以類神經網路預測股價指數漲跌

Prediction the Trend of Stock Index with Artificial Neural Network

廖廣毅(Kwan-Yi Liao)

指導教授 ： 鄭春生 博士

元智大學/工程學院/工業工程與管理學系/碩士(1998年)

摘要

預測股票市場的走勢一向是令人感興趣的課題，過去國內外已有學者從事股市預測之探討，這些研究多以現成之量化指標來發展預測模式。
本研究之目的是以類神經網路來建構一個預測股票市場漲跌趨勢之智慧型預測模式。類神經網路之輸入包含技術分析及證券市場的經驗法則，此預測模式可輔助經驗不足的投資大眾能在股市做正確的投資判斷。此預測模式可用來預測加權指數之上漲、下跌或持平。本研究以86年8月至87年9月台股日線資料來訓練類神經網路，並預測87年10月至88年1月之台股加權指數的漲跌，分析結果顯示正確率可達8成8。

關鍵字

類神經網路 ； 股價技術分析 ； 股價指數期貨

並列摘要

The trend forecasting the stock index has always been an interesting topic. In the past, there has been several in-depth discussion on the forecast of the stock index. However, these studies developed the prediction models were based on the current quantify index.
The purpose of this study was establish a knowledgeable forecast model to expansion of Taiwan stock index futures through the application of artificial neural networks. The input of artificial neural networks included technical analysis and practical experience. This is to enable the inexperienced investors to choose correct investment strategies as the stock index and used to forecast the rise and fall of stock index. The study trained artificial neural networks with Taiwan stock daily lines from August 1997 to September 1998 and forecast the Taiwan stock futures from October 1998 to January 1999. The analysis results show the prediction accuracy was 88%.

並列關鍵字

artificial neural network ； stock technical analysis ； stock futures index

參考文獻

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