(2006),「應用SSVM與灰色預測於投資策略之研究-以台灣股票市場電子類股為實證」,國立台灣科技大學資訊管理研究所碩士論文。
    [4]黃建銘(2005),「支撐向量機的自動模型選擇」,國立台灣科技大學資訊工程研究所碩士論文。

    英文部份:
    [1]Albanis, G. A. and Batchelor, R. A. (2001), “21 Nonlinear Ways to Beat the Stock Market”, Developments in Forecast Combination and Portfolio Choice, Available at http://www.staff.city.ac.uk/r.a.batchelor/21method.pdf .
    [2]Ball, R. and Brown, P. (1968), “An Empirical Evaluation of Accounting Income Numbers”, Journal of Accounting Research, pp.663-681.
    [3]Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol.25, pp.383-417.
    [4]Fama, E. F. (1999), “Market Efficiency, Long-term Returns, and Behavioral Finance”, Journal of Financial Economics,Vol.49 (3), pp.283-306.
    [5]Fan, A. and Palaniswami, M. (2001), “Stock Selection Using Support Vector Machines”, Proceedings of the International Joint Conference on Neural Networks, Vol.3, pp.1793-1798.
    [6]Hsu, C.-W., Chang, C.-C. and Lin, C.-J. (2003), “A Practical Guide to Support Vector Classification . Technical Report”, Department of Computer Science and Information Engineering, National Taiwan University. Available at http://www.csie.ntu.edu.tw/~cjlin/papers/guide/guide.pdf.
    [7]Lee, Y.-J. and Mangasarian, O. L. (2001), “SSVM: A Smooth Support Vector Machine for Classification”, Computational Optimization and Applications, Vol.20, pp.5-22.
    [8]Lee, Y.-J. and Huang, S.-Y. (2007), “Reduced Support Vector Machines: A Statistical Theory”, IEEE Transactions on Neural Networks, Vol.18 (Part 1), pp.1-13.
    [9]Markowitz, H. M. (1952), “Portfolio Selection”, Journal of Finance, pp.77-91.
    [10]Vapnik, V. N. (1995), “The Nature of Statistical Learning Theory”, New York: Springer-Verlag, pp.188.
    [11]Vapnik, V. N. and Chervonenkis, A. Ya. (1974), “Ordered Risk Minimization – 1”, Automation and Remote Control, Vol.35 (8 Part 1), pp.1226-1235.
    [12]Vapnik, V. N. and Chervonenkis, A. Ya. (1974), “Ordered Risk Minimization – 2”, Automation and Remote Control, Vol.35 (9 Part 1), pp.1403-1412.
    [13]Veropoulos, K., Campbell, C. and Cristianini, N. (1999), “Controlling the Sensitivity of Support Vector Machine”, In Proceedings of the International Joint Conference on Artificial Intelligence.

    QR CODE