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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Yang-Jie Hsu | en |
| dc.contributor.author | 徐揚捷 | zh_TW |
| dc.date.accessioned | 2021-06-08T00:46:11Z | - |
| dc.date.copyright | 2015-07-31 | |
| dc.date.issued | 2015 | |
| dc.date.submitted | 2015-07-30 | |
| dc.identifier.citation | Alexander, S. (1961). Price movements in speculative markets: trends or random walks. Industrial Management Review, 2, pp. 7-26.
Andrew W. Lo, H. M. (2000). Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. The Journal of Finance, 55(4), pp. 1705-1765. Blume, E. F. (1966). Filter Rules and Stock-Market Trading. The Journal of Business, 39(1), pp. 226-241. C Neely, P. W. (1997). Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach. The Journal of Financial and Quantitative Analysis, 32(4), pp. 405-426. Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), pp. 383-417. G. Savin, P. W. (2007). The Predictive Power of “Head-and-Shoulders” Price Patterns in the U.S. Stock Market. The Journal of Financial Econometrics, 5(2), pp. 243-265. Irwin, C.-H. P. (2007). What Do We Know About the Profitability of Technical Analysis. Journal of Economic Surveys, 21(4), pp. 786-826. Jennings, D. P. (1989). On Technical Analysis. Review of Financial Studies, 2(4), pp. 527-551. Jensen, M. C. (1978). Some Anomalous Evidence Regarding Market Efficiency. Journal of Financial Economics, 6(2), pp. 95-101. Kish, K.-Y. K. (2002). Technical trading strategies and return predictability: NYSE. Applied Financial Economics, 12(9), pp. 639-653. L. Blume, D. E. (1994). Market statistics and technical analysis: The role of volume. The Journal of Finance, 49(1), pp. 153–181. Levy, R. A. (1971). The predictive significance of five-point chart patterns. The Journal of Business, 44(3), pp. 316-323. Levy, R. A. (1967). Relative Strength as a Criterion for Investment Selection. The Journal of Finance, 22(4), pp. 595-610. MacKinlay, A. W. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. Review of Financial Studies, 1(1), pp. 41-66. Osler, P. H. (1999). Methodical Madness: Technical Analysis and the Irrationality of Exchange- Rate Forecasts. The Economic Journal, 109(458), pp. 636-661. Stephen W. Pruitt, K. M. (1992). The CRISMA Trading System: The Next Five Years. The Journal of Portfolio Management, 18(3), pp. 22-25. Thaler, W. F. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), pp. 793-805. Titman, N. J. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of finance, 48(1), pp. 65-91. W Brock, J. L. (1992). Simple technical trading rules and the stochastic properties of stock returns. The Journal of finance, 47(5), pp. 1731-1764. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17919 | - |
| dc.description.abstract | 技術分析廣泛的被投資人採用多年，而其中形態學因其易於肉眼辨認，無須繁雜運算等特性，而成為最主流的技術分析理論，相對於如此大量的採用而對形態學中如等幅擺盪等獲利的特性卻未有人以客觀的方式加以檢驗，本文採用Lo, Mamaysky, and Wang (2000)中的研究方法，以非參數核回歸作為基礎建形態辨認演算法，針對「雙重頂」，就型態定義、進出場規則等加以改進，另外針對演算法中的參數如:寬帶(Bandwidth)、形態形成時間等進行分析。實證結果顯示，在特定的參數設定之下，台灣市場展現出明顯的超額報酬獲利性，另外在不同參數下，也確認了等幅擺盪發生機率非常高。 | zh_TW |
| dc.description.abstract | Technical analysis, especially “charting”, has been a part of financial practice for many decades, but this discipline didn’t receive the same level of academic scrutiny and acceptance. In this paper, we impose the pattern recognition algorithm of Lo, Mamaysky, and Wang (2000) with several modifications to determine whether ‘‘Double Top’’ (DTOP) price pattern has profitability for TAIEX returns. Which modification include the implementation of typical filters and treats which technical analyst considered as common sense. With data from TAIEX over the period 2005-2014, we find support for the profitability of our own revised DTOP strategy under some parameter settings. On the other hand, we also find there is obvious presence of equal amplitude after breaking the neck line under all parameter settings. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T00:46:11Z (GMT). No. of bitstreams: 1 ntu-104-R02723048-1.pdf: 3838653 bytes, checksum: 5bfad081156be51409f723974a65ac3c (MD5) Previous issue date: 2015 | en |
| dc.description.tableofcontents | 誌謝 I
中文摘要 II ABSTRACT III 目錄 IV 圖目錄 VI 表目錄 VII 第一章 緒論 1 第一節 研究動機與目的 1 第二節 形態學簡介 2 第二章 文獻回顧 6 第一節 技術分析有效性負面結果文獻 7 第二節 技術分析有效性正面結果文獻 8 第三節 形態學的文獻研究 11 第三章 研究方法 14 第一節 非參數回歸方法 14 3.1.1 線性平滑統計量 14 3.1.2 核回歸(kernel regression) 16 3.1.3 寬帶(Bandwidth)的影響與選擇 17 第二節 交易策略修正與程式邏輯 21 3.2.1 形態學定義 21 3.2.2 型態辨認演算法 22 3.2.3 進場策略 23 3.2.4 出場策略 25 3.2.5 本研究改進總結 25 第四章 實證資料 26 第一節 資料來源、參數設定說明與統計敘述 26 第二節 實證績效與分析 27 4.2.1 參數固定下出場策略分析 27 4.2.2 不同參數間分析 30 第五章 結論 34 參考文獻 36 附錄 38 | |
| dc.language.iso | zh-TW | |
| dc.title | 台灣加權股價指數型態辨認演算法交易獲利性研究 | zh_TW |
| dc.title | Profitability of Chart Pattern in TAIEX with Computational Algorithm | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 石百達 | |
| dc.contributor.oralexamcommittee | 邱嘉洲 | |
| dc.subject.keyword | 核回歸,形態學,技術分析,形態辨認演算法, | zh_TW |
| dc.subject.keyword | kernel regression,charting pattern,technical analysis,pattern recognition algorithm, | en |
| dc.relation.page | 40 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2015-07-30 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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