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應用遺傳演算法及模糊理論探討投資人情緒與股票報酬之關係 = A Hybr...

國立高雄大學資訊工程學系碩士班

應用遺傳演算法及模糊理論探討投資人情緒與股票報酬之關係 = A Hybrid Genetic-Fuzzy Stock Selection Model Using Investor Sentiment Indicators

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	A Hybrid Genetic-Fuzzy Stock Selection Model Using Investor Sentiment Indicators
作者:	謝宗男,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2012[民101]
面頁冊數:	70面圖，表格 : 30公分;
標題:	選股問題
標題:	stock selection
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/92371841510673069226
附註:	參考書目：面55-61
摘要註:	在這篇論文中，我們提出一個應用遺傳演算法與模糊理論針對投資者的情緒指標建立選股模型的研究。首先，我們提出根據股票投資者的樂觀或悲觀的程度建立兩種選股模型，並分別利用遺傳演算法和模糊隸屬函數來建立最佳之模型與增加模型的彈性度。為了消除預先指定投資人情緒指標方向的限制，我們進一步擴大原先建立的投資模型，利用遺傳算法自行判斷投資人情緒指標和股票未來收益之間的關係。實驗結果顯示，我們提出的選股模型，對於買進前一期悲觀投資人情緒之股票其績效會優於買進所有公司股票之績效以及買進前一期樂觀投資人情緒股票之績效。另外，我們的實驗結果也表明，利用投資人情緒指標方向自由演化所建立的投資模型，也能獲得不錯的投資績效。 In this thesis we present a study of hybrid genetic-fuzzy stock selection models using investor sentiment indicators. We first propose two basis strategies for the construction of stock selection models according to the degrees of optimism or pessimism of investors on the stocks. The genetic algorithms (GA) and fuzzy membership functions are then employed for optimization and flexibility of the models, respectively. In order to remove the constraint imposed by the pre-specified sentiment indicators, we further extend our models by using the GA to automatically determine the relationship between these indicators and future returns of stocks. Through our proposed stock selection models, the empirical results show that the model of buying pessimistic stocks outperforms the benchmark as well as the one of buying optimistic stocks. We also show that our proposed scheme for the GA-based free indicator model can further improve upon the two classes of the models using the pre-specified investor sentiment indicators.

應用遺傳演算法及模糊理論探討投資人情緒與股票報酬之關係 = A Hybrid Genetic-Fuzzy Stock Selection Model Using Investor Sentiment Indicators
謝, 宗男

應用遺傳演算法及模糊理論探討投資人情緒與股票報酬之關係 = A Hybrid Genetic-Fuzzy Stock Selection Model Using Investor Sentiment Indicators / 謝宗男撰 - [高雄市] : 撰者, 2012[民101]. - 70面 ; 圖，表格 ; 30公分.
參考書目：面55-61.
選股問題stock selection

應用遺傳演算法及模糊理論探討投資人情緒與股票報酬之關係 = A Hybrid Genetic-Fuzzy Stock Selection Model Using Investor Sentiment Indicators
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