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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101921

    Title: 以遺傳規劃股價衝擊函數曲線探討價量關係
    Other Titles: Study on the price-volume relationship with the genetic programming master curve for price-impact function
    Authors: 林慧紋;Lin, Hui-Wen
    Contributors: 淡江大學財務金融學系碩士在職專班
    Keywords: 價量關係;遺傳規劃;衝擊函數曲線;誤差均方;迴歸分析;Price-volume Relationship;Genetic Programming;Impact function curve;MSE;regression analysis
    Date: 2014
    Issue Date: 2015-05-04 09:43:06 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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