An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.

碩士 === 靜宜大學 === 財務金融學系 === 99 === This study constructs investment portfolio by employing neural network methodologies, which are used to predict stock price with technical analysis indexes and institutional investors’ net trading volume. We use the electronic stocks in the FTSE TWSE Taiwan Mid-Cap...

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Main Authors:	Lin,Chihhsuan, 林志軒
Other Authors:	Lu,Chiawu
Format:	Others
Language:	zh-TW
Published:	2011
Online Access:	http://ndltd.ncl.edu.tw/handle/14419114741530820300

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spelling	ndltd-TW-099PU0003040162016-04-13T04:16:57Z http://ndltd.ncl.edu.tw/handle/14419114741530820300 An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks. 類神經網路投資策略績效之實證研究：以台灣中型100電子股為例 Lin,Chihhsuan 林志軒碩士靜宜大學財務金融學系 99 This study constructs investment portfolio by employing neural network methodologies, which are used to predict stock price with technical analysis indexes and institutional investors’ net trading volume. We use the electronic stocks in the FTSE TWSE Taiwan Mid-Cap 100 Index during 2006-2010 as a sample. Mean-Variance rules are employed to decide the weight of capital allocation. Our strategy can make a five-year cumulative return 334.1%, equivalent to annually 34.13%; and its standard deviation is reduced to only 1.25% annually. Appraising by the three major method (Jensen, Treynor and Sharpe), our strategy performs better than other similar type mutual funds in Taiwan market during the sample period, whether before or after the financial tsunami. Lu,Chiawu Lin,Chomin 盧嘉梧林卓民 2011 學位論文 ; thesis 31 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 靜宜大學 === 財務金融學系 === 99 === This study constructs investment portfolio by employing neural network methodologies, which are used to predict stock price with technical analysis indexes and institutional investors’ net trading volume. We use the electronic stocks in the FTSE TWSE Taiwan Mid-Cap 100 Index during 2006-2010 as a sample. Mean-Variance rules are employed to decide the weight of capital allocation. Our strategy can make a five-year cumulative return 334.1%, equivalent to annually 34.13%; and its standard deviation is reduced to only 1.25% annually. Appraising by the three major method (Jensen, Treynor and Sharpe), our strategy performs better than other similar type mutual funds in Taiwan market during the sample period, whether before or after the financial tsunami.
author2	Lu,Chiawu
author_facet	Lu,Chiawu Lin,Chihhsuan 林志軒
author	Lin,Chihhsuan 林志軒
spellingShingle	Lin,Chihhsuan 林志軒 An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.
author_sort	Lin,Chihhsuan
title	An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.
title_short	An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.
title_full	An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.
title_fullStr	An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.
title_full_unstemmed	An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.
title_sort	empirical study of neural network investment strategies : evidence from taiwan mid-cap 100 index electronic stocks.
publishDate	2011
url	http://ndltd.ncl.edu.tw/handle/14419114741530820300
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An empirical study of neural network investment strategies : evidence from Taiwan Mid-Cap 100 Index electronic stocks.

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