模糊時間序列與區間預測方法探討-以台灣加權股價指數為例

A study on the Fuzzy time series and interval forecasting methods -with case study on the Taiwan Capitalization Weighted Stock Index

李栢昌(Li, Pai Chang)

指導教授 ： 吳柏林

國立政治大學/理學院/應用數學系數學教學碩士在職專班/碩士(2012年)

摘要

台灣加權股價指數(TAIEX)，可以說是台灣最重要的經濟指數之一。在預測的方法中，時間序列分析一直都是熱門的課題，也是最常被使用來研究股價預測的方法。近年來，模糊理論在生醫、財務、社會、電機等各領域都有不錯的應用與發展 。本研究欲透過模糊區間的預測，主要是以時間序列預測台灣加權股價指數，來作為模糊區間精確度的探討，並針對區間時間序列進行模式的建構診斷和預測。最後我們將以2012年第一季(Q1)，每日交易股價指數的最高價與最低價作為實際研究的例子，同時也比較不同預測方法所得的結果。結果顯示模糊區間預測提供不同於傳統預測方法所得的資訊，希望能提供投資者另一種投資的參考。

關鍵字 : 台灣加權股價指數(TAIEX) 、模糊理論、模糊區間、區間預測

關鍵字

台灣加權股價指數 ； 模糊理論 ； 模糊區間 ； 區間預測

並列摘要

Taiwan Weighted Stock Index (TAIEX) is one of Taiwan's most important economic indicators. Among the forecasting methods of time series analysis is always a hot issue on the forecasting methods and is also the most commonly used to make the stock price predictions. In recent years , fuzzy theory makes a great of application and development in various fields , such as , biomedical , financial and social …etc.. For this study, through the fuzzy interval forecasting is mainly based on time series forecasting TAIEX as fuzzy interval accuracy of the construction of diagnosis and prediction of the mode and interval time series.
Finally, we will take the daily highest / lowest stock index prices data in the first quarter of 2012 (Q1) for actual research example , and will compare different forecasting methods of the results. The results show that the fuzzy interval forecasting differented from the traditional one on the basis of these information. We hope to offer investors an alternative investment advice.

Keyword : Taiwan Capitalization Weighted Stock Index (TAIEX) 、 Fuzzy theory 、
Fuzzy interval、Interval forecasting.

並列關鍵字

TAIEX. ； Fuzzy theory ； Fuzzy interval ； Interval forecasting

參考文獻

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