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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

多變量模糊時間數列在財務上的應用 / An Application of Multivariate Fuzzy Time Series on Financial Markets.

呂冠宏 Unknown Date (has links)
股票是許多人採取投資的項目。若能準確預測股價的漲跌,則可以有效地降低投資風險,賺取利潤。然而,有許多因素會影響股票走勢,例如政治因素,匯率變化,天災人禍。因此,股票走勢很難被精確預測。我們嘗試用模糊統計來解決股價預測的問題。本論文藉由模糊相關矩陣來建立多變量模糊時間數列,以便用來預測股票趨勢。實證研究則以台灣加權股價指數為對象,對每日的收盤價進行模糊時間數列分析與預測,還計算誤差與準確率。實證研究顯示,能降低投資者的風險。
2

模糊時間數列分析與預測—以石油價格為例 / Fuzzy Time Series Analysis and Forcasting – with an Example of Oil Prices

陳蒼山 Unknown Date (has links)
石油是維持人類生存必需的商品,是容易運輸、儲存、使用的能源。石油價格的漲跌,將直接或間接影響經濟成長與物價水準。以公司營運來說,對海運業、航空業、石油公司等石油高度相關行業來說,購油成本一直佔據公司總成本相當大的比例,因此石油價格的變動,將使得會計年度內的購油成本高低相差甚大,進而影響公司整體營運利潤,因此購油決策重要性自不待言。當預測油價會上漲時,則公司將會以較低的石油價格購入較多的石油事先加以貯存或使用,以降低全年購油成本與分散風險。本文嘗試著導入模糊統計的概念並建立多變量多階自廻歸模糊時間數列模式,以期應用在油價之預測。實證方面則收集紐約商品交易所 (NYMEX: New York Mercantile Exchange) 的每日原油收盤價原始資料,針對原油價格進行模糊時間數列分析與預測,並比較命中率、誤差率與準確度。相信這對於購油風險控管及降低成本,提高公司盈餘深具意義。
3

模糊時間數列的屬性預測 / Qualitive Forecasting for Fuzzy Time Series

林玉鈞 Unknown Date (has links)
本文嘗試以模糊理論的觀念,應用到時間數列分析上。研究重點包括模糊關係、模糊規則庫和模糊時間數列模式建構與預測等。我們首先給定模糊時間數列模式的概念與一些重要性質。接著提出模糊規則庫的定義,以及模式建構的流程,並以模糊關係方程式的推導,提出模糊時間數列模式建構方法。最後,利用提出的方法,對台灣地區加權股票指數建立模糊時間數列模式,並對未來進行預測,且考慮以平均預測準確度來做預測效果之比較。這對於財務金融的未來走勢分析將深具意義。 / The paper has attempted to apply the concept of fuzzy method on the analysis of time series. This reserch is also to include fuzzy relation, fuzzy rule base, fuzzy time series model constructed and forecasting. First, we'll define the concept of fuzzy time series model and some important properties. Next, the definition of fuzzy rule base will also be put forward, along with procedure of model constructed, the formation of fuzzy relation polynomial, and the methods to construct fuzzy time series model. At last, with the above methods, we'll build up fuzzy time series model on Taiwan Weighted Index and predict future trend while examine the predictive results with average forecasting accuracy. This shall carry profund signifigornce on the analysis of future trend in terms of financialism.
4

多變量模糊時間數列分析與轉折區間檢測 / Multivariate Fuzzy Time Series Analysis with Change Periods Detection

廖俊銘 Unknown Date (has links)
近年來,隨著科技的進步與工商業的發展,預測技術的創新與改進愈來愈受到重視,同樣地,對於預測準確度的要求也愈來愈高。尤其在經濟建設、人口政策、經營規畫、管理控制等問題上,預測更是決策過程中不可或缺的重要資訊。有鑑於此,本論文嘗試應用模糊關係方程式,提出多變量模糊時間數列建構過程及轉折區間檢測模式理論架構。另一方面,多變量模糊時間數列模式建構過程,研究者曾提出很多轉折點之偵測與檢定方法,然而在實際的例子中,時間數列之結構改變所呈現出來的是一種緩慢的改變過程,即轉折點本身就是模糊不確定。這個概念在建構不同模式分析各國經濟活動數據時更顯重要。本論文針對轉折區間之檢測提出一個完整的認定程序。多變量時間數列系統中的隸屬度函數等於在計算成果指標群時的群集中心。應用本論文提出的方法,我們以德國、法國及希臘之總體經濟指標GDP為例,考慮通貨膨脹率、GDP成長率及投資率來進行轉折區間的檢測。 / In recent years, along with the technological advancement and commercial development, the creation and improvement of forecasting techniques have more and more attention. Especially at the economic developments, population policy, management planning and control, forecasting gives necessary and important information in the decision-making process. Regarding stock market as the example, these numerals of closing price are uncertain and indistinct. Again, the factors of influence on quantity are numerous, such as turnover, exchange rate etc. Therefore, if we consider merely the closing price of front day to build and forecast, we will not only misestimate the future trend, but also will cause unnecessary damage. Owing to this reason, we propose the procedure of multivariate fuzzy time series model constructed and theory structure by fuzzy relation equation. Combining closing price with turnover, we apply our methods to build up multivariate fuzzy time series model on Taiwan Weighted Index and predict future trend while examine the predictive results with average forecasting accuracy. A fuzzy time series is defined on averages of cumulative fuzzy entropies of the tree time series. Finally, an empirical study about change periods identification for Germany, France and Greece major macroeconomic indicators are demonstrated.

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