研究生: |
林楷竣 Kai-Chun Lin |
---|---|
論文名稱: |
以自適應性風險交易策略建構集成式學習投資組合決策系統 Integrated Learning Investment Portfolio Decision System Using Adaptive Risk Trading Strategy |
指導教授: |
周瑞生
Jui-Sheng Chou |
口試委員: |
曾惠斌
Hui-Ping Tserng 歐昱辰 Yu-Chen Ou 何嘉浚 Chia-Chun Ho 周瑞生 Jui-Sheng Chou |
學位類別: |
碩士 Master |
系所名稱: |
工程學院 - 營建工程系 Department of Civil and Construction Engineering |
論文出版年: | 2023 |
畢業學年度: | 111 |
語文別: | 中文 |
論文頁數: | 257 |
中文關鍵詞: | 多財務因子投資組合 、市場情緒分析 、集成式機器學習模型 、風險對沖 、自動化投資組合交易決策 |
外文關鍵詞: | Multi-feature investment portfolio, Sentiment analysis, Integrated machine learning model, Risk hedging, Automated portfolio trading decision |
相關次數: | 點閱:182 下載:0 |
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本研究以臺灣上市營造建設產業公司股票為示範例,應用機器學習、深度學習和自然語言處理模型等技術,結合財務多特徵因子,搭配多空投資的對沖交易策略模擬實證,創建自適應性風險的中短期投資組合決策模型。本研究透過自動化爬蟲程式,爬取基本財務報表資料、每日股市行情、籌碼資訊,以及財經新聞網站之新聞文本數據。經資料預處理後,應用XGBoost分類模型,優先對基本財務報表資料與歷史行情資料預測下一季別營造建設產業中被低估或高估的公司,以此建構每季財報區間的買多與賣空候選投資組合。接續採用基於BERT雙向自然語言處理模型所建構之情緒因子分數、歷史價格資料所計算之技術分析指標、三大法人進出場之交易數據與其他財務指標,透過滑動窗口結合LSTM迴歸模型預測每季『買多與賣空』候選投資組合內各公司未來每日的股價變化,以實現每日持股權重動態調整之交易策略。分析實證顯示,經初篩過的多空候選投資組合搭配財務多面向特徵所建立的動態權重調整模型為一穩健可行的方法。此外,於回測結果指出,依集成式學習模型方式為基礎建構的自適應風險對沖交易策略,不論總體市場趨勢,皆可使報酬率走勢穩定成長且擁有較低的波動風險,故於市場發生劇烈變化之際,應用集成式學習投資組合決策系統的多空投資對沖交易策略,可在降低波動性風險下創造相對穩定之超額報酬。本研究呈現之分析流程架構與研究成果除可用於營造建設產業,亦可配合投資人之自身專業領域,擴充涵蓋其它產業類別,預期能成為大型投資機構或投資經理人中短期交換持股、交易決策訊號判斷的輔助模組。
This research utilizes machine learning, deep learning, and natural language processing models to create an adaptive risk portfolio decision-making model for short-term investments. The analysis framework and process are demonstrated using the stocks of listed construction companies in Taiwan. This study utilizes an automated crawler program to obtain fundamental financial data, daily stock market information, chip data, and sentiment data. Based on financial statements and historical market data, preprocessed data is then used in an XGBoost classification model to predict undervalued or overvalued companies in the next quarter. Based on this, candidate investment portfolios for long and short positions are constructed for the next financial reporting quarter.
Moreover, the study proceeds to utilize sentiment factor scores based on a bidirectional natural language processing model (BERT), technical analysis indicators computed from historical price data, trading data from institutional investors, and other financial indicators. By employing a sliding window in conjunction with an LSTM regression model, the study forecasts the future daily stock price variations of individual companies within the long and short candidate investment portfolios for each quarter. This approach enables the realization of a trading strategy that dynamically adjusts the weights of stock holdings on a daily basis.
The empirical analysis reveals that the dynamically adjusted weighting model, constructed using pre-screened long and short candidate investment portfolios and incorporating various Multi-feature, is a robust and viable approach. Additionally, the backtesting results indicate that the adaptive risk-hedging trading strategy, based on an ensemble learning model, consistently achieves stable growth in return trends and exhibits favorable risk performance irrespective of the overall market trends.
Moreover, during periods of substantial market changes, the long-short hedging trading strategy implemented by the ensemble learning investment portfolio decision system can generate relatively stable excess returns while reducing volatility risks. The proposed analysis framework and research findings are not limited to the construction industry but can be extended to other industry sectors, catering to the specific expertise of investors. This research has the potential to serve as an auxiliary module for short-term trading decision signal judgments for large investment institutions or fund managers.
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