論文提要：
技術分析雖早已廣被實務界所應用，但近年來才漸漸被學術界所重視。許多實證皆指出技術分析在短期內確實可以獲利，但其憑藉的是不斷的積極操作而在一段時間內檢視其獲利情況。如此一來，交易成本必定不可忽略。本文的目的在於透過基本分析與技術分析各建構其類神經網路在進行相互參照，再以相互參照之結果作為決策，進行新台幣與美元部位間的轉換，並求降操作次數以降低成本增加獲利。

Neural Networks

第一章 緒論
第一節 研究背景與動機 P01
第二節 研究目的 P01
第三節 研究範圍與對象 P01
第二章 文獻探討
第一節 基本分析 P02
第二節 技術分析 P09
第三節 類神經網路 P12

第三章 模型設計
第一節 類神經網路 P13
第二節 演算法 P15
第三節 網路架構 P19
第四節 輸入變數 P21
第五節 網路鏈結 P22
第六節 最適參數 P24
第七節 執行方式 P25
第八節 學習效果 P26

第四章 研究方法
第一節 研究基本概念 P27
第二節 建立模型 P30
第三節 取樣設計 P35
第四節 績效評估 P36

第五章 執行結果分析
第一節 訓練結果 P37
第二節 測試結果 P40
第三節 結果分析 P43

第六章 結論與建議
第一節 結論 P45
第二節 研究貢獻 P46
第三節 後續研究之建議 P47


附圖 P49
參考文獻 P52

參考文獻
中文部分
1.葉怡成，”類神經網路模式應用與實作”，儒林圖書有限公司。
2.陳建文(1994)，”技術指標應用於外匯投資之獲利性檢定”，國立台灣大學財務金融學研究所碩士論文。
3.王玉玲(1996)，”外匯期貨之價格預測與理財策略類神經網路之應用”，國立中央大學財務管理研究所碩士論文。
4.李志宏(1996)，”倒傳遞類神經網路與自我回歸整合移動平均、計量分析即遠期匯率模式在匯率預測績效上之比較’，
國立成功大學會計學研究所碩士論文。
5.陳榮梓(1997)，”提高外匯投資績效決策之研究-應用類神經網路與技術指標”，國立中興大學企業管理研究所碩士論文。
英文部分
Books:
1.Azoff,Michael,”Neural Network Time Series Forecasting of
Financial Markets”,John Wiley and Sons.
2.Joey,”Object-Oriented Neural Networks in C++”,Academic Press,Inc.
3.Michael R. Rosenberg,”Currency Forcasting:methods and models for predicting exchange rate movements”,McGraw-
Hill.
4.Martin T. Hagan,Howard B. Demuth,Mark Beal,”Neural Net-
Work Design”,PWS Publishing Company.
5.Simon Haykin,”Neural Networks”,Prentic Hall International
,Inc.
6.Trippi,Robert,”Neural Networks in Finance and Investing”,
Probus Publishing.
7.Valluru B. Rao,Hayagriva V. Rao,”Neural Networks & Fuzzy
Logic”,Henry Holt and Company,Inc.
8.W.L.Brogan,”Modern Contrall Theory”,3rd Ed.,Englewood
Cliffs,NJ:Prentice-Hall.

References:
1.Amari,S.,”Natural gradient works efficiently in learning”,Ne-
ural Computation,vol.10,pp257-276,1998.
2.Boser,B.,I. Guyon and V.N. Vapnik,”A training algorithm for
optimal margin classifiers”,Fith Annual Workshop on Comp-
utational Learning Theroy,pp.144-152,1992.

3. B.Widrow and R. Winter,”Neural nets for adaptive filtering and adaptive pattern recognition”,IEEE Computer Magazine,
pp.25-39,March 1988.
4. Bartlett,P.L.,”For valid generalization,the size of the weights
is more important than the size of the network”,Advances in
Neural Information Processing System,vol.9,pp.134-140,1997
5.Blundell-Wignall,Adrian and Frank Browne,”Increasing financial Market Integration,Real Exchange Rates and Macro-
economic Adjustment”,OECD Working Paper no.96,pp.387-
289,February 1991.
6.Blanchard,Oliver and Rudiger Dornbush,”U.S. Deficits,the
Dollar and the Europe”,Banca Nazionale de Lavoro Review,
pp.89-113,March 1984.
7.Branson W.H.,”Assets Markets and Relative Prices in Exch-
ange Rate Determination”,Sozialaissenschaftliches Annalen,
pp.69-89,1977.
8.Bisignano J. and Hoover K,”:Some Suggested Improvement
to a Simple Portfolio Balance Model of Exchange Determi-
nation With Special Reference”, Weltwirtscaftliches Archiv,
pp.19-37,1982.
9.Blundell-Wignall A. and P.R. Masson,”Exchange Rate Dyna-
mics and Intervention Rules”,IMF staff Papers 32,pp.32-51
March 1985.
10.Coughlin,C.C. and K. Koedijk,”What do We Know About
the Long-Run Real Exchange Rate?”,Federal Reserve Bankof
St. Louis Review 72,no1,February 1990.


11.Campbell,John Y. and Richard H.Clarida,”The Dollar and Real Interest Rates”,In Empirical Studies of Velocity,Real Exchange Rates,Unemployment and Productitivity Conferen-
ce Series 27,pp.149-215,1987.
12.D.E. Rumelhart,G.E. Hinton and R.J. Williams,”Learning
representation by back-propagation errors”,Nature,vol.323,
pp.533-536,1986.
13.Dominguez,Kathryn Mary ,”Does Sterilized Intervention In-
fluence Exchang Rate? A Test of the Signalling Hypothesis”,
Harvard University,1986.
14.Dooley Michael P. and Jeffrey Shafer,”Analysis of ShortRun Exchang Rate Behavior: March 1973-November 1981”,In Ex- change Rate and Trade Instability,Ballinger Publishing,1983.
15.E. Barnard,”Optimization for training neural nets”,IEEE Transon Neural Networks,vol.3,no.2,pp.232-240,1992.
16.Frenkel,”Purchasing Power Parity:Doctrinal Perspective and Evidence from the 1920s”,Journal of International Economics 8,no.2,pp.169-191,1978.
17.Froot,Kenneth A. and Kenneth Rogoff,”Perspective on PPP
and Long-Run Real Exchang Rates”,NBER Working Paper
no.4952,1994.
18.Frenkel,”The collapse of Purchasing Power Parities During
the 1970s”,European Economic Review,pp.145-165,1980.
19.Frenkel Jeffrey,”On the Market:A Theory of Floating Excha-
nge Rates Based on Real Interest Rate Differentials”,Americ-
an Economic Review 69,pp.610-622,September 1979.
20.Feldstein,Martin,”The Budget Deficit and the Dollar”,In Na-
tional Bureau of Economic Research NBER Marcoeconoics
Annual.Cambridge,MA:The MIT Press,1986.
21.Ghosh Artish R.,”Is it Signalling?Exchange Intervention and the Dollar-Deutschemark Rate”,Journal of International Econ-
omics 32,pp.201-220,1992.
22.Heitger,Bernhard,” Purchasing Power Parity under Flexible
Exchang Rate-The Impact of Structural Change”,Weltwirtsca-
Ftliches Archiv,pp.149-674,1987.
23.Hsieh David A.,”Testing for nonlinear Dependence in Daily
Foreign Exchange Rates”,Journal of Business 62,pp.339-368,
1989.
24.Hammerstrom D. and S. Rahfuss,”Neurocomputing hardwa-
rd: Present and future”,Swedish National Conference on Con-
nectionism,Septem 1992.
25.J.A Anderson,”A simple neural network generating an inter- active memory”,Mathematical Biosciences,vol.14,pp.197-220
,1972.
26.J.J.Hopfield,”Neural networks and physical system with em-
rgent collective computational ablities”,Proceedings of the N-
ational Academy of Science,vol.79,pp.2544-2588,1982.
27.Jacobs R.A.,”Increase rate of convergence through learning rate adaption”,Neural Networks,vol.1,pp.295-307,1988.
28.K.M.Hornik,M.Stinchcombe and H.White,”Multilayer feed-
forword networks are universal approximators,”Neural Net-
works,vol.2,no.5,pp.359-366,1989.
29.Kearney Colm and Ronald MacDonald,”Internention and
Sterilization Under Floating Exchange Rate: The U.K. 1973
-1983”,European Economic Review 30,pp.345-364,1986.
30.Kuan C.M. and Lida T.,”Forcasting Exchange Rates Using
Feedforward and recurrent Neural Networks”,Unpulished.
31.Kimoto,”Stock Market Prediction System With Modular Ne-
ural Networks” Proc. of the IEEE Inter. Conf. on Neural Networks 1,pp.1-16,199.
32.Kerns M.,”A bound on the error of cross validation using the approximation and estimation rates,with consequences for the training-test split”,Advance in Neural Information Processing
System,vol.8,pp.183-189,1996.
33.Kerlirzin P. and Fallet,”Robustness in multiplayer perceptron
“,Neural Computation,vol.5,pp473-482,1993.
34.LeCun Y.,B. Boser,J.S. Denker,D. Henderson,R.E. Howerd,
W. Hubbard and L.D. Jackel,”Handwritten digit recognition
with a back-propagation network”,Advance in Neural Infor-
mation Processing,vol.2,pp.396-404,1990a.
35.Michitaka Kosaka ,Hirotaka Mizuno ,Toshiro Sasakia,Ryuko Someya and Naryasu Hamada,”Applications of Fuzzy logic/
Neural Network to Securities Trading Decision Support Sys-
Tem”,IEEE,pp.1913-1919.,1991.
36.MacDonald,Ronald and Mark P. Taylor,”The Monetary App-
roach to the Exchange Rate:Rational Expectations,Long-Run Equilibrium and Forecasting”,IMF staff Papers 40,pp.89-107
,1993.
37.Odom M.D.,”A Neural Network Model for Bankrupt Predic-
tion”,Proc. of the IEEE Inter. Conf. on Neural Networks2,pp.
163-168,1989.
38.S. Grossberg(,”Adaptive pattern classification and universal recoding:I.Parallel development and coding of neural feature detectors”,Biological Cybernetic,vol.23,pp.121-134,1976.
39.Somanath,V.S.,”Efficient Exchange Rate Forecasts”,Journal
of International Money and Finance 5,pp.143-162,1986.
40.Schinasi,Gary J. and P.A.V.B. Swamy,”The Out-of-Sample
Forecasting Performance of Exchange Rate Models When C- oefficientsare to Vary”, Journal of International Money and F-
inance 8,no.3,pp.375-390,1989.
41.Shepherd G.M.,”The significance of real neuron architecture
for neural network simulationa”,Computational Neuroscience,
pp.82-96,1990.
42.Takagi Shinji,”On the Statistical Properties of FloatingExch-
ange Rates: A Reassessment of Recent Experience and Lite-
rture”,Bank of Japan Monetary and Economic Studies 6,no.1,
pp.61-91,May 1988.
43.Woo,Wing T.,”The Monetary Approach to Exchange Rate D-
etermination Under Rational Expectations”,Journal of Intern-
ational Economics 18.pp.1-16,1985.