整合天際線篩選方法於共同基金之分析

Integrating Skyline-based Filtering into the Analysis of Mutual Funds

羅烈允(Lieh-Yun Lo) ； 吳宜鴻(Yi-Hung Wu)

《先進工程學刊》 5卷2期 (2010/04) Pp. 143-152

https://doi.org/10.29948/JAE.201004.0009

摘要

本論文以每月公布的基金績效評比表為對象，提出以天際線篩選基金的方法，找出其他方法可能遺漏的好基金；我們以這些基金為基礎，進一步分析加權股價指數的走勢，並建立一套共同基金分析及市場趨勢預測的系統。實驗結果顯示，在所篩選基金的後續表現上，我們的方法優於一般常用的法則，趨勢預測有近60%的準確率，我們計算天際線的方法也可提昇效率達20%以上。

關鍵字

資料探勘 ； 天際線 ； 共同基金

並列摘要

This paper regards the monthly announced reports of fund performance evaluation as the target and proposes a skyline-based filtering method for selecting good funds, which may be ignored by the other method. Based on these funds, we further analyze the movement of TAIEX and build a system for the analysis of mutual funds and the prediction of market trend. The experiment results show that our method is superior to the commonly used rules in the subsequent performance of the selected funds. The trend prediction achieves about 60% in accuracy, and our method for skyline computation can also speed up above 20%.

並列關鍵字

data mining ； skyline ； mutual funds