博碩士論文 954203045 詳細資訊

姓名 吳昀錚(Yun-Cheng Wu)  查詢紙本館藏   畢業系所 資訊管理學系
論文名稱 利用文字探勘技術預測台股加權指數之漲跌趨勢
(Predicting the Trend of Taiwan Weighted Stock Index with Text Mining Techniques)
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摘要(中) 一直以來,股票價格的趨勢預測都是個令人感興趣的議題。如果投資人能夠事先得知股票價格的漲跌趨勢,那麼他們將能夠順利的從股票市場當中獲利。然而,人類的行為相當難以掌握,因此,想要準確的預測其趨勢是非常困難的。過去,在此議題的研究上,大多採用技術分析以及基本分析這兩種分析方法。但是,這兩種方法都只提供長期的股票投資策略,而忽略了由財經新聞所引起的短期股市變動。
摘要(英) Stock price trend forecasting is an interesting topic. If investors can master stock price trend in advance, they will gain profit efficiently. However, no method can predict the trend accurately because human behavior is quite difficult to understand. In the past, many studies work on the topic by adopting fundamental and technical analysis. Nevertheless, both of the two trading analyses ignore the influence of short-term stock market movement caused by financial news, but only research into long-term forecasting.
In this paper, we aim to predict the movement of whole Taiwan stock market by utilizing text mining. We develop a system to classify on-line financial news articles. The classification results can decide our trading strategies, and then the performance of our system is evaluated by investing Taiwan Weighted Stock Index (TWSI).
The results reveal that our system can earn an average return of 5.4% per month, and additionally, the system has statistically the higher average return than the certificate of deposit (CD) rate (α = 0.05). Therefore, we argue that the trading strategies provide by our system are valuable for the short-term investors.
關鍵字(中) ★ 股票
★ 台灣股票加權指數
★ 分類
★ 文字探勘
★ 短期
關鍵字(英) ★ Text Mining
★ Classification
★ Taiwan Weighted Stock Index
★ Stock
★ Short-Term
論文目次 Contents
List of Figures ii
List of Tables iii
1.Introduction 1
2.Related Work 3
2.1.Text Mining 3
2.1.1.Preprocessing 3
2.1.2.Feature Selection 4
2.1.3.Word Weighting 6
2.1.4.Classifying 7
2.2.Stock Price Trend Forecasting with Text Mining Techniques 9
3.System Design 13
3.1.Training Phase 14
3.2.Test Phase 16
4.Experimental Design and Results 18
4.1.Experimental Design 18
4.2.Experimental Results 20
5.Conclusions and Future Directions 24
References 25
參考文獻 References
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[17]W.-Y. Ma and K.-J. Chen, "Introduction to CKIP Chinese Word Segmentation System for the First International Chinese Word Segmentation Bakeoff," Proceedings of the Second SIGHAN Workshop on Chinese Language Processing, vol. 17, pp. 168-171, Sapporo, Hokkaido, Japan, 2003.
[18]Y. Yang and J. O. Pedersen, "A Comparative Study on Feature Selection in Text Categorization," Proceedings of the Fourteenth International Conference on Machine Learning, pp. 412-420, Nashville, TN, USA, 1997.
指導教授 周世傑(Shih-Chieh Chou) 審核日期 2008-7-17
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