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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李顯峰(Hsien-Feng Lee) | |
| dc.contributor.author | Wan-Ting Tseng | en |
| dc.contributor.author | 曾琬婷 | zh_TW |
| dc.date.accessioned | 2021-06-08T02:46:00Z | - |
| dc.date.copyright | 2018-01-04 | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2017-10-19 | |
| dc.identifier.citation | 中文文獻
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20352 | - |
| dc.description.abstract | 本文研究台灣加權股價指數(TAIEX)的預測模型，因欲與三個預測模型比較預測的準確度，選擇1998-2006年為樣本期間，應用小波轉換(Wavelet Transform)方法進行比較。小波轉換克服傅立葉轉換(Fourier Transform)之不足之處，可以分析非定態(non-stationary)與非週期性資料，並同時凸顯時域與頻域之效果。
小波轉換擷取資料特徵值，並根據特徵值重構多項式迴歸混合預測模型。佐以網格搜索(Grid Search)方式，探索台灣加權股價指數金融時間序列資料的趨勢及變化。實證研究結果顯示，本研究所應用的小波轉換與多項式迴歸預測模型可準確地預測台灣加權股價指數，其預測結果較其他現行研究結果的預測模型更為優異，具有參考價值，可提供決策主管當局之參考。 | zh_TW |
| dc.description.abstract | In this study we try to construct a forecasting model of Taiwan Stock Exchange Index (TAIEX), based upon the Wavelet Transform method, to investigate the predicted accuracy from 1998 to 2006. Wavelet transform overcomes the shortcomings of Fourier transform, i.e., it can analyze non-stationary and non-periodic time series data, and highlights the effect of time domain and frequency domain.
Wavelet transform extracts the eigenvalue of the sample data and combines with the polynomial regression according to the eigenvalue. Grid Search explores the trend and change of financial time series data of Taiwan Stock Exchange Index. Our major findings show Wavelet transform combined with polynomial regression model can more accurately predict the Taiwan Stock Exchange Index. The predicting power of our model is more competent than the three previous models. It can be of a better reference for by the decision-making authorities. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T02:46:00Z (GMT). No. of bitstreams: 1 ntu-106-P04323027-1.pdf: 2371403 bytes, checksum: e84728857e816c549ade9d5bb15cde82 (MD5) Previous issue date: 2017 | en |
| dc.description.tableofcontents | 口試委員會審定書 I
誌 謝 II 中文摘要 III Abstract IV 目 錄 V 圖目錄 VII 表目錄 VIII 附表表次 IX 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 3 1.3 研究範疇及流程 5 1.4 章節架構 8 第二章 文獻回顧 9 2.1 小波轉換相關實證研究 9 2.2 股價預測準確性 11 第三章 研究方法 13 3.1 小波轉換 13 3.2 多尺度分析 24 第四章 實證研究分析 26 4.1 研究樣本資料 26 4.2 系統架構 27 4.3 建置預測模型 28 4.4 實證研究結果 30 第五章 結論與檢討 41 5.1 結論 41 5.2 檢討 42 參考文獻 43 附錄 47 | |
| dc.language.iso | zh-TW | |
| dc.title | 台灣加權股價指數之預測模型:小波轉換與多項式迴歸模型之應用 | zh_TW |
| dc.title | A Prediction Model for Taiwan Stock Exchange Index: Application of the Wavelet Transform and Polynomial Regression | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 106-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 謝德宗(Der-tzon Hsieh),林惠玲(Hui-Lin Lin) | |
| dc.subject.keyword | 小波轉換,台灣加權股價指數,網格搜索,多項式迴歸, | zh_TW |
| dc.subject.keyword | Wavelet Transform,Taiwan Stock Exchange Index (TAIEX),Grid Search,polynomial regression, | en |
| dc.relation.page | 59 | |
| dc.identifier.doi | 10.6342/NTU201704306 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2017-10-19 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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