{"created":"2021-03-01T06:18:13.345281+00:00","id":1641,"links":{},"metadata":{"_buckets":{"deposit":"7193ceaa-1ea9-4bd3-912b-eadc2c7b3c72"},"_deposit":{"id":"1641","owners":[],"pid":{"revision_id":0,"type":"depid","value":"1641"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00001641","sets":["6:209:271","9:233:234"]},"item_7_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"A Trading Method in FX using Evolutionary Algorithms : Extensions Based on Reverse Trend and Settlement Timing"}]},"item_7_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-03-24","bibliographicIssueDateType":"Issued"},"bibliographic_titles":[{}]}]},"item_7_date_granted_25":{"attribute_name":"学位授与年月日","attribute_value_mlt":[{"subitem_dategranted":"2011-03-24"}]},"item_7_degree_name_20":{"attribute_name":"学位名","attribute_value_mlt":[{"subitem_degreename":"修士(工学)"}]},"item_7_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"外国為替証拠金取引は取引の手軽さ, 手数料の低さなでの理由で投資家の注目を集め, その市場が拡大しつつである. 一般に利益を上げるためには投資する適切なタイミングを測り, 為替価格を予測する必要がある. そのためによく使用する方法として知られているのはテクニカル分析である. 投資家はテクニカル分析のツールであるテクニカル指標のパラメータを調節したり, 指標同士を組み合わせたりし, 取引の決定要素として使用している. しかし, 為替価格は政治的な影響, 金利差, 成長率の格差, 取引バランスなどの影響を受け, 時間と共に複雑な変動をするため困難な問題となっている. 本論文では, 遺伝的アルゴリズムと遺伝的プログラミングによってパラメータの調節や指標の組み合わせを最適化し, 高い収益力を持つトレーディングシステムを構築する手法を提案した. 提案手法の新規性は以下の通りである. 一つ目は, パラメータの最適化を指標ごとに独立に行うことで探索空間を減らし, ロバスト性を向上させること. 二つ目は, 適切な決済のタイミングを計算することで利益を上げるだけではなく損失を抑えること. 三つ目は, 逆トレンドデータによって過学習の問題を克服すること. 提案手法の有効性を示すために様々な学習方法を用いた既存の取引手法と比較した. 結果として, 提案手法はこれらの取引手法と比べ, 安定した高い収益力を持ちながら, 損失を最小限に抑えられることに成功した.","subitem_description_type":"Abstract"},{"subitem_description":"Technical analysis indicators are widely used by traders in foreign exchange (FX) markets to predict future price rates, trade timing and enhance profitability. The key issues for the profitable trading rules are the combinations of the indicators, selection of their parameters, decision of timing for a trade order and a settlement. In this paper, we present a trading system using a combination of Genetic Algorithm (GA) and Genetic programming (GP). Unlike related researches in this problem, our work contributes on three new aspects related to trading systems. First, parameters of each indicator are optimized separately to decrease search space and increase the robustness. Second, calculation of the most appropriate settlement timing to make more profit and less loss. Third, creation of a reverse trend sample by using in-sample to overcome the overfitting problem and to suppress the substantial danger of loss. To verify the effectiveness of the method, we performed simulations using real historical trading intraday data and results were compared to existing methods that use various techniques. The result indicated that our method is able to make consistent gain out-of-sample while avoiding large draw-downs and outperformed compared to the existing methods.","subitem_description_type":"Abstract"}]},"item_7_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"5293","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Badarch, Tserenchimed"}]}]},"item_7_select_21":{"attribute_name":"学位","attribute_value_mlt":[{"subitem_select_item":"master"}]},"item_7_subject_13":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"007","subitem_subject_scheme":"NDC"}]},"item_7_text_24":{"attribute_name":"研究科・専攻","attribute_value_mlt":[{"subitem_text_value":"工学系研究科電気系工学専攻"}]},"item_7_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"東京大学大学院工学系研究科電気系工学専攻"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"バダルチ, ツェレンチメデ"}],"nameIdentifiers":[{"nameIdentifier":"5292","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-05-31"}],"displaytype":"detail","filename":"37096515.pdf","filesize":[{"value":"1.3 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"37096515.pdf","url":"https://repository.dl.itc.u-tokyo.ac.jp/record/1641/files/37096515.pdf"},"version_id":"7d537ad1-b15c-4073-90b6-4e2a47cc6da6"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"thesis","resourceuri":"http://purl.org/coar/resource_type/c_46ec"}]},"item_title":"進化計算を用いた外国為替取引手法 : 逆トレンドと決済タイミングによる拡張","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"進化計算を用いた外国為替取引手法 : 逆トレンドと決済タイミングによる拡張"}]},"item_type_id":"7","owner":"1","path":["234","271"],"pubdate":{"attribute_name":"公開日","attribute_value":"2011-08-08"},"publish_date":"2011-08-08","publish_status":"0","recid":"1641","relation_version_is_last":true,"title":["進化計算を用いた外国為替取引手法 : 逆トレンドと決済タイミングによる拡張"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T03:42:59.534084+00:00"}