标题: 台指选择权波动率指数与台湾加权指数日内分钟行为互动关系之研究
The Study of the Minutely Relationship Between VIX and TAIEX Index
作者: 林翊飞
Yih-Feei Lin
陈安斌
资讯管理研究所
关键字: 台指选择权波动率指数;自组织映射图神经网路;倒传递类神经网路;技术分析;VIX;Self-Organization Map;Backward Propagation Neural Network;Technical Analysis
公开日期: 2006
摘要: 本研究旨在探讨台指选择权波动率指数与台湾加权指数日内分钟行为之互动关系。台指选择权波动率指数可视为台湾加权指数投资人之情绪指标。当此指标升高时,即表示股市将有与现在盘面相反的走势出现。因此希望将台指选择权波动率指数与技术指标结合,尝试以编制出的台指选择权波动率指数的技术指标,置入自组织映射图神经网路与倒传递类神经网路所构成的预测系统,以人工智慧之方法学建置出台湾加权指数预测模型,以供投资大众参考。
This study aims to discuss the minutely relationship between VIX and TAIEX index. VIX could be viewed as the sentimental index of the TAIEX index options investors. When VIX raises, it means the market would have fierce inverse change. Thus, this study try to apply VIX and technical analysis , in order to calculate the technical index of VIX. Taking the technical index of VIX as input, this study combines self-organization map and backward propagation neural network to construct TAIEX index forecasting system for TAIEX index options investors as reference.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009434519
http://hdl.handle.net/11536/81696
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