行動ファイナンスに基づくデリバティブ取引のGP最適化モデル
行動ファイナンスに基づくデリバティブ取引のGP最適化モデル
カテゴリ: 論文誌(論文単位)
グループ名: 【C】電子・情報・システム部門
発行日: 2012/03/01
タイトル(英語): Derivative Trade Optimizing Model Utilizing GP Based on Behavioral Finance Theory
著者名: 松村 幸輝(鳥取大学大学院工学研究科),河元 勝(富士通(株)金融ソリューションビジネスグループ)
著者名(英語): Koki Matsumura (Graduate school of Engineering, Tottori University), Masaru Kawamoto (FUJITSU LIMITED)
キーワード: 行動ファイナンス,遺伝的プログラミング,デリバティブ,オプション取引,プロスペクト理論,最適化モデル Behavioral Finance,Genetic Programming,Derivative,Option Trade,Prospect Theory,Optimizing Model
要約(英語): This paper proposed a new technique which makes the strategy trees for the derivative (option) trading investment decision based on the behavioral finance theory and optimizes it using evolutionary computation, in order to achieve high profitability. The strategy tree uses a technical analysis based on a statistical, experienced technique for the investment decision. The trading model is represented by various technical indexes, and the strategy tree is optimized by the genetic programming(GP) which is one of the evolutionary computations. Moreover, this paper proposed a method using the prospect theory based on the behavioral finance theory to set psychological bias for profit and deficit and attempted to select the appropriate strike price of option for the higher investment efficiency. As a result, this technique produced a good result and found the effectiveness of this trading model by the optimized dealings strategy.
本誌: 電気学会論文誌C(電子・情報・システム部門誌) Vol.132 No.3 (2012) 特集:エネルギーハーベスティングと無線電力伝送
本誌掲載ページ: 455-466 p
原稿種別: 論文/日本語
電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejeiss/132/3/132_3_455/_article/-char/ja/
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