金融市場是個變化莫測的環境，看似隨機，在隨機中卻隱藏著某些特性與關係。不論是自然現象中的氣象預測或是金融領域中對下一時刻價格的預測, 都有相似的複雜性。 時間序列的預測一直都是許多領域中重要的項目之一, 金融時間序列的預測也不例外。在本論文中我們針對金融時間序列的非線性與非穩態關係引入類神經網路(ANNs) 與集合經驗模態分解法(EEMD), 藉由ANNs處理非線性問題的能力與EEMD處理時間序列信號的優點，並進一步與傳統上使用於金融時間序列分析的自回歸滑動平均模型(ARMA)進行複合式的模型建構，引入燭型圖概念嘗試進行高頻下的台指期貨TAIEX交易。在不計交易成本的績效測試下本研究的高頻交易模型有突出的績效，證明以ANNs、EEMD方法與ARMA組成的混合式模型在高頻時間尺度交易下有相當的發展潛力，具有進一步發展的價值。在處理高頻時間尺度下所產生的大型數據方面，引入平行運算架構SPMD(single program, multiple data)以增進其處理大型資料下的運算效率。本研究亦透過分析高頻時間尺度的本質模態函數(IMFs)探討在高頻尺度下影響台指期貨價格的因素。 / Financial market is complex, unstable and non-linear system, it looks like have some principle but the principle usually have exception. The forecasting of time series always an issue in several field include finance. In this thesis we propose several version of hybrid models, they combine Ensemble Empirical Mode Decomposition (EEMD), Back-Propagation Neural Networks(BPNN) and ARMA model, try to improve the forecast performance of financial time series forecast. We also found the physical means or impact factors of IMFs under high-frequency time-scale. For processing the massive data generated by high-frequency time-scale, we pull in the concept of big data processing, adopt parallel computing method ”single program, multiple data (SPMD)” to construct the model improve the computing performance. As the result of backtesting, we prove the enhanced hybrid models we proposed outperform the standard EEMD-BPNN model and obtain a good performance. It shows adopt ANN, EEMD and ARMA in the hybrid model configure for high-frequency trading modeling is effective and it have the potential of development.

多数の溶媒分子に取り囲まれている溶液中において溶質分子の化学反応素過程を考える場合、溶媒分子による反応の平衡論的、動的な効果を考える必要がある。本研究では、ユニークな反応場として水や有機溶媒とは区別される、超臨界流体とイオン液体をとり上げ、溶質分子のプロトン移動反応、光解離反応について、時間分解レーザー分光と分子動力学計算、理論的解析を行い、その現象を明らかにする試みをおこなった。 / In solution, solvent molecules involve chemical reaction of solute molecules and could alter both reaction yield and kinetics. In this thesis, the author focused on fundamental chemical reactions (intermolecular proton transfer and photodissociate reaction) in a unique class of solvents, supercritical fluids and ionic liquids. By measuring time-resolved fluorescence spectrum and transient absorption spectrum of solutes, the author discusses how the reaction yield and kinetics are described by solvent physicochemical properties. / 博士(理学) / Doctor of Philosophy in Science / 同志社大学 / Doshisha University