Research on Using Sequence Alignment Method to Analyze Co-movement of Stock Prices

• Main Authors: Tsung-Ming Hsieh, 謝聰蓂
• Other Authors: Chong-Yen Lee
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/40612631880967516580

碩士 === 中國文化大學 === 資訊管理學系 === 100 === In recent years, stock co-movement is very popular object of study, however research on the co-movement relationship between the two companies stock price is still lacking. If the two companies stock price have co-movement relationship and leading or following relationship, then according to the former's trend of stock prices performance to predict the latter trend of stock prices. In this study using sequence alignment method to explore the strength of co-movement relationship and leading or following relationship at Taiwan stock, and according to the information that Taiwan stock market 86 months of daily stock closing price, highest price, lowest price data for the study, 85% of the data is training data that used on building knowledge of the co-movement relationship and investment decisions, and the remaining data is test data that verify investment decisions of the return on investment. The phenomenon that co-movement relationship of Taiwan stock markets is exist, it is proved by this experimental results.In addition, it have different strength.Besides, by the study result of 1192 investment rules that have 1104 investment return rate is positive, indicate invest stock will have 92.62% probability to win. The study achievement have inspiring effect upon the future stock price co-movement.Investors based on this study achievement to invest can avoid investitive risk and obtain investitive profit.