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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24836完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 何憲章 | |
| dc.contributor.author | Shu-Fang Chen | en |
| dc.contributor.author | 陳淑芳 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:57:05Z | - |
| dc.date.copyright | 2008-01-22 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-01-16 | |
| dc.identifier.citation | 1. Australian Securities Exchange
http://www.asx.com.au/research/charting/library/elliot_wave.htm 2. Deng, F. J. (鄧福鈞) Research and Prediction on the Elliott Wave Principle in Taiwan Stock Market. Graduate Institute of Business Administration, National Taiwan University, 2000. 3. Elliott, R. N. Elliott wave principle as a key to maximal stock market profits. Institute for Economic & Financial Research. 4. Fibonacci Numbers and the Golden Section http://www.mcs.surrey.ac.uk/Personal/R.Knott/Fibonacci/ 5. FTSE http://www.ftse.com/index.jsp 6. Gregory-Williams, J. & Williams, B. Trading Chaos: Maximize Profits with Proven Technical Techniques. John Wiley & Sons, 2004. 7. Harris, P. W. Was Benoit Mandelbrot Plagiarizing Ralph Elliott’s Wave Principle? Department of Mathematics, University of Utah, 2005. 8. Harrison, D. M. An Introduction to Chaos. Department of Physics, University of Toronto, 1998. http://faraday.physics.utoronto.ca/PVB/Harrison/Chaos/Chaos.html 9. Jou, S. J. (周湘鈞) Research on Phenomenon of Chaos Theory in Fibonacci Sequence of Numbers-its application in the stock market. Graduate Institute of Business Administration, National Taiwan University, 1997. 10. Mandelbrot, B. B. The Fractal Geometry of Nature. New York: W. H. Freeman and Company, 1977. 11. Peters, E. E. Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility. John Wiley & Sons, 1991. 12. Peters, E. E. Fractal Market Analysis: Applying Chaos Theory to Investment and Economics. John Wiley & Sons, 1994. 13. Taiwan Economic Journal (TEJ) http://140.112.181.48/tejcount/ 14. Taiwan Stock Exchange Corporation (TSEC) http://www.tse.com.tw/ch/index.php 15. Wikipedia http://en.wikipedia.org/wiki/Main_Page 16. Williams, B. Trading Chaos: Applying Expert Techniques to Maximize Your Profit. John Wiley & Sons, 1995. 17. Wu, K. C. (吳康祺) Application of Chaos Theory to Stock Market. Graduate Institute of Business Administration, National Taiwan University, 1995. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24836 | - |
| dc.description.abstract | 本文以波浪理論(Elliott Wave Principle)為出發點，旨在探討其是否適用於台灣股票市場。然而波浪理論最為人詬病之處，即為其模糊不清的波浪計數，常讓使用者不知身處於哪個波浪之中。因此，本文針對Bill Williams提出的『一致性獲利法』(Profitunity Approach)稍作修正，欲為波浪理論制訂一套較客觀的判別準則。本文之研究期間為2004/1/1至2006/12/31，從台灣五十指數成分股中選出36檔股票為研究標的，並依據波浪計數進行交易。結果發現，不論是將這36檔股票視為一整體進行檢定，或是個別檢定，交易的報酬都顯著大於0，顯示台灣股票市場適用於此修正後的波浪理論。 | zh_TW |
| dc.description.abstract | In The Wave Principle, R. N. Elliott (1938) proposed a framework towards the stock market analysis. However, Elliott wave principle has a serious problem: the wave counting is too ambiguous and subjective. In order to solve this drawback, Bill Williams (1995) integrated Fibonacci numbers, Elliott wave principle, Fractal geometry, and Chaos theory to develop the Profitunity approach.
This thesis used a modification of the Profitunity approach to examine Taiwan stock market. We found that this modified trading rule obtained significantly positive weekly returns. Therefore, Taiwan stock market seems to conform to the four underlying theories and their main implication that stock market is a product of a nonlinear dynamical process. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:57:05Z (GMT). No. of bitstreams: 1 ntu-97-R94723036-1.pdf: 509935 bytes, checksum: bbdd30574a91f6c89f102943c669ca94 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | Chapter 1 Introduction 1
1.1 Motivation and Purpose 1 1.2 Thesis Structure 2 Chapter 2 Literature Review 4 2.1 Fibonacci Numbers 4 2.2 Elliott Wave Principle 6 2.3 Fractal Geometry 9 2.4 Chaos Theory 12 2.5 Profitunity Approach 15 Chapter 3 Data and Methodology 18 3.1 Data Sources 18 3.2 Methodology 20 Chapter 4 Empirical Results 26 4.1 Descriptive Statistics 26 4.2 Results Analysis 28 Chapter 5 Conclusion and Comments 36 5.1 Conclusion 36 5.2 Comments and Constraints 37 5.3 Future Research 38 Appendix: Holding Periods for Each Stock 39 References 42 | |
| dc.language.iso | en | |
| dc.title | 波浪分析於台灣股票市場之研究 | zh_TW |
| dc.title | On the Wave Analysis in Taiwan Stock Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢,陳業寧 | |
| dc.subject.keyword | 波浪分析,一致性獲利法, | zh_TW |
| dc.subject.keyword | wave analysis,Profitunity Approach, | en |
| dc.relation.page | 43 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2008-01-16 | |
| 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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