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模糊期望值與軟計算方法:財金與經濟分析之應用張志營 Unknown Date (has links)
在具有多變性、不確定性與訊息不完整的資訊網路時代,過去使用單一數值樣本來計算統計參數的方法,似乎已漸不符合現今多變與複雜的環境的需求。尤其在財金領域的資料採礦(data mining)研究中,利用模糊統計分析與軟計算方法,將會是一種更為接近實務需要的測度與估計工具。本研究提出模糊期望值的定義及一些相關性質,希望能配合隸屬度函數之觀念,將多元思維取代傳統二元邏輯的思考模式。並對複雜的財金問題,提出更符合人類社會行為及思考模式之實務探討。
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模糊期望值及其在財金預測之應用廖欽等 Unknown Date (has links)
由於電腦革命的成功,在短暫的幾年之間,更加速了經濟的成長,而金融的投資分析,是社會經濟發展的原動力,因此研究這方向的財務數學也相對的提高了專家、學者的研究熱潮。就以股票、匯率市場來說,如果能比别人早一步掌握行情走勢,就能獲得較高的利潤。但影響股價、匯率波動的因素很多,尤其是在複雜多變及不確定性的資訊下。因此;如何進行更精確的趨勢分析與預測,是本文研究的主題。由於,傳統的期望值是二元的邏輯思考(非1即0),比較無法符合多變與不確定的財金問題,因此本文考慮以模糊統計方法,以模糊期望值的方法來作趨勢分析與預測,期望能對複雜多變的財金體系提共一套更精確合理的投資分析方法,可以提供投資者更多的訊息,做出明確的抉擇。最後;以我國集中市場加權股票指數、台幣對美元匯率及台積電股價為例,做一實例上的詳細探討。 / Based on computer revolutionary coming off, economics grows fast in previous several years, then the investment analyze of finance is the impetus of development of society economic. Therefore, many experts and scholars are interested in the research of financial mathematics. Taking stock market and exchange market for example, if you can predict the future trend of market, you obtain more profit. However, there are many factors that act on stock prices and exchange rate. Especially, the market information is complicated and incomplete. How to go along accurate trend analysis and divination is the important point of the text research.
Because traditional expectation value is dibasic logic thought (either 1 or 0), that can’t conform to the highly changeable and uncertain finance problems. For this reason, in this research we propose an integrated procedure for fuzzy expectation value modeling and forecasting through fuzzy relation equations. We apply this technique to construct a fuzzy expectation value model for Taiwan Weighted Stock Index and exchange rate and forecast future trend. We strongly believe that this model will be profound of meaning in forecasting future trend of financial market.
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模糊隨機變數在線性迴歸模式上的應用 / Fuzzy Random Variables and Its Applications in Fuzzy Regression Model曾能芳 Unknown Date (has links)
傳統迴歸分析是假設觀測值的不確定性來自於隨機現象,本文則應用模糊隨機變數概念於迴歸模式的架構,考慮將隨機現象和模糊認知並列研究。針對樣本模糊數(x<sub>i</sub>, Y<sub>i</sub>),我們進行模糊迴歸參數估計,並稱此為模糊迴歸模式分析。模糊迴歸參數估計大都採用線性規劃,求出適當區間,將觀測模糊數Y<sub>i</sub>的分佈範圍全部覆蓋。但是此結果並不能充分反映觀測樣本Y<sub>i</sub>的特性。本研究提出一套模糊迴歸參數的估計方法,其結果對觀測樣本的解釋將更為合理,且具有模糊不偏的特性。在分析過程中,我們亦提出一些模糊統計量如模糊期望值、模糊變異數、模糊中位數的定義,以增加對這些參數的模糊理解。最後在本文中也針對台灣景氣指標與經濟成長率作實務分析,說明模糊迴歸模式的適用性。 / Conventional study on the regression analysis is based on the conception that the uncertainty of observed data comes from the random property. However, in this paper we consider both of the random property and the fuzzy perception to construct the regression model by using of fuzzy random variables. For the fuzzy sample (x<sub>i</sub>,Y<sub>i</sub>), we will process the parameters estimation of the fuzzy regression, and we call this process as fuzzy regression analysis. The parameters estimation for a fuzzy regression model is generally derived by the linear programming scheme. But it's result usually doesn't sufficiently reflect the characteristics of the observed samples. Hence in this paper we propose an alternative technique for parameters estimation in constructing the fuzzy regression model. The result will describe the observed data better than the conventional method did, moreover it will have the fuzzy unbiased properties. For the purpose of fuzzy perception on the fuzzy random variables, we also give definitions for certain important fuzzy statistics such as fuzzy expected value, fuzzy variance and fuzzy median. Finally, we give an example about the Taiwan Business Cycle and the Taiwan Economic Growth Rate for illustration.
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