An Application of Particle Swarm Optimization to Simulate Price Fluctuation of the Financial Product
| Autor: | Hao-Wei Li, 李晧維 |
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| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 This study attempts to propose an artificial intelligence model to simulate the price fluctuation of the financial product. For the characteristic of particle swarm optimization (PSO) algorithm, the movement of each particle could be used to simulate the product price fluctuation. Furthermore, according to the outcome of the proposed model, Taiwan Weighted Stock Index and Futures of Taiwan Weighted Stock Index are applied to make cross-table analysis, evaluation and comparison. With are the major parts in this research. First, the literature review focused on the product price fluctuation in financial markets. The primarily results have been obtained that some relationship between the trading price and volume. Besides, some preliminary discussion shows two viewpoints. One is that the information of transaction price should be influenced by spot and futures. As for the second part, the product price fluctuation has become to be focused on for the financial markets. After that, the following steps combine the characteristic of PSO algorithm and the mentioned concept of price fluctuation to build the simulation model. Finally, the experimental results employ the following description: 1. By the Granger-causality analysis, the outcomes shows that the short-term price fluctuation the simulation outcome leads the 50 stocks information from TW 50 ETF even the spot price of Taiwan Weighted Stock Index and the Future of Taiwan Weighted Stock Index (that is said the price discovery). 2. Moreover, according to the results of experiments, the proposed model indeed is able to be simulated the product price fluctuation in the financial markets. In the summary, the two parts are the major contributions of this research. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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