Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 106 === A stock index consists of a board selection of stocks. Stylized facts show non-linear correlations exist between stock prices. Therefore, predicting the direction of an index involves modeling and analyzing sophisticated multi-dimensional time series. We employ...
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2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/3jp762 |
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ndltd-TW-106NTU053921222019-06-27T05:28:56Z http://ndltd.ncl.edu.tw/handle/3jp762 Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices 上市個股預測台灣加權指數高頻趨勢 Yi-Ke Huang 黃奕軻 碩士 國立臺灣大學 資訊工程學研究所 106 A stock index consists of a board selection of stocks. Stylized facts show non-linear correlations exist between stock prices. Therefore, predicting the direction of an index involves modeling and analyzing sophisticated multi-dimensional time series. We employ the convolutional neural network to forecast the intra-day price movement of the Taiwan Stock Exchange Weighted Index (TAIEX). Furthermore, we verify the prediction performance of our model on the high-frequency data (5 sec) of the TAIEX and its constituent share prices from 2015 to 2017. Yuh-Dauh Lyuu 呂育道 2018 學位論文 ; thesis 25 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
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碩士 === 國立臺灣大學 === 資訊工程學研究所 === 106 === A stock index consists of a board selection of stocks. Stylized facts show non-linear correlations exist between stock prices. Therefore, predicting the direction of an index involves modeling and analyzing sophisticated multi-dimensional time series. We employ the convolutional neural network to forecast the intra-day price movement of the Taiwan Stock Exchange Weighted Index (TAIEX). Furthermore, we verify the prediction performance of our model on the high-frequency data (5 sec) of the TAIEX and its constituent share prices from 2015 to 2017.
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| author2 |
Yuh-Dauh Lyuu |
| author_facet |
Yuh-Dauh Lyuu Yi-Ke Huang 黃奕軻 |
| author |
Yi-Ke Huang 黃奕軻 |
| spellingShingle |
Yi-Ke Huang 黃奕軻 Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices |
| author_sort |
Yi-Ke Huang |
| title |
Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices |
| title_short |
Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices |
| title_full |
Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices |
| title_fullStr |
Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices |
| title_full_unstemmed |
Prediction of Short-Term Trends of TAIEX via Its High-Frequency Constituent Share Prices |
| title_sort |
prediction of short-term trends of taiex via its high-frequency constituent share prices |
| publishDate |
2018 |
| url |
http://ndltd.ncl.edu.tw/handle/3jp762 |
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