- 學位論文
運用灰關聯分析與類神經網路建立國際黃金現貨價格預測模式
Using the Application of Grey Relational Analysis and Artifical Neural Network to Establish an International Spot Gold Price Forecasting Model
摘要
自人類發現黃金以來，黃金都是人們的最愛，上至帝王下至庶民皆是如此，黃金是流通貨幣的一種，亦是權力與地位的象徵；其除了美觀之外更有資產、保值的功能，但是進入工業化時代後，因黃金具有極高的延展性、抗腐蝕性、導熱性及導電性，被廣泛應用於通信技術、資訊技術、化工技術、醫療技術、航太技術等相關領域，使得黃金需求自20世紀後被大幅增加。 2008年美國雷曼兄弟公司破產後所引發的金融海嘯危機，使得世界各國的央行對於黃金的儲備需求增加，人們也因為金融海嘯所造成的經濟前景不明感到憂心忡忡，紛紛增加保本、避險的需求，而黃金為國際流通貨幣之一，更是普羅大眾、投資人的第一首選。2008年國際金價自每盎司1000美元短短3-4年時間已上升到每盎司將近2000美元，升值幅度不可不謂不大，因此如何準確預測金價是現代投資人所殷殷期盼的。 鑒於目前投資人預測國際黃金現貨價格的方法，大多是使用數學式的技術分析與時間序列分析法，不免有其侷限性，本研究試圖以灰關聯分析與類神經網路為基礎，以人工智慧模擬的方式，納入石油價格、股市行情、美元匯率及技術指標等因子作灰關聯分析及類神經網路預測，突破傳統技術分析與時間序列分析法的侷限性，提升預測的準確率，以幫助投資人作有利且長期的投資參考依據。
並列摘要
The bankruptcy of Lehman Brothers in 2008 triggered the financial tsunami making the world’s central banks to increase the need for the reservation of gold. People are worried about the economic uncertainty caused by the financial tsunami, so they have more demand for capital preservation. As one of the international currency in circulation, gold is the first choice of investors among the general public. The international price of gold from $ 1,000 per ounce since 2008 has risen to nearly $ 2,000 writhin just 3 to 4 years, so the appreciation magnitude can not be ignored. Thus, how to accurately predict the price of gold is what the modern investors highly expect. In view of the methods of investor’s predictions on the international spot gold prices, which refer to mathematical-technical analysis and time series analysis, it inevitably has its limitations. This study attempts gray relational analysis and artificial neural network on the basis, analog to artificial intelligence, including the factors of the price of oil, the stock market, the dollar exchange rate and other factors and technical indicators for gray relational analysis and artificial neural networks prediction, to break through the limitations of traditional technical analysis and time series analysis, to improve forecast accuracy, and to help investors make beneficial and long-term investment reference.