以遺傳規劃股價衝擊函數曲線探討價量關係

Study on the Price-Volume Relationship with The Genetic programming Master Curve for price-impact function

林慧紋(Hui-Wen Lin)

指導教授 ： 李沃牆

共同指導教授 ： 謝宗佑

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00857

摘要

本文透過相關係數分析台灣證券交易所前十大類股指數之價量關係，再以遺傳規劃方法找出十大類股指數的價格衝擊函數(或價量關係函數)，並利用迴歸分析將公司市值、匯率、利率加入探討與十大類股指數價格相關性。
所獲得的結論如下：1.相關係數分析結果，十大類股在各時間區間部份呈現負向關係，但十大類股在全期間價量關係皆呈正向關係，表示長期趨勢來說，價量關係表現為量增價揚和量縮價跌。2.透過遺傳規劃程式找出不同產業類股的價格衝擊函數，並發現樣本內機電類股誤差均方值最低，樣本外則是鋼鐵類股最低，表示鋼鐵類股預測能力最佳。3.迴歸分析結果發現十大類股指數市值變動率與股價率變動率皆呈正向關係，匯率變動和股價變動率除食品類股與鋼鐵類股關係不顯著外，其他八種類股都是負向關係，利率則與十大類股之價格變動率關係較不顯著。

關鍵字

價量關係 ； 遺傳規劃 ； 衝擊函數曲線 ； 誤差均方 ； 迴歸分析

並列摘要

This study analyzes price and volume relations of top ten industrial sub-indices in the Taiwan Stock Exchange Index through the correlation coefficient, and then to identify the price of top ten industrial sub-indices impact function (or a function of the relationship between price and volume) by genetic programming, and adding market capitalization, exchange rates, interest rates to explore the top ten industrial sub-indices price correlation use of regression analysis.
Conclusions obtained are as follows: (1) the correlation coefficient analysis results, the top ten stock index in each time interval part presents a negative relationship, but the top ten industrial sub-indices in the whole period were highly positive relationship between price and volume relationship, the long-term trend showing that a large return is usually accompanied by a large trading volume. (2) find out the price impact function through genetic programming, and found that within sample the minimum mean square error of top ten industrial sub-indices is Electric Machinery, in out-sample the minimum mean square error is the Iron and Steel, which means that Iron and Steel has the best prediction. (3) Regression analysis found that the market capitalization change rate and the price movements of top ten industrial sub-indices were highly positive relationship, between exchange rate changes and price changes in addition to food and Iron and Steel relationship is not significant, the other eight industrial sub-indices are negative, the relationship between interest rates and the prices of the top ten industrial sub-indices are less significant relationship.

並列關鍵字

Price-volume relationship ； Genetic Programming ； Impact function curve ； MSE ； Regression analysis

參考文獻

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10. 鄭紹賓(2005)，以遺傳規劃建構交易策略，元智大學資訊管理學系碩士論文。

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