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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曹建和 | |
| dc.contributor.author | Jun-Ting Wang | en |
| dc.contributor.author | 王俊庭 | zh_TW |
| dc.date.accessioned | 2021-06-17T03:36:20Z | - |
| dc.date.available | 2019-03-02 | |
| dc.date.copyright | 2018-03-02 | |
| dc.date.issued | 2018 | |
| dc.date.submitted | 2018-02-12 | |
| dc.identifier.citation | [1] A. P. Engelbrecht, Computational Intelligence: An Introduction. Chichester, England; Hoboken, NJ: Wiley, 2 edition ed., Nov. 2007.
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Tuzun, “The Flash Crash: High-Frequency Trading in an Electronic Market,” SSRN Scholarly Paper, Social Science Research Network, Rochester, NY, Jan. 2017. [36] Y. Ait-Sahalia and J. Yu, “High Frequency Market Microstructure Noise Estimates and Liquidity Measures,” Working Paper 13825, National Bureau of Economic Research, Feb. 2008. DOI: 10.3386/w13825. [37] R. Kaiser and A. Maravall, Measuring Business Cycles in Economic Time Series. New York: Springer, softcover reprint of the original 1st ed. 2001 edition ed., Nov. 2000. [38] J. Hasbrouck, “Stalking the “efficient price” in market microstructure specifications: an overview,” Journal of Financial Markets, vol. 5, pp. 329–339, July 2002. [39] S. Konishi and G. Kitagawa, Information criteria and statistical modeling. Springer series in statistics, New York: Springer, 2008. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/69964 | - |
| dc.description.abstract | 對於時間序列的資料，如何估測其中的趨勢在許多學門都是一項重大議題。
在經濟和金融的領域中，趨勢可以作為一段時間內的波動累計的表現，在總體經濟學中擔任商業週期的分析工具，抑或是由於市場微結構交易機制造成的無法被觀測之合理價格。將一個時間序列萃取出其中趨勢確實是使我們瞭解這世界運作法則的一項關鍵，這類的問題在財金領域被稱作趨勢分解。在這篇論文，我們首先會回顧財金時間序列分析中關於趨勢分解的經典方法，並研究狀態空間模型相關統計特性。最後我們會對一些基於趨勢的日內交易策略在台灣股價加權指數期貨進行相關實證分析。 | zh_TW |
| dc.description.abstract | The problem of estimating underlying trends in noisy time series data has been a crucial issue in a variety of disciplines. The trend could be aggregate economic fluctuations, which is often referred to as business cycles in the macroeconomics literature.
It could be the efficient price for the market, which is unobserved due to the microstructure noise that summarizes market trading mechanisms.Indeed, trend decomposition is one of the critical steps to understand the nature. In this thesis, we review classical trend decomposition methodologies and study the statistical performance of the state-space models.Also, a day trading strategy based on the state-space model is explored using Taiwan Capitalization Weighted Stock Index Futures. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T03:36:20Z (GMT). No. of bitstreams: 1 ntu-107-R03942058-1.pdf: 450872 bytes, checksum: 50f9af971659cb4deffd96824c6f3f2b (MD5) Previous issue date: 2018 | en |
| dc.description.tableofcontents | Contents
誌謝 iii 摘要 v Abstract vii 1. Introduction 1 1.1 Computational Intelligence . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 Algorithmic Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.3 Microstructure Noise and Efficient Price . . . . . . . . . . . . . . . . . . 2 1.4 Trend Decomposition Problem . . . . . . . . . . . . . . . . . . . . . . . 2 1.5 Literature Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.6 Structure of Thesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 2. State Space Model 5 2.1 State Space Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.1.1 Local Level Model . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 Kalman Filter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.2.1 Notations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.2.2 Algorithm for the Local Level Model . . . . . . . . . . . . . . . 7 2.2.3 Deviation: A MVLUB Treatment . . . . . . . . . . . . . . . . . 7 2.2.4 Loglikelihood Evaluation . . . . . . . . . . . . . . . . . . . . . . 8 2.2.5 Parametric Estimation . . . . . . . . . . . . . . . . . . . . . . . 8 2.3 Diagnostics Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 2.3.1 Jarque – Bera Test . . . . . . . . . . . . . . . . . . . . . . . . . . 9 2.3.2 Two-Tailed F Test . . . . . . . . . . . . . . . . . . . . . . . . . 10 2.3.3 Ljung-Box Q Test . . . . . . . . . . . . . . . . . . . . . . . . . 11 3. Detrended Price Oscillator Trading Strategy 13 3.1 Simple Moving Average . . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.2 Detrend Price Oscillator . . . . . . . . . . . . . . . . . . . . . . . . . . 14 3.3 DPO Day Trading Algorithm . . . . . . . . . . . . . . . . . . . . . . . . 14 4. Results 17 4.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 4.1.1 Open-high-low-close Data . . . . . . . . . . . . . . . . . . . . . 17 4.1.2 Subject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 4.1.3 Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . . . . 18 4.1.4 Data Segregation . . . . . . . . . . . . . . . . . . . . . . . . . . 18 4.1.5 Diagnostics Test Results . . . . . . . . . . . . . . . . . . . . . . 20 4.1.6 DPO Day Trading Strategy Results . . . . . . . . . . . . . . . . 20 Conclusions 23 Bibliography 25 | |
| dc.language.iso | en | |
| dc.subject | 實證研究 | zh_TW |
| dc.subject | 趨勢分解 | zh_TW |
| dc.subject | 狀態空間模型 | zh_TW |
| dc.subject | 卡爾曼濾波器 | zh_TW |
| dc.subject | 時間序列分析 | zh_TW |
| dc.subject | 日內交易策略 | zh_TW |
| dc.subject | state space models | en |
| dc.subject | day trading strategy | en |
| dc.subject | time series analysis | en |
| dc.subject | empirical study. | en |
| dc.subject | trend decomposition | en |
| dc.subject | Kalman filter | en |
| dc.title | 基於狀態空間模型的區間震盪線日內交易策略以台灣加權股價指數期貨為例之交易實證 | zh_TW |
| dc.title | An Empirical Study on Day Trading Strategies for
TAIEX Futures: A State Space Model Based Detrended Price Oscillator Trading Strategy | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 106-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何建明,張瑞益,王家輝,許為元 | |
| dc.subject.keyword | 趨勢分解,狀態空間模型,卡爾曼濾波器,時間序列分析,日內交易策略,實證研究, | zh_TW |
| dc.subject.keyword | trend decomposition,state space models,Kalman filter,time series analysis,day trading strategy,empirical study., | en |
| dc.relation.page | 30 | |
| dc.identifier.doi | 10.6342/NTU201800491 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2018-02-12 | |
| dc.contributor.author-college | 電機資訊學院 | zh_TW |
| dc.contributor.author-dept | 電信工程學研究所 | zh_TW |
| 顯示於系所單位： | 電信工程學研究所 | |
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