累積財富的方法隨著時代背景的不同而改變，在二十一世紀的今天，投資就是一個可以快速累積財富的方法。近年來國民所得與理財知識的提升，使得今日的台灣證劵市場交易活絡，根據台灣證劵交易所與財政部證劵暨期貨管理委員會統計資料顯示，股票市場已成為國內投資者重要的理財管道。
而試圖在股市或是衍生性商品中投資獲利者，不可不重視股票價格的變化。然而影響股票價格的因素極為廣泛，對於如此大量且複雜的資訊，實非一般投資人可以輕易掌握的。
近年來，藉資訊科技的快速發展，資料探勘應用於股市金融領域變的可行，優點是可以在大量的資訊裡找出有用的資訊。本研究目的在利用資料探勘的技術來尋找股票市場之買進標的與切入時機。
本研究探討單一個股的價格走向，是否會跟群體股票有所關連。利用歷史交易資料找出股票之間的股價漲跌關連度與技術指標關連度，進而發展出條件機率法則與投票法則來求出每檔股票的買進與賣出推薦值，最後再依推薦值的變化來判斷買進與賣出的標的股票。
本研究以2004年3月到2006年3月為訓練期間；2006年3月到2007年3月為預測時間。研究結果經由報酬率分佈分析、交易次數分析、正報酬比例分析、總獲利分析與「買進後持有」策略比較分析，顯示本研究所提出的四種預測模式中，以技術指標關連度搭配投票法則的方法最能夠有效的打敗「買進後持有」的策略。 / The method to accumulate wealth changes during different times. Making the investment is a method that can accumulate the wealth quickly in 21st century. The improvement of the national income makes today's stock market of Taiwan activate recently. From the statistical data of Taiwan Stock Exchange Corporation (TSEC), the stock market has already become important financing channel of investor.
People attempting to earn profits in stock market must pay attention to the change of the stock price. However, many factors widely influence the price of the stock and make the investors hard to predict.
In recent years, the fast development of computer science makes the technology of data mining applied to the stock market. The advantage of data mining is that we can find out useful information in a large amount of information. The purpose of this research is to use the technology of data mining to look for buying time and selling time of the stocks.
This research investigates the correlation between a single stock and other stocks. By using the historical data of the stocks to find out the correlation between stocks, and developing the rules to calculate a prediction value, the recommendation of the buying or selling time of a stock can be done.
The training analysis in this paper is collected from March, 2004 to March, 2006 and the prediction time is from March, 2006 to March, 2007. The empirical result shows that: from the distribution analysis of the profit rate, the trade number of the times analysis, the buy-and-hold policy comparative analysis, and the positive profit rate analysis: in the four models discussed the index with the rule of vote performs better than the buy-and-hold policy.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0094753038 |
| Creators | 簡志偉 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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