參考文獻 |
[李安邦,民86] 李安邦,「以遺傳演算法為基底的模糊專家系統於投資策略之應用」,元智大學管研所碩士論文,民八十六年。
[李卿企,民86] 李卿企,「以基因演算法探討國際投資組合策略之研究」, 國立政治大學國際貿易學系研究所碩士論文,民國八十六年。
[黃德順,民87] 黃德順,企業財務分析-企業價值的創造及評估,初版,華泰文化事業公司,民國八十七年。
[杜金龍,民87] 杜金龍,技術指標在台灣股市應用的訣竅,金錢文化,民國八十七年。
[鄧紹勳,民88] 鄧紹勳,「遺傳演算法於股市擇時策略之研究」,中央大學資訊管理研究所碩士論文,民國八十八年。
[吳秉奇,民88] 吳秉奇,「類神經網路在台灣證券交易所股價指數期貨的預測應用統」,國立中央大學資訊管理研究所碩士論文,民國八十八年。
[曾思博,民88] 曾思博,「類神經網路於股價預測與資金之配置應用」,中央大學資訊管理研究所碩士論文,民國八十八年。
[江義玄,民89] 江義玄,「投資組合之風險評價:新模擬方法的應用」,國立政治大學企業管理學系碩士論文,民國八十九年。
[張桂莉,民89] 張桂莉,「資產配置之最適策略」,國立政治大學企業管理學系研究所碩士論文,民國八十九年。
[楊孟龍,民89] 楊孟龍,「類神經網路於股價波段預測及選股之應用」,中央大學資訊管理研究所碩士論文,民國八十九年。
[張振魁,民89] 張振魁,「以類神經網路提高股票單日交易策略之獲利」,中央大學資訊管理學系研究所碩士論文,民國八十九年。
[林萍珍,民89] 林萍珍、陳稼興、林文修,「遺傳演算法在使用者為導向的投資組合選擇之應用」, 資訊管理學報,第七卷,第一期,2000年7月,155-171。
[賴俊宇,民89] 賴俊宇,上櫃電子業經營績效分析-資料包絡分析法之應用,銘傳大學管理科學研究所碩士論文,民國八十九年。
[游耀宗,民90] 游耀宗,「投資組合資產配置策略之研究-左偏動差模型之應用」,銘傳大學金融研究所碩士論文,民國九十年。
[宋孝聖,民90] 宋孝聖,「台灣上市股票投資組合選取與績效評估 ─ Sharpe 指標之VaR 形式應用」,銘傳大學金融研究所碩士論文,民國九十年。
[方國榮,民90] 方國榮,證券投資最適決策指標之研究,台灣大學商學研究所碩士論文,民國九十年。
[陳正榮,民90] 陳正榮,以濾嘴法則檢驗台灣股票市場弱式效率性之研究,高雄第一科技大學財務管理研究所碩士論文,民國九十年。
[林耀堂,民90] 林耀堂,遺傳程式規劃於股市擇時交易策略之研究,中央大學資訊管理學系碩士論文,民國九十年。
[謝劍平,民90] 謝劍平,現代投資學─分析與管理,智勝文化,民國九十年。
[陳共,民90] 陳共、周升業、吳曉求,證券投資分析,五南圖書出版公司,民國九十年。
[藍心梅,民90] 藍心梅,會計基礎評量模式在台灣股市適用性之研究,中原大學會計研究所碩士論文,民國九十年。
[趙永昱,民91] 趙永昱,技術分析交易法則在股市擇時之實證研究,中山大學財務管理研究所碩士論文,民國九十一年。
[陳伯仁,民91] 陳伯仁,證券交易策略發掘,中央大學資訊管理研究所碩士論文,民國九十一年。
[郭素菱,民91] 郭素菱,機構投資人與財務報表攸關性之研究,成功大學會計研究所博士論文,民國九十一年。
[陳冠宏,民92] 陳冠宏,我國上市及上櫃電子公司股票評價之研究-以盈餘及財務比率分析,國立東華大學公共行政研究所碩士論文,民國九十二年。
計研究所碩士論文,民國九十年。
[李良俊,民92] 李良俊,台灣股票市場技術分析有效性之研究,實踐大學企業管理研究所碩士論文,民國九十二年。
[吳詩敏,民94] 吳詩敏,組合編碼遺傳演算法於投資策略資金分配之應用,中央大學資訊管理研究所碩士論文,民國九十四年。
[Allen, 1999] Allen, F. and Karjalainen R. ,“Using genetic algorithms to and technical trading rules,” Journal of Finanical Economics, Vol. 51, 1999, pp. 245-171.
[Andrews, 1986] Andrews, C., Ford, D. and Mallison, K., “The Design of Index Fund and Alternative Methods of Replication,” The Investment Analyst, Vol. 82, 1986, pp. 13-16.
[Baruch, 1976]Lev, Baruch, “Efficient Capital Markets and Accounting: A Critical Analysis (Book Review),” Journal of Finance, 1976, Vol. 31, No. 5, pp. 1537-1538.
[Bauer, 1994] Bauer Jr. and R.J., Genetic Algorithms and Investment Strategies, John Wiley & Sons, 1994, pp. 103-213.
[Bauer, 1999] R.J. Bauer, and J.R. Dahlquist, Technical Market Indicators, John Wiley & Sons, 1999.
[Booker, 1987] Booker, L., “Improving Search in Genetic algorithms,” in Davis, L. (Editor), Genetic Algorithms and Simulated Annealing, 1987.
[Bohan, 1981] Bohan, J., “Relative Strength: Further Positive Evidence,” The Journal of Portfolio Management, 1981, pp36-39.
[Brealey, 2000] Brealey, Richard A. and Stewart C. Myers. Principles Of Corporate Finance, sixth Edition. McGraw-Hill Higher Companies,2000.
[Brock, 1952] Brock, W., Josef, L. and Blake, L., “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,” Journal of Finance, Vol. 47, 1992, pp.1731-1764.
[Chen, 2006] J.S. Chen and J.L. Hou. “A Combination Genetic Algorithm with Applications on Capital Allocation,” Lecture Notes in Computer Science (IEA/AIE 2006), August 2006.
[Chi, 1999] Sheng-Chi Chi, Hung-Pin Chen, Chun-Hao Cheng, “A forecasting approach for stock index future using grey theory and neural networks,” Neural Networks, 1999.
[Colby, 2002] Colby, R. W., The Encyclopedia of Technical Market Indicators, 2nd Edition, 2002, McGraw-Hill
[Cook, 1971] Cook, S., “The Complexity of Theorem-Proving Procedures,” Proc ACM Symp Theory of Computing, 1971, pp. 151-158.
[Cooper, 1974] Cooper, Richard V. L., “Efficient Capital Markets and the Quantity Theory of Money,” Journal of Finance, Jun74, Vol. 29 Issue 3, p887-908.
[Davis, 1989] Davis, L., “Adapting Operator Probabilities in Genetic Algorithms,” In Proceeding of the 3rd International Conf. on Genetic algorithms, 1989, pp. 61-70.
[Davis, 1985] Davis, L., “Job Shop Scheduling with Genetic Algorithms,” In Proceeding of an International Conference on Genetic Algorithms and Their Application, 1985, pp. 136-140.
[Darwin, 1859] Darwin , Charles. On the Origin of Species by Means of Natural Selection, or the Preservation of Favoured Races in the Struggle for Life. University of Virginia Library, 1859.
[Dess, 1989] Dess,G. C. and R. B. Robinson, “Measuring Organizational performance in the absence of objective measures,” Strategic Management Journal, 1989, pp.667-695.
[Fama, 1970] Eugene.F. Fama, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, Vol. 25, 1970, pp.383-417.
[Fama, 1991] Fama, Eugene F., “Efficient Capital Markets: II,” Journal of Finance, Dec. 1991, Vol. 46 Issue 5, pp.1575-1617.
[Feltham, 1995] Feltham, G. A., and J. A. Ohlson, “Valuation and clean surplus accounting for operating and financial activities,” Contemporary Accounting Research, 1995, Vol. 11, pp. 689-731.
[Feltham, 1996] Feltham, G. A., and J. A. Ohlson, “Uncertainty resolution and the theory of depreciation measurement,” Journal of Accounting Research, 1996, Vol.34, pp.209-234.
[Fernandez, 2007] Fernandez, A., and Gomez, S., “Portfolio selection using neural networks,” Computers and Operations Research, 2007, Vol.34, pp.1177-119.
[Gencay, 1998] Gencay, R. and Thanasis, S., “Moving Average Rules, Volume and the Predictability of Security Returns with Feedforward Networks,” Journal of Forecasting, Vol. 17, 1998, pp. 401-414.
[Gold, 1999] Gold, S. and Lebowitz, P., “Computerized Stock Screening Rules for Portfolio Selection,” Financial Service Review, 1999, Vol.8, pp. 61-70.
[Goldberg, 1985] Goldberg, D.E. and Lingle, R., “Alleles, Loci, and the Traveling Salesman Problem,” In Proceeding of an International Conference on Genetic Algorithms and Their Application, 1985, pp. 154 -159.
[Goldberg, 1994] Goldberg, D.E., “Genetic and Evolutionary Algorithms Come of Age,” Communications of the ACM, Vol. 37, 1994, pp. 2-3.
[Goldberg, 1989] Goldberg, D.E., Genetic Algorithms in Search, Optimization and Machine Learning, Addison Wesley, 1989.
[Gondzio, 2007] Gondzio, J., Grothey, A., “Solving non-linear portfolio optimization problems with the primal-dual interior point method,” European Journal of Operational Research, Vol. 181 (3), 2007, pp. 1019-1029.
[Holland, 1975] Holland, J. H., Adaptation in Natural and Artificial Systems, Ann Arbor: The University of Michigan Press, 1975.
[Horowitz, 1993] Horowitz, Ellis, Sahni, Sartaj and Anderson-Freed, Susan, Fundamentals of Data Structures in C, 1993, Computer Science Press.
[Huang, 2008]Huang, X., “Portfolio selection with a new definition of risk.,” European Journal of Operational Research, Apr. 2008, Vol. 186 Issue 1, pp. 351-357.
[Ince,2006] Ince, H., Trafalis, T. B., “Kernel methods for short-term portfolio management,” Expert Systems with Applications, Vol. 30, 2006, pp. 535-542.
[Jang, 1993] Jang, G.S., Lai, F. and Parng, T.M., “Intelligent Stock Trading Decision Support System Using Dual Adaptive-Structure Neural Networks,” Journal of Information Science and Engineering, 1993, pp. 271-297.
[Josa-Fombellida, 2008] Josa-Fombellida, R. and Rincón-Zapatero, J. P., “Mean–variance portfolio and contribution selection in stochastic pension funding.,” European Journal of Operational Research, 2008, Vol. 187, pp. 120-137.
[Karp, 1972] Karp, R. “Reducibility Among Cominatorial Problems,” Complexity of Computer Computations, Plenum press, 1972, pp. 85-104.
[Kimoto, 1990] Kimoto, T.; Asakawa, K.; Yoda, Morio. and Takeoka, M. “Stock Market Prediction System with Modular Neural Networks,” In Proceeding of the 1990 IJCNN International Joint Conference, 1990, Vol. 1, pp. 1-6.
[Kirkpatrick, 2006] Kirkpatrick, Charles D. and Dahlquist, Julie R., Technical Analysis: The Complete Resource for Financial Market Technicians, Aug 2006, FT Press.
[Korczak, 2002] Korczak, J and Roger P. “Stock timing using genetic algorithms,” Applied Stochastic Models in Business and Industry, 2002, Vol. 18, pp. 121-134.
[Koza, 1990] Koza, J. R., Genetic programming: A paradigm for genetically breeding populations of computer programs to solve problems, 1990, Tech. Rep. STAN-CS-90-1314, Computer Science Deaprtment, Standford University.
[Koza, 1992] Koza, J. R., Genetic Programming: On the Programming of Computers by Means of Natural Selection, 1992, MIT Press.
[Koza, 1994a] Koza, J. R., Genetic Programming II: Automatic Discovery of Reusable Programs, 1994, The MIT Press.
[Koza, 1994b] Koza, J. R., Introduction to genetic programming. In: Kinnear, K. J. (Ed.), Advances in Genetic Programming, 1994, MIT Press, pp. 21–42.
[Lam, 2004] Lam, M.,“Neural network techniques for financial performance prediction: integrating fundamental and technical analysis,” Decision Supoport Systems, Vol. 37, 2004, pp. 567-581.
[Lee, 1997] Lee, C.F., Finnerty J.E. and Norton E.A., Foundations of Financial Management, WEST, 1997.
[Leinweber, 1990] Leinweber, D.J. and Arnott, R.D., “Quantitative and Computational Innovation in Investment Management,” Journal of Portfolio Management, Vol. 21-2, 1990, pp. 8-15.
[LeRoy, 1976] LeRoy, Stephen F., “Efficient Capital Markets: Comment,” Journal of Finance, Mar. 1976, Vol. 31 Issue 1, p139.
[Li, 2006] Li, J., Shi, Z. and Li, X., “Genetic programming with wavelet-based indicators for financial forecasting.,” Transactions of the Institute of Measurement and Control, 2006, Vol. 28, p285-297.
[Li, 2008] Li, H. L. and Tsai, J. F., “A distributed computation algorithm for solving portfolio problems with integer variables.,” European Journal of Operational Research, Apr. 2008, p882-891.
[Lin, 2005] Lin, D., Li, X.M. and Li, M.Q., “A genetic algorithm for solving portfolio optimization problems with transaction costs and minimum transaction lots.,” Advances in Natural Computation, Proceedings Lecture Notes in Computers Science, Vol.3612, 2005, p.p. 808-811.
[Luenverger, 1998] Luenverger, D.G., Investment Science, Oxford University Press, 1998.
[Markowitz, 1952] Markowitz, H.M., “Portfolio Selection,” Journal of Finance, Vol. 7, 1952, pp. 77-91.
[Markowitz, 1999] Markowitz, H.M., “The Early History of Portfolio Theory: 1600-1960,” Financial Analysts Journal, 1999, pp. 5-16.
[Myers, 1999] Myers, J. N., “Implementing residual income valuation with linear information dynamics,” The Accounting Review, 1999, Vol.74, pp.1-28.
[O'Connor, 2006] O'Connor, N. and Madden, M., “A neural network approach to predicting stock exchange movements using external factors,” Knowledge-Based Systems, Vol. 19(5), 2006, pp.371-378.
[Oh, 2005] Oh, K. J., Kim, T. Y. and Min, S., “Using genetic algorithm to support portfolio optimization for index fund management,” Expert Systems with Applications, Vol. 28 (2), 2005, pp.371-379.
[Oh, 2006] Oh, K. J., Kim, T. Y., Min, S. H., Lee, H. Y., “Portfolio algorithm based on portfolio beta using genetic algorithm,” Expert Systems with Applications, Vol. 30 (3), 2006, pp.527-534.
[Ohlson, 1995] Ohlson, J. A., “Earning, book value, and dividends in equity valuation,” Contemporary Accounting Research, 1995, 11(2):661-687.
[Packard, 1987] Packard, N.H., “A Genetic Learning Algorithm for the Analysis of Complex Data,” Complex System, Vol. 4, 1987, pp. 543-572.
[Park, 2007] Park, C.H. and Irwin, S. H., “What do we know about the profitability of technical analysis?,” Journal of Economic Surveys, Vol. 21, 2007, pp. 786-826.
[Potvin, 2004] Potvin J., Soriano P. and Vallee M., “Generating trading rules on the stock markets with genetic programming,” Computers and Operatoions Research, Vol. 31, 2004, pp. 1033-1047.
[Qi, 2006] Qi, M. and Wu, Y., “Technical trading-rule profitability, data snooping, and reality check: Evidence from the foreign exchange market,” Journal of Money Credit and Banking, Vol. 38, 2006, pp. 2135-2158.
[Richard, 1998] Bauer, Richard J. Jr. and Dahlquist, Julie R., Technical Market Indicators Analysis & Performance, Nov. 1998, Wiley.
[Roberts, 2004] Roberts, M.C., “Technical analysis and genetic programming: Constructing and testing a commodity portfolio,” Journal of Futures Markets, Vol. 25, 2005, pp. 643-660.
[Sehgal, 2002]S. Sehgal, A. Garyhan, “Abnormal Returns Using Technical Analysis: the Indian Experience,” Finance India, Vol. 16, No.1, 2002, pp.181-203.
[Sharpe, 1963] Sharpe, W. F., “A Simplified Model for Portfolio Analysis,” Management Science, Vol. 9, 1963, pp. 277-293.
[Sharpe, 1964] Sharpe, W.F., “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, Vol. 19, 1964, pp. 425-442.
[Smith, 1985] Smith, D., “Bin Packing with Adaptive Search,” In Proceeding of an International Conference on Genetic Algorithms and Their Application, 1985, pp. 202-206.
[Srinivas, 1994] M. Srinivas and M. P. Lalit, “Genetic Algorithms: A Survey ,” IEEE Computer, Vol.27, 1994, pp.18-20.
[Syswerda, 1989] Syswerda, G., “Uniform Crossover in Genetic Algorithms,” In Proceedings of the Third International Conference on Genetic Algorithms, J. Schaffer (ed.), Morgan Kaufmann, 1989, pp. 2-9.
[Tanaka, 2000] Tanaka, H., Guo, P. and Turksen, I.B., “Portfolio Selection Based on Fuzzy Probabilities and Possibility Distributions,” Fuzzy Sets and Systems, Vol. 111, 2000, pp. 387-397.
[Thawornwong, 2003] S. Thawornwong, D. Enke, and C. Dagli “Neural Networks as a Decision Maker for Stock Trading: A Technical Analysis Approach,” Journal of Smart Engineering Systems Design, 2003, pp.1-13.
[Trippi, 1996] Trippi, R.R. and Lee, J.K., Artificial Intelligence in Finance & Investing, IRWIN, 1996.
[Vickery, 1991] Vickery, S., “A theory of performance competence revisited,” Decision Science, 1991, pp. 635-643.
[Wade, 1996] Wade, Rahima C. and Yarbrough, D.B., “Portfolios: A Tool for Reflective Thinking in Teacher Education?,” Teaching & Teacher Education, Vol. 12, 1996, pp. 63-79.
[Wang, 2000] Wang, J., “Trading and hedging in S&P 500 spot and futures markets using genetic programming,” JOURNAL OF FUTURES MARKETS, Vol. 20, 2000, pp. 911-942.
[Wu, 2007] Wu, M. C., Chang, W. J., “A short-term capacity trading method for semiconductor fabs with partnership,” Expert Systems with Applications, Vol. 33(2), 2007, pp. 476-483.
[Xia, 2000] Xia, Y.; Liu, B., Wang, S. and Lai, K. K., “A model for portfolio selection with order of expected returns,” Computer & Operations Research, 2000, pp. 409-422.
[Yu, 2008] Yu, L.; Wang, S. and Lai, K. K., “Neural network-based mean-variance-skewness model for portfolio selection,” Computer & Operations Research, 2008, pp. 34-46.
[Zapranis, 2006] Zapranis, A., “Testing the random walk hypothesis with neural networks,” Artificial Netural Networks- ICANN 2006, PT 2 Lecture Notes in Computer Science, 2006, pp. 664-671.
[Zhang, 2004] Zhang, Y.L. and Hua, Y., “Portfolio optimization for multi-stage capital investment with neural networks,” Advances in Neural Networks - ISNN 2004, PT 2 Lecture Notes in Computer Science, Vol. 3174, 2004, pp. 982-987. |