Design of Taiex Options Trading Strategy based on Neural Network and Fuzzy Theory

• Main Authors: Jui-yun Wu, 吳瑞芸
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/7w2433

碩士 === 國立臺灣科技大學 === 資訊工程系 === 100 === This thesis primarily for designing a stable profit trading strategy in Taiex based on Neural Network and Fuzzy Theory. By using different technical indices like MTM, BIAS, OSC, RSI and WRSI creates a lot of combinations. Through the neural network to calculate the index of the right weight, and then using a fuzzy inference, and using risk analysis to configure position including bull put spreads and bear call spreads. After that, we can analyze the different technical index by the differences of the profit index. Finally, experimental results regardless of the technical indicators will have a stable profit performance, but fell easily lost, resulting in decreased overall performance.