- 學位論文
運用模糊控制在於股價指數期貨趨勢交易策略之研究
Study of Applying Fuzzy-Control On The Trend Trading Strategy of Stock Index Futures
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摘要
面對市場經濟的朝夕千變及金融環境快速的變化與發展，無論是銀行、證券商、各大投資法人或個人，都免不了會接觸到衍生性金融商品，然而股票、基金等金融產品已經成為大眾投資者最主要的投資理財管道，而投資者關心的是如何預測股票價格的未來趨勢，以及買賣股票的適當時機，但通常只在於買入持股，在於未來有獲利才出脫手中持股，而忽略市場上買入不賣出的風險，為規避此風險，市場上另一項金融商品－股價指數期貨也是一項投資理財管道，而股價指數期貨在功能上具有避險、套利、投機、價格發現之功能，還可規避目前股票市場一些交易陷阱，能為廣泛投資人所接受，在從事進場交易之前，就其特點充分了解，如此才能達到股票與期貨靈活運用彼此交易優點，或單一股價指數期貨操作來提高投資獲利契機之目的，本篇論文主要運用模糊控制（Fuzzy-control）結合模糊集合（Fuzzy Set）的概念配合及關聯規則來做更好的期貨趨勢之交易策略，提供參與者在於掌握趨勢關鍵點，配合自身可承受風險與趨勢交易策略操作，來提高投資獲利之目的。 關鍵詞：股票、基金、股價指數期貨、模糊控制、模糊集合。
並列摘要
Upon facing the ever-changing market economy and the rapid development of the financial environment, whether the banks, securities firms, institutional investors, or individuals are likely to touch the derivative financial products. However, as the financial products like stocks and funds had became the major investment and finance management tools of the public investors, their most concerns to the stocks are how to predict the future movement of the stock price and the right timing of buy or sell stocks, but waiting for the right timing usually takes too long and the opportunity cost would become too high. In order to avoid such risk, another financial product, stock index futures, soon catch the attention of the investors. As it has the ability to hedge, arbitrage, speculate, and price discovery, it can also avoid some trading trap on the stock market. However, before investment, the advantage and disadvantage of the financial products should be fully analyzed to optimize the possibility of gaining profit. This thesis mainly adopts the Fuzzy-Control combining with the concept of Fuzzy Set and association rules to develop a better trading strategy of future, thus proving investors a better understanding of the key point of the trend. Combing with investor's standable risk to achieve such goal. Keyword：Stock、funds、Stock Index Futures、Fuzzy-control、Fuzzy Set.
參考文獻
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