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应用小波分析改善简单移动平均线技术分析的投资绩效-以台湾证券市场为例

【中文摘要】:本研究以台湾证券市场为研究市场,主要探究是否可以将小波分析的良好的
去噪功能应用在证券投资上。由于技术分析在使用上时常出现假交易讯号的问题,使得使用技术分析的投资人容易误判作多策略与放空策略的买卖时机,造成亏损,而利用小波分析的去噪功能,可以将造成假讯号的高频讯号或称杂讯给予消除,进而提升技术分析投资人对作多策略与放空策略的买卖时机的準确性。

本研究选择以简单移动平均线(Simple Moving Averag

szwox.com_018
e)为基础的作多策略与放空策略,在确认利用小波分析可以提升作多策略与放空策略的投资绩效后,进一步使用田口方法,找出在本研究对台湾证券市场股票的分类下各组别最合适的短期、中期简单移动平均线的天数,以利于在实际操作将报酬率最大化。

经由本研究的实证结

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果如下:
(1)使用小波分析能大幅提升基于简单移动平均线的作多策略与放空策略的投
资绩效。
(2)使用田口方法找出最佳化的短期、中期简单移动平均线的天数。
(3)经由统计找出可以获得最多平均报酬率的台湾加权指数的区间。
(4)在本研究的投资方式架构下,ETF(Exchange Traded Funds)类型整体来
说投资绩效优于个别股票。
【英文摘要】:In this study, The author choose Taiwan stock market as the

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research market, mainly discuss about whether can use the function of well denoising of wavelet analysis in investment securities. Due to the problem of fake trading signal by using technical analysis, therefore, the investor who use technical analysis can easily make a wrong diagnosis about the deal timing of long strategy and short strategy and also loss. By using the function of denoising of wavelet analysis, that will eliminate the high frequency signal (white noise) which is a fake signal. To improve the accuracy of the deal timing of long strategy and short strategy by investors who are using technical analysis.

In this study, the research is based on long strategy and short strategy by simple moving average. After having confirmed that use wavelet analysis can significantly improve investment performance, further use taguchi method to find out the number of days of optimal short-term or medium-term’s simple moving average which is under Taiwan”s stock market, to make the maximize of return in practice.

(1)Use wavelet analysis can significantly improve investment performance which is
based on long strategy and short strategy by simple moving average.

(2)Use taguchi method to find out the number of days of optimal short-term or
medium-term’s simple moving average.

(3)Use statistics can find the interval of Taiwan weighted index that can achieve the
most return on investment.

(4)In the framework of this study into investment methods, ETF’s (Exchange
Traded Funds)overall investment performance is better than other individual stocks.
【参考文献】:

  • 中文书籍:
  • 李辉煌 民97。田口方法-品质设计的原理与实务。新北市:高立。
  • 渡部义晴 民100。田口方法的应用。台北市:鼎茂图书。
  • 葛罗斯 民98。葛兰碧八大法则。新北市:经史子集。
  • 涩谷道雄 民98。世界第一简单傅立叶分析。台北县新店市:世茂。
  • 中文文献:
  • 王哲, 王春峰, 愿培亮 1999。小波分析在股市数据分析中的应用。Journal of
  • Systems Engneering。Vol. 14 No. 3。
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  • Statistics and Managment。Vol. 25, No.2。
  • 兰秋军, 马超群, 文凤华 2004。金融时间序列去噪的小波变换方法。Science and
  • Technology Management Research。No.6。
  • 英文书籍:
  • Biswal, Pratap Chandra 2011。An analysis of stock prices in India: wavelets and spectral applications。University of Hyderabad。
  • Ingrid Daubechies 1992。Ten Lectures on Wavelets。Society for Industrial and Applied Mathematics。
  • 英文文献:
  • A. Boggess, F.J. Narcowich 2001。A Fcourse in Wavelets with Fourier Analysis。
  • David L. Donoho, Iain M. Johnstone 1994。Ideal Spatial Adaptation by Wavelet Shrinkage。Biometrika Trust。Vol. 81, No. 3, pp. 424-455。
  • Donoho, D.L. 1995。De-noising by soft-thresholding。IEEE Trans. on Inf. Theory, 41, 3, pp. 613–627
  • Francis In,Sangbae Kim 2006。The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis。The Journal of Business。Vol. 79, No. 2, pp.799-820。
  • Haar, Alfréd 1910。Zur Theorie der orthogonalen Funktionensysteme。Mathematische Annalen。
  • Stephane G. Mallat 1989。A Theory for Multiresolution Signal Decomposition : The Wavelet Representation。IEEE Transactions on Pattern Analysis and Machine Intelligence。Vol. 11, NO. 7。
  • Stephane G. Mallat 1989。Multifrequency Channel Decompositions of Images and Wavelet Modeals。IEEE Transactions on Acoustics Soeech and Signal Processing。Vol. 37, No. 12。
  • Stephane G. Mallat 1999。A Theory for Multiresolution Signal Decomposition : The Wavelet Representation。IEEE Transactions on Pattern Analysus and Machine Intelligence。Vol. 11, No. 7。
  • Taguchi, G. 1986。introduction to quality engineering:designing quality into products
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  • Taquchi, G. 1987。Orthogonal Arrays and Linear Graphs : Tools for Quality Engineering。American Supplier Institute。Inc.。
  • Taquchi, G. 1987。System of Experimemtal Design : engineering Methods to Optimize Quality and Minimize Costs。Volume one。UNIPUB。
  • Taquchi, G. 1992。Taquchi on Robust Technology Development : Bringing Quality : Bringing Quality Engineering Upstream 。ASME Press。
  • Taquchi, G. Konishi, S., and Wu, Y. 1993。Quality Engineering Series。Vol. 1。Taguchi Methods。Design of Experiments。ASI。
  • Taquchi, G., Konishi, S., and Wu, Y. 1992。Quality Engineering Series。Vol. 1。Taguchi Methods。Research and Development。ASI。
  • Taquchi, G., Konishi, S., and Wu, Y. 1994。Quality Engineering Series。Vol. 2。Taguchi Methods。On-Line Production。ASI。
  • 网路资料:
  • 技术分析。葛碧兰八大法则。【部落格文字资料】。取自http://stock-technology.bl
  • ogspot.tw/2010/02/blog-post.html。
  • 维基百科自由的百科全书。小波转换。取自http://zh.wikipedia.org/wiki/

来源:中山大学;作者:张彦强
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