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| 研究生： |
楊文熙 Wen-Hsi Yang |
|---|---|
| 論文名稱： |
股票變化之穩健預測 |
| 指導教授： |
陳玉英
Yu-Ying Chen |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
理學院 - 統計研究所 Graduate Institute of Statistics |
| 畢業學年度： | 91 |
| 語文別： | 中文 |
| 論文頁數： | 51 |
| 中文關鍵詞： | 經驗振協分解 |
| 外文關鍵詞： | IMF, EMD |
| 相關次數： | 點閱：8 下載：0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
摘要
本文研究股票指數及股票報酬率的預測。由於上述資料屬於非平穩(nonstationary)非線性(nonlinear)時間數列，本文首先參考Huang et al. (1998)提出的經驗協振分解(empirical mode decomposition，記作EMD)，取用其中變化量較大的數個本質協振函數(intrinsic mode function，記作IMF)，描述上述時間數列。然後藉由配適資料預測未來數值。本文分析的資料除台灣的加權平均股票變化，亦包含美國高科技的那斯達克指數(Nasdaq index)及道瓊工業指數(Dow Jones industrial average index)的變化。
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參考資料
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