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研究生: 李家宜
Chia-Yi Li
論文名稱: 應用大數據預測分析於國際匯率之研究–中美貿易大戰之金融趨勢預測
Apply Big Data Predictive Analytics to International Exchange Rate Forecasting - Trend Prediction for Global Finance along with China-USA Trade War
指導教授: 羅士哲
Shih-Che Lo
口試委員: 曹譽鐘
蔡鴻旭
學位類別: 碩士
Master
系所名稱: 管理學院 - 工業管理系
Department of Industrial Management
論文出版年: 2019
畢業學年度: 107
語文別: 英文
論文頁數: 40
中文關鍵詞: 金融大數據分析卷積式類神經網路匯率人工智慧
外文關鍵詞: Finance Big Data predictive analytics, Convolutional neural network, Exchange rate, Artificial intelligence
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  • 隨著現今科技的進步,數據產生的速度越來越快速,數據量也越來越龐大,大數據的概念也從3Vs進展到了5Vs。而人工智慧、機器學習與雲端計算在數據研究中扮演非常重要的角色。本研究主要焦點在以金融大數據在TensorFlow與Keras上來建模與匯率預測,並且利用Minitab來做結果的分析。
    在此研究裡,我們分成兩個階段,第一階段為數據預測,首先將收集到的匯率資料轉換成可用的格式與進行正規化,預處理完後,以TensorFlow做為後端引擎,利用Keras建造一個用於預測匯率的一維卷積類神經網路模型,其中利用了滑動窗格法來劃分訓練集與驗證集,並藉由實驗設計來調整模型參數,接著做預測,以測試集的部分來做績效評估。 第二階段為結果分析,我們將一部分的歷史數據結合預測結果投入到Minitab中,以雙樣本t檢定來檢定上一年與下一年是否有顯著差異,經研究分析後希望推測分析不同時間區段的匯率操控國。在未來,此資料不僅侷限於此個案資料,可以加入更多匯率影響因素資料以達到分析完整性。


    With the advancement of today's technology, the speed of data generation is getting faster and the amount of data is getting larger. The concepts of Big Data have progressed from 3Vs to 5Vs. Nowadays, Artificial Intelligence, Machine Learning and Cloud Computing play important roles in data science. In this thesis, we focused on exchange rate prediction from financial Big Data with TensorFlow and Keras, and used Minitab to analyze the results.
    In this study, we divided the research process into two phases. The first phase was data prediction. First, data preprocessing converted the collected exchange rate data into a usable format and normalization. After preprocessing, we divided the data into training, validation and testing data sets. Next step, we used TensorFlow as the back-end engine in Keras to construct a one-dimensional Convolutional Neural Network (CNN) model with a sliding window for predicting exchange rate. We selected the model parameters by the design of experiment method. After choosing the best parameters for the CNN model, we used the testing data set to do the performance evaluation. Finally, we forecasted the exchange rate for 2 years. The second phase was the result analysis. We put historical data combined with the prediction values into Minitab software and used the two-sample t test to check whether there was a significant difference between the previous year and the next year. After analysis, we could exam which period and which country control the exchange rate. Furthermore, this modeling process was not limited to this case data, and more influencing factors of the exchange rate could be added in this study to achieve analytical integrity.

    摘要 I ABSTRACT II ACKNOWLEDGEMENTS III CONTENTS IV FIGHRES VI TABLES VII CHAPTER 1 INTRODUCTION 1 1.1 Research Motivation 1 1.2 Objectives 3 1.3 Research Procedure 3 CHAPTER 2 LITERATURE REVIEW 5 2.1 Big Data 5 2.2 Financial Forecasting Models 8 2.3 Artificial Neural Networks 10 2.4 Convolutional Neural Networks 12 CHAPTER 3 RESEARCH METHODS 16 3.1 Big Data Analytics 16 3.2 Convolutional Neural Network 17 3.3 Sliding Window 21 3.4 Forecasting Performance Measures 22 3.5 TensorFlow and Keras 22 3.6 The Background of the USD/RMB Exchange Rate 23 CHAPTER 4 COMPUTATIONAL EXPERIMENTS 26 4.1 Data Source, Preprocessing, DOE and CNN Structure 27 4.2 The Forecasting Results for the USD/RMB 30 CHAPTER 5 CONCLUSIONS AND FUTURE RESEARCH 33 5.1 Conclusions 33 5.2 Future Research 34 REFERENCES 35 中文文獻 40

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