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系統識別號 U0026-1801202016013400
論文名稱(中文) 基於高低頻觀測數據的時間序列預測新方法
論文名稱(英文) New Approach for Time Series Forecasting Based on High-Low Frequency Observations
校院名稱 成功大學
系所名稱(中) 統計學系
系所名稱(英) Department of Statistics
學年度 108
學期 1
出版年 109
研究生(中文) 姜司原
研究生(英文) Si-Yuan Jiang
學號 R26053026
學位類別 碩士
語文別 中文
論文頁數 42頁
口試委員 指導教授-林良靖
口試委員-郭美惠
口試委員-陳瑞彬
中文關鍵字 高頻數據  時間序列  股票 
英文關鍵字 High Frequency  Time Series  Stock 
學科別分類
中文摘要 在財務金融的領域上,如何準確的預測隔日的股票價格是很重要且具挑戰性的問題。傳統的預測方法,是使用低頻數據進行時間序列的建模與進行相對應的預測。此預測方法的優點是利用長時間的走勢來對未來數值進行評估;然缺點是需取長時間的資料來進行建模,故在波動產生劇烈變化時將無法準確地得到預測值。另一方面,可以使用高頻資料來進行預測,高頻資料能在一天內提供大量的交易資料來對波動有更好的估計,但卻無法展示出股票價格的長期走勢。本研究試圖將兩種方法結合在一起。首先,提出一個演算法來模擬出同時帶有高、低頻數據的金融交易數據,然後提出新的估計方法,同時利用到高低頻的數據。實證結果顯示,新提出來的方法,其預測能力可修正傳統最小平方法高達25%。
英文摘要 In the field of finance, how to accurately predict the stock price
is an important and challenging problem. The traditional prediction method is to use low-frequency data to model time series and make corresponding predictions. The advantage of this prediction method is to use long-term trends to evaluate future values; however, the disadvantage is that it takes a long time to model, so it will not be able to accurately obtain the predicted value when the fluctuation changes sharply. On the other hand, high-frequency data can be used to forecast. High-frequency data can provide a large amount of transaction data in one day to better estimate the volatility, but it cannot show the long-term trend of stock prices.This study attempts to combine the two methods. First, an algorithm is proposed to simulate the financial transaction data with both high and low frequency data. then a new estimation method is proposed, which uses high and low frequency data at the same time. The empirical results show that the prediction ability of the newly proposed method can modify the traditional least square method by up to 25%.
論文目次 摘要 i
Extended Abstract ii
英文延伸摘要 ii
誌謝 v
目錄 vi
表格 vii
圖片 viii
第 1 章 緒論 1
第 2 章 生成模擬資料 3
第 3 章 模擬參數估計 6
3.1 低頻 AR(1)模型參數估計方法 6
3.2 高頻數據波動率的估計方法 6
3.3 高低頻結合後新的估計方法 9
第 4 章 模擬資料分析 11
第 5 章 實證研究 13
第 6 章 總結及未來研究方向 16
參考文獻 17
附錄 A.圖片 19
附錄 B.表格 25
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