螞蟻理論在台灣股市投資決策的應用

The Application of Taiwanese Stock Market Investment Strategy by Using Ant Colonies System

方閔正(Min-Jeng Fang) ； 譚百玲(Bai-Lin Tan)

《創新研發學刊》 5卷2期 (2009/12) Pp. 18-34

https://doi.org/10.30080/JIRD.200912.0002

摘要

本研究結合ACO的特性並利用技術分析中的股票成交量與報酬率等指標，建構投資決策資金分配數學模式。針對台灣股票市場分別隨機選擇六支電子業股票（三大盤三小盤），作為本系統提供每天六個標的的投資組合；而外另加人銀行作為本研究之避險功用，當投資股票市場之時機不適當時，投資者則可將資本投資銀行，所以可視銀行為避險之作用。本研究投資者以日為投資單位，作為各股票在進出場時點的依據。所以，本研究在當日開盤時為進行進場投資時機，而在每日收盤時為進行賣出動作。
本研究以2005年1月1日至2008年12月31日的台灣上市公司證券每日交易紀錄（股價、交易量、報酬率）作為系統的累積資料，經模擬實驗綜合結論得知：本研究所提出之模型在台灣牛市、熊市及全時期市場比標準系統表現佳且具獲利能力。當蒸發係數低其表現獲利能力佳；當蒸發係數高其表現越為保守但為持有獲利能力，所以本模型具有風險規避及獲利能力。

關鍵字

螞蟻理論 ； 技術分析 ； 投資決策 ； 風險中立

並列摘要

This research combines the characteristics of ACO with stock trading volume and return rate indicators in technological analysis to construct the capital allocation mathematics model of the investment strategy. Randomly choose six electronic industry stocks in Taiwanese stock markets. It will be the investment combination of six targets in this system; and add bank as hedging function in this research. Investors could invest bank when there are inappropriate opportunities in stock market. So, it could regard bank as hedging function. In this research, investor regards day as the investing unit, an basis checked while buy and sell points each stock. So, this research determines the opening quotation of stock market as buy investment opportunity every day, and the closing price as sell action every day.
This research is based on daily stock trading records of listed companies in Taiwan, which includes stock prices, trading volume, and the rate of return from January 1(superscript st), 2005 to December 31st, 2008. The comprehensive conclusions after simulation are as following: The model of this research has better performance and profit making ability than the standard system in bull, bear and whole period of Taiwan stock markets. Finally, the profit making ability is better when the evaporating coefficient is lower. The performance becomes conservative but it still holds profit-making ability when the evaporating coefficient is high. So, this model has hedge and profit making ability.

並列關鍵字

Ant colony optimization ； technical analysis ； risk avoider ； risk taker ； risk neutral