- 學位論文
貴金屬及鑽石指數之混沌現象與長期記憶 -以類神經預測分析
The Chaos and Long Memory for Precious Metals and Diamond Indexes-An Analysis of Artificial Neural Network
摘要
鑽石、黃金、白銀等貴金屬，這些具有美學價值以及彰顯尊貴品味的奢侈品，除了作為飾品，並廣泛的應用於各領域，如：電子工業、光學儀器、汽車產業等。近年來，全球金融風暴、各國債務危機等問題，使得鑽石、貴金屬成為投資市場的新寵兒，其因稀少性所帶來的價值與其扮演避險與保值的功能，因而提升其投資價值。因此，鑽石及貴金屬市場可作為投資人多樣化投資策略與擇時投資之重要選項。 許多財務時間序列中顯示其存在不規則的行為，而多數經濟理論亦認為這些不規則的行為歸因於市場上存在著非線性依賴的情形。本研究希望透過長期記憶與混沌現象，檢視黃金、白銀、鉑金、鈀金、銠五項貴金屬，美國IDEX Online Diamond Prices以及以色列鑽石產業組織鑽石價格指數，共七項變數之市場價格行為，並以利率、美元指數、貨幣供給、CRB指數及put-call ratio五項指標，透過倒傳遞類神經模型檢視其作為預測貴金屬及鑽石價格之指標是否適切。 本研究結果顯示，黃金、白銀、鉑金、美國IDEX Online Diamond Prices以及以色列鑽石產業組織鑽石價格指數皆具有混沌現象，顯示其價格行為是一確定可循的行為；在長期記憶測試上顯示各變數皆具有長期記憶性，此意涵為現在的價格行為會受到過去隨機衝擊之影響；最後，本研究應用倒傳遞類神經模型於貴金屬及鑽石價格，發現利率、美元指數、貨幣供給、CRB指數以及put-call ratio為預測鉑金、鈀金、銠以及白銀之重要指標。
並列摘要
The luxury goods, like diamonds, gold, silver and other precious metals, have aesthetic value and dignify the taste, widely using in various fields such as eletronics, optical instruments, and automobile industries. In recent years, the problems of global financial crisis, national debt crisis and other issues making diamonds and precious metals begin to make a mark. The value of the exiguous and the hedge function uplift the investment value. Therefore, if investors are trying to use diamonds and precious metals as an investment target, they can observe the price behavior to seek for the adequate investment timing. Many financial time series exhibit irregular behavior. Economics theory suggests that the irregular behavior may be due to the existence of nonlinear dependence in the market. Thus, the purpose of this paper would like to examine the price behavior on five precious metals including gold, silver, platinum, palladium, and rhodium and two diamond indexes including International Diamond Exchange (IDEX) Online Diamond Prices and Israel Online Diamond Prices through long memory and chaos theory. Using the five indexes such as interest, the US dollar index, money supply, Commodity Research Bureau (CRB) Futures Price Index and put-call ratio, this paper applies Backpropagation Network to evaluate whether these indexes can be suitable to forecast diamonds and precious metals. The results show that the chaos effect is exist in gold, silver, platinum, IDEX Online Diamond Prices and Israel Online Diamond Prices. It shows that the price behavior is a determined behavior. All precious metals and diamond indexes have long memory, meaning that the current price will be influenced by the stochastic events in the past. Investors could use the past events or prices as an investing reference. This paper applies Backpropagation Network in precious metals and diamonds market. The results show that the interest, the US dollar index, money supply, CRB index and put-call ratio could be a good forecasting indicator when investing in precious metals and diamonds.