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博碩士論文 etd-0728120-104849 詳細資訊
Title page for etd-0728120-104849
論文名稱
Title
智能行為財務模型-以行為財務觀點建構機器學習台股投資策略
Application of Machine Learning in Behavior Finance and Trading Strategy in Taiwan Stock Market
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
76
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2020-06-18
繳交日期
Date of Submission
2020-08-28
關鍵字
Keywords
台灣股票市場、籌碼面、機器學習、投資人情緒、行為財務
Machine Learning, Investor Sentiment, Behavioral Finance, Institutional Investors, Taiwan Stock Market
統計
Statistics
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中文摘要
本篇論文試圖以行為財務學的視角建構台股週沖交易策略,考量到人類的
行為偏誤難以被完整的量化,且市場心理對於價量資訊間複雜的影響,因此本
研究採用結合極限梯度提升樹 (XGBOOST) 演算法結合行為財務特徵變數分別建
構預測未來五日報酬率之迴歸樹模型與預測未來五日漲跌機率的分類樹模型,
交叉比對結合成選股模型以應用到台灣股票市場。
在透過行為財務變數與 XGBoost 演算法模型所建構出的策略,於 2017 年至
2020 年 3 月底的報酬率可達到約 70%,年化報酬率 22%,並幾乎於全回測期間
內打贏大盤指數。
Abstract
This paper attempts to construct a weekly stock trading strategy for Taiwan stocks from
the perspective of behavioral finance. Considering that behavior biases are too difficult to
be quantified and the complex impact of market psychology on price-volume information,
this paper uses eXtreme Gradient Boosting algorithm combines behavioral financial
characteristic variables to construct two models : a regression tree model that predicts the
future five-day return and a classification tree model that predicts the future five-day
probability of stock prices rising, to construct a stock selection model for application to the
Taiwan stock market.
The strategy constructed through behavioral financial variables and the eXtreme
Gradient Boosting algorithm model can achieve a return rate of about 70% from 2017 to the
end of March 2020, an annualized return rate of 22%. This performance beats market
benchmarks almost in the full period.
目次 Table of Contents
Content
論文審定書 i
摘要 ii
Abstract iii
Chapter 1. Introduction 1
Chapter 2. Literature Review 3
Chapter 3. Methodology 15
3.1 Experimental Structure 15
3.2 Data Collection and Features Construction 17
3.3 Model Features 20
3.4 Model Architecture 40
Chapter 4. Empirical Results 53
4.1 Model sensitivity analysis 54
4.2 Model Architecture Backtesting Performance 58
Chapter 5. Conclusion and Suggestions 63
5.1 Conclusion 63
5.2 Suggestion 64
Reference 65
參考文獻 References
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