系統識別號 | U0002-1509202011352600 |
---|---|
DOI | 10.6846/TKU.2020.00433 |
論文名稱(中文) | 以MOEA/D為基礎之群組交易策略組合最佳化技術 |
論文名稱(英文) | MOEA/D-based Group Trading Strategy Portfolio Optimization Techniques |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 資訊工程學系資訊網路與多媒體碩士班 |
系所名稱(英文) | Master's Program in Networking and Multimedia, Department of Computer Science and Information Engine |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 108 |
學期 | 2 |
出版年 | 109 |
研究生(中文) | 葉重佑 |
研究生(英文) | Chong-You Yee |
學號 | 607420154 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2020-07-16 |
論文頁數 | 53頁 |
口試委員 |
指導教授
-
鄭建富
共同指導教授 - 陳俊豪 委員 - 林威成 委員 - 呂學展 |
關鍵字(中) |
交易策略 群組交易策略組合 多目標最佳化演算法 SPEA MOEAD |
關鍵字(英) |
Trading strategy group trading strategy portfolio multi-objective genetic algorithm SPEA MOEA/D |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
金融市場中,股票投資一直都是個熱門的項目,什麼時候該進行買入或賣出才能避開風險又獲得最大的收益一直都是一個很困難的問題。交易策略是常用來解決這個問題的方法且現有文獻已有許多方法被提出用來產生交易策略或交易策略組合,以追求最大的報酬。其中,群組交易策略組合最佳化方法更提供了投資者更多元的選擇機制,令使用者可以彈性更換組合內的策略。然而,一個群組交易策略組合無法滿足所有使用者的需求。故為了符合許多不同的面相,根據兩目標函數,本論文首先提出SPEA為基礎的群組交易組合最佳化方法來解決這個問題。第一個目標函數用來評估策略組合的風險與報酬,第二個目標函數用來評估群組內的交易策略是否相似。為求得更有效之柏拉圖解集合,我們進一步提出基於MOEA/D的群組交易組合最佳化方法。最後,透過真實資料集,實驗顯示所提的方法的是有效的且優於現有方法。 |
英文摘要 |
In the financial market, stock investment is always a hot topic, and when to buy and sell is always a difficult problem for investor to avoid risk and to maximize the return. Trading strategies are a common method to be used to handle this problem, and there are many approaches have been proposed for obtaining trading strategies or trading strategy portfolio to maximize the profit. In addition, the group trading strategy portfolio (GTSP) optimization approach provides investors a friendly mechanism for investors to replace any trading strategy that they do not satisfy with in a given trading strategy portfolio. However, a GTSP cannot meet the needs of all users. In order to meet many different aspects, in this thesis, based on the two objective functions, we first propose a SPEA-based GTSP optimization approach. The first objective function is used to evaluate the risk and return. The second objective function is used to evaluate whether the trading strategies in the group and weights of groups are similar. Then, to reach a better Pareto front, we further propose the MOEA/D-based GTSP optimization approach. At last, experiments on a real dataset were conducted to show the proposed approaches are effective and better than the existing previous approach |
第三語言摘要 | |
論文目次 |
目錄 第一章 簡介 1 1.1動機 1 1.2貢獻 2 1.3讀者指南 2 第二章 背景知識與文獻回顧 3 2.1多目標最佳化技術 4 2.1.1多目標問題 4 2.1.2多目標遺傳演算法(MOGA) 4 2.1.3 強健式柏拉圖進化演算法(SPEA) 5 2.1.4 基於分解的多目標進化演算法(MOEA/D) 6 2.2多目標策略最佳化技術 7 2.3群組交易策略最佳化技術 7 第三章 以SPEA為基礎的GTSP最佳化技術 9 3.1動機 9 3.2方法架構圖 9 3.3策略產生方法 10 3.4編碼方式 13 3.5目標函數 16 3.6虛擬碼 19 3.7範例 20 第四章 以MOEA/D為基礎的GTSP最佳化技術 26 4.1動機 26 4.2方法架構圖 26 4.3策略產生方法 27 4.4編碼方式 27 4.5目標函數 28 4.6虛擬碼 29 4.7範例 30 第五章 實驗結果 34 5.1實驗數據與環境設定 34 5.2方法一的實驗分析 35 5.2.1 Pareto Front 35 5.2.2與現有方法的獲利比較 37 5.2.3不同參數的影響 38 5.3方法二的實驗分析 39 5.3.1 Pareto Font 39 5.3.2與現有方法的獲利比較 41 5.3.3不同參數的影響 42 第六章 結論與未來展望 43 參考文獻 44 附錄 英文論文 48 圖目錄 圖 1 MOGA流程 5 圖 2 SPEA流程 6 圖 3 MOEA/D流程 7 圖 4方法一架構 9 圖 5交易策略產生流程 11 圖 6 染色體編碼方式 13 圖 7 染色體範例 13 圖 8 交配過程 14 圖 9 突變過程 15 圖 10 反轉過程 15 圖 11 適應度計算過程 23 圖 12修剪過程 24 圖 13 MOEA/D方法流程 26 圖 14新增的編碼部分 27 圖 15 編碼範例 28 圖 16 分布情況 30 圖 17 鄰居資訊 30 圖 18 更新EP的過程 32 圖 19 股價序列圖 34 圖 20方法一收斂過程 35 圖 21 柏拉圖最優解比較圖 36 圖 22 不同參數之比較 38 圖 23方法二收斂過程 39 圖 24 不同方法的柏拉圖集合比較 40 圖 25方法二的不同參數比較 42 表目錄 表 1 多目標優化相關之文獻整理(依年份排序) 3 表 2 一組交易訊息 12 表 3 染色體範例 20 表 4染色體目標函數值 22 表 5 染色體的適應度值 23 表 6 一些經過優化後的染色體 25 表 7 染色體資訊 31 表 8進化流程 31 表 9優化後的染色體 33 表 10 與現有方法的比較 37 表 11三個方法的比較資訊 41 |
參考文獻 |
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