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Mc lc Ni dung Chng 1: Gii thiu mt s phng php phn tch - d bo th trng chng khon bng phng php nh lng

1. Mt s k thut p dng cho bi ton d bo 2. C s l thuyt v phn tch - d bo bng phng php nh lng 3. Cc k thut khai ph d liu Chng 2: C s l thuyt v phn tch - d bo bng phng php nh lng 1. Gii thiu 2. Cc ch s quan trng trong phn tch k thut 3. Thut ton khai ph lut kt hp da trn i s gia t 4. M hnh d bo Chng 3: Phn tch thit k chng trnh 1. Kho st mt s phn mm phn tch chng khon 2. Phn tch yu cu ngi dng 3. Phn tch thit k Chng 4: Hng dn s dng Ti liu tham kho Trang 2 3 4

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Chng 1 Gii thiu mt s phng php phn tch d bo th trng chng khon bng phng php nh lng

Theo mt s kt qu nghin cu bc u cho thy phng php nh lng hon ton c th p dng phn tch - d bo i vi th trng Vit Nam.S dng phng php nh lng phn tch - d bo th trng kh hiu qu v hiu qu cng tng ln khi kt hp vi cc phng php phn tch - d bo khc.

1. Mt s k thut p dng cho bi ton d bo Phn tch - d bo gi c phiu, bin ng ca th trng l mt ch th v, thu ht c s quan tm ca nhiu nh u t, chuyn gia, nh khoa hc. Hin nay, nhiu phng php phn tch - d bo c pht trin phn tch - d bo xu hng bin ng gi c phiu, th trng hoc tm kim cc c phiu tim nng u t. Vit Nam, phng php phn tch - d bo c nhiu ngi bit n nht l phn tch k thut v phn tch c bn.Bn cnh , phng php phn tch - d bo bng nh lng thng qu cc m hnh ton hc ang dn c quan tm. Trong phn ny chng ti gii thiu nhng nguyn tc c bn v nh hng v phng php phn tch - d bo nh lng.Chng ti cho rng y l mt phng php kh hiu qu v gip hn ch nhng khim khuyt ca 2 phng php phn tch - d bo ph bin phn tch k thut v phn tch c bn. Phn tch - d bo th trng bng phng php nh lng c s dng mt cch kh ph bin trn th gii.Nhiu qu u t thit lp cc h thng giao
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dch t ng bng phng php nh lng (quantitative trading).Hiu qu t phng php ny c chng minh ti rt nhiu th trng. u im ca phng php phn tch - d bo nh lng l nhng tn hiu a kh khch quan, da vo tiu ch ca nhng ch tiu thng k t m hnh. Nhng tn hiu mua bn c a ra da trn nhng phn tch khch quan nn gim thiu s sai st do yu t con ngi. D vy, nu lm dng qu mc phng php ny th cng s to ra nhng h qu xu. Ti Vit Nam trong thi gian qua cng c mt s nghin cu s dng phng php nh lng phn tch - d bo th trng chng khon v bin ng c phiu.Tuy nhin, nhng nghin cu ny phn ln mi ch dng li mc tiu tham kho hoc lm tin cho nhng nghin cu c tnh ng dng su hn. Nguyn nhn ngoi hn ch v kinh nghim, trnh ca nhng nh lm phn tch - d bo, cn do d liu thi gian ngn v khng y cng khin cho vic xy dng m hnh gp kh khn. 2. C s l thuyt v phn tch - d bo bng phng php nh lng Cc phng php nh lng dng phn tch - d bo da trn cc m hnh ton vi gi nh rng mi lin h gia cc yu t c thit lp trong qu kh s lp li trong tng lai. Ni cch khc phng php nh lng da trn d liu qu kh pht hin chiu hng vn ng trong tng lai ca cc yu t theo mt quy lut no . phn tch - d bo din bin trong tng lai ca mt bin, ngi ta c th s dng m hnh chui thi gian hoc s dng bin nhn qu.Ngoi ra, ngi ta cn s dng phng php kh phc tp l mng neural. a. Phn tch - d bo chui thi gian Cc m hnh phn tch - d bo chui thi gian l phn tch - d bo gi tr tng lai ca mt bin s no , bng cch phn tch s liu qu kh v hin ti ca nhng bin s .Gi nh ca phn tch - d bo chui thi gian l s vn ng trong tng li ca bin phn tch - d bo s gi nguyn xu th vn ng trong qu kh v hin ti.Nh vy, ch c chui n nh mi a ra c nhng phn tch - d bo tin cy.Tnh n nh ca chui d liu th hin qua tnh dng, y l iu kin quan trng phn tch v phn tch - d bo chui thi gian. Phn tch - d bo qu kh l phn tch - d bo hu nghim v phn tch d bo cc giai on trong tng lai gi l phn tch - d bo tin nghim.
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Ton b phn tch - d bo c phn chia lm 2 giai on l phn tch - d bo hu nghim (ex-post) v phn tch - d bo tin nghim (ex-ante). - Giai on phn tch - d bo hu nghim: L thi gian t quan st u tin sau khi chm dt giai on mu Yn+1 ti quan st mi nht YN. Giai on hu nghim l giai on kim nghim s chnh xc tnh phn tch - d bo ca m hnh. Nu nh m hnh khng m bo chnh xc theo yu cu th lc ngi phn tch - d bo cn tm cc gii php khc nh tm kim m hnh thay th hoc m rng mu phn tch - d bo. - Giai on phn tch - d bo tin nghim: L giai on phn tch - d bo tng lai. y chnh l mc tiu ca phn tch - d bo, nhng v cha xy ra nn khng th so snh c. Tuy vy, mt s tiu ch thng k s cho chng ta nh gi c mc tin cy ca m hnh. Ton b qu trnh d bo c tm tt s sau:

b. Phn tch - d bo m hnh nhn qu M hnh phn tch - d bo ny da trn s tc ng qua li gia cc yu t vi nhau, trong bin phn tch - d bo (bin ph thuc) c quan h nhn qu vi cc bin khc (bin c lp). thc hin c phn tch - d botheo m hnh nhn qu ngi lm phn tch - d bo da trn cc l thuyt v kinh t, ti chnh, cc nghin cu thc nghim c lin quan, kinh nghim thc t. Trc khi xy dng m hnh ngi lm phn tch - d bo phi thit lp cc c s l thuyt, mi lin h gia bin ph thuc (bin phn tch - d bo) v bin s khc (bin c lp). Sau khi xc nh cc bc trn s cn phi tin hnh thu thp d liu, xy

dng, c lng m hnh, kim nh gi thuyt v cui cng l thc hin phn tch - d bo.

3. ng dng phng php nh lng phn tch - d bo trn th trng chng khon Chng ta va tm hiu cc nguyn l chung nht v phn tch - d bo kinh t. S bin ng ca th trng chng khon phn nh sc khe ca nn kinh t v k vng ca nh u t. C s l thuyt cho vic phn tch - d bo bin ng ca th trng chng khon c chng minh kh rng ri.Nhim v ca nh phn tch - d bo l thit lp cc m hnh c th phn tch - d bo nhng xu th th trng trong tng lai. Thc t chng ta phi chp nhn rng khng c mt m hnh no l hon ho phn tch - d bo mi s bin ng ca th trng.Vic phn tch - d bo bng nh lng c th sai st khi gp nhng c sc ca cc bin s ngoi m
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hnh khin th trng o chiu mt cch t ngt. Ngoi ra, nu ngun d liu u vo khng c thu thp mt cch khoa hc, chnh xc cng c th lm cho tnh phn tch - d bo thiu chnh xc. Ti Vit Nam, nghin cu nh lng phn tch - d bo th trng chng khon xut hin cha nhiu.Nguyn nhn chnh l lc lng nhng ngi lm phn tch - d bo c trnh chuyn mn thc hin nhng php ton phc tp l kh t.Ngoi ra, do s liu v kinh t, doanh nghip v th trng cha di v tin cy cha cao nn vic thc hin cc phn tch - d bo tr nn kh khn hn. Di y, chng ti xin gii thiu mt s phng php phn tch - d bo ph bin.Chng ti s c nhng nghin cu su hn v vic p dng ti th trng Vit Nam. a. Phn tch - d bo chui thi gian S dng chui thi gian phn tch - d bo gi c phiu hoc cc ch s th trng c s dng kh nhiu. Phng php phn tch - d bo ny c u im l ch s dng s liu theo chui thi gian nn kh ph hp cho phn tch - d bo th trng chng khon. Tuy nhin, nhc im ca n l khng hiu qu trong vic phn tch - d bo c xu th di hn ca th trng. M hnh chui thi gian thng c s dng nht l m hnh ARIMA v phng php Box-Jenkins.M hnh ARIMA (Autoregressive Integrated Moving Average - T hi qui tch hp Trung bnh trt), c George Box v Gwilym Jenkins (1976) nghin cu. Phng php Box-Jenkins bao gm bn bc: nhn dng m hnh th nghim; c lng; kim nh bng chn on; v phn tch - d bo. M hnh s dng phn tch - d bo ri ro ARCH/GARCH. ARCH/GARCH c s dng kh ph bin trong ngnh ti chnh phn tch - d bo ri ro. M hnh ny dng phn tch - d bo giao ng sut sinh li ca c phiu theo thi gian. M hnh ARCH (Autogressive Conditional Heteroskedasticity) do Robert Engle v Clive Granger pht trin nm 1982. M hnh GARCH (Generalised Autogressive Conditional Heteroskedasticity) c Tim Bollerslev xut nm 1986 khc phc nhng hn ch ca ARCH. Ngy nay, GARCH c s dng mt cch ph bin v ph hp vi s liu chui thi gian ngn nh gi c phiu trn th trng.
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b. Phn tch - d bo bng m hnh nhn qu M hnh nhn qu thng s dng s liu bng.Trong phn tch - d bo chng khon, bin ph thuc (bin cn phn tch - d bo) l sut sinh li ca c phiu, th trng hay gi c phiu v ch s th trng. Trong khi , cc bin c lp l cc bin s ca nn kinh t nh lm pht, tht nghip, cung tin, tng trng cng nghip, tng trng bn l, nim tin tiu dng hoc l cc bin s lin quan n doanh nghip nh li nhun, tng trng, gi hng ha lin quan n qu trnh sn xut ca doanh nghip. Ni tm li l bt k yu t no tc ng n s bin ng ca th trng, gi c phiu u c th tr thnh bin c lp s dng cho phn tch - d bo. Phng php ny s dng cc m hnh hi quy tm mi lin h gia bin ph thuc v bin c lp.Qua m hnh hi quy, chng ta c th phn tch d bo c xu th v nhng nhn t tc ng n bin ng ca gi chng khon hay th trng. u im ca phng php ny l c th phn tch - d bo mt cch kh chnh xc xu hng bin ng di hn ca gi c phiu hay th trng. Tuy nhin, vic thu thp d liu l mt cng vic kh khn v tn nhiu chi ph. i vi Vit Nam, do cc d liu v doanh nghip v nn kinh t cn t nn p dng phng php phn tch - d bo ny cng tr nn kh khn. c. Phn tch - d bo bng mng thn kinh (Neural Network) L thuyt Neural Network c pht trin t nhng nm 1940 n nay v c ng dng rng ri trong nhiu lnh vc. L thuyt Neural Network nhanh chng tr thnh mt hng nghin cu trin vng trong mc ch xy dng cc my thng minh tin gn ti tr tu con ngi. i vi lnh vc chng khon, Neural Network c s dng kh ph bin phn tch - d bo th trng, gi c phiu. Neural Network c xy dng xut pht t mt thc t l b no con ngi. C th coi b no l mt my tnh hay mt h thng x l thng tin song song, phi tuyn v cc k phc tp. B no c kh nng t t chc cc b phn cu thnh ca n, nh l cc t bo thn kinh (neural) hay cc khp ni thn kinh (synapse), nhm thc hin mt s tnh ton nh nhn dng mu v iu khin vn ng nhanh hn nhiu ln cc my tnh nhanh nht hin nay. S m phng b no con ngi ca mng neural c da trn c s mt s tnh cht c th rt ra t cc nghin cu v thn kinh sinh hc.
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D liu u vo thc hin phn tch - d bo bng Neural Network kh a dng v ty thuc vo trnh , kinh nghim, mc tiu phn tch - d bo v nhng c s d liu m ngi lm phn tch - d bo c. Thng thng d liu bao gm cc d liu lin quan n giao dch c phiu trn th trng nh gi, khi lng. Ngoi ra, cc d liu trong nn kinh t, d liu ca doanh nghip cng c th lm u vo cho qu trnh phn tch - d bo. Cc thng tin u vo s c x l bng nhng thut ton phc tp thng qua tin trnh m phng vic x l thng tin nh b no con ngi. Hin nay, c kh nhiu phn mn min ph v Neural Network c ng ti trn mng Internet.Tuy nhin vic vn dng thnh tho phn tch - d bo th trng l mt cng vic khng d dng. lm c iu ny ngi phn tch - d bo cn phi c hng lot cc kin thc su rng khc b tr.

4. Kt lun Trn y chng ti va gii thiu nhng c s l thuyt v mt s phng thc ph bin s dng phn tch - d bo trn th trng chng khon. u im ca cc phng php nh lng ny l phn tch s liu a ra c nhng phn tch - d bo khch quan, gim thiu ri ro ca vic phn tch cm tnh ca con ngi. Tuy nhin, p dng phng php nh lng trong phn tch d bo s c khng t thch thc v n cng khng phi l phng php thay th hon ton trc gic trong u t.
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Chng ti cho rng y l mt hng pht trin trong tng lai i vi cng tc phn tch - d bo Vit Nam.Tuy vy, y l cng vic kh khn v phc tp, i hi ngi lm cng tc phn tch - d bo cn c trnh chuyn mn v kinh t, ti chnh, ton hc v kinh nghim phn tch - d bo. Kt qu nghin cu bc u ca chng ti cho thy phng php nh lng hon ton c th p dng phn tch - d bo i vi th trng Vit Nam.S dng phng php nh lng phn tch - d bo th trng kh hiu qu v hiu qu cng tng ln khi kt hp vi cc phng php phn tch - d bo khc.

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Chng 2 ng dng l thuyt i s gia t - lut kt hp trong vic phn tch - d bo chng khon

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1. Gii thiu H m(fuzzy systems) c p dng rng ri trong cc h chuyn gia, iu khin t ng, ngi my... Gn y, vic nghin cu ng dng h m vo cc bi ton ti chnh v ang thu ht c nhiu s quan tm nh im mnh ca vic x l cc thuc tnh khng r rng trong thng tin va h m. Trong mt nghin cu ca Zhou v Dong [1] a ra mt m hnh tri thc khng chc chn c dng trong phn tch k thut theo hng tip cn logic m. Thut ton ca h c c th cung cp chnh xc cao hn trong vic pht hin v gii thch cc m hnh k thut qua phn tch m hnh trc quan c thc hin bi cc chuyn gia. Lin et al [2]. s dng mt h thng m vi ch s k thut KD d on ch s chng khon.KD l ch s mt b dao ng ngu nhin, bao gm hai dng l K v D, trong D l Kc lm mn.Nghin cu ca h cho thy rng li nhun c to ra vi cc h thng m ln hn ng k hn so vi cc m hnh hi quy tuyn tnh, mng li thn kinh v chin lc u t khc. Hiemstra [3] theo mt cch tip cn tng t vi mt h thng suy lun m, nhng vi cc ch s khc d on th trng chng khon. C th thy rng kt qu kt hp phn tch k thut v logic m rt ha hn. Do cc h thng d bo khc nhau u c im mnh v hn ch khc nhau, th nn h thng lai (hybrid) cng c nghin cu c c s kt hp cc im mnh ca cc phng php. Abraham v Nath [4] cung cp mt phng php tng quan v kt hp cc m hnh d bo khc nhau.c bit, s kt hp ca cc h thng m vi cc mng thn kinh v/hoc cc thut ton di truyn xut hin trin khai trong cc bi ton thc t l ht sc kh thi. Mt h thng neuron m c dng d on chui thi gian ti chnh c m t trong[5]. D on gi chng khon v chn ty chn ca ch s S&P v Dow Jones c kim chng, kt qu trong chin lc kinh doanh c li nhun. Kt qu t bi bo cho thy tim nng ca h neuron m trong lnh vc ti chnh.M hnh neuron m cng c s dng d on chui thi gian khc nh ch s sn xut Hy Lp [6] v ch s gi chng khon ca Hn Quc [7]. Phng php ny cng c p dng cho [8] dng nh gi danh mc u t. M hnh lai kt hp ca h thng m v xc sut cng c xut.V d, van den Berg et al. phn tch th trng ti chnh bng cch s dng mt m hnh xc sut m [9], trong ngi ta kt hp gia xc sut vi m hnh ngn ng khng chc chn. Cc vn ca vic tm kim cc quy tc m mong mun l mt qu trnh rt quan trng trong s pht trin ca h thng m.Trong thc t, vic nh
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gi li cc quy tc t cc chuyn gia ch l mt nhim v kh kh khn.Alcala et al. [10] a ra mt ci nhn tng quan v cch tip cn khc nhau.Cho vic hc v iu chnh ca mt h thng m. Herrera et al [11]. xut mt phng php tm hiu cc quy tc t cc v d (u vo-u ra d liu) bng cch s dng mt thut ton di truyn. Mohammadian v Kingham [13] pht trin mt h thng logic m phn cp bng cch s dng thut ton di truyn d on li sut ti c.S dng mt thut ton di truyn nh l mt phng php o to cho hc tp quy tc m, s lng cc quy tc c th c gim ng k, kt qu trong cc h thng hiu qu hn.Kt qu cho thy h thng c th a ra d on chnh xc ca cc mc li sut. Trong phn sau y, chng ti m t mt h thng m(da trn l thuyt i s gia t) d on bin ng gi th trng cho u t trong danh mc u t c phiu ca Vit Nam.H thng ny to ra mt tn hiu mua hoc bn, nhng n cng c th c kt hp vi c ch phn b danh mc u t cho giao dch t ng.Di y, chng ti u tin tho lun v phn tch k thut v cc ch s m cc h thng m c xut s dng. 2. Cc ch s quan trng trong phn tch k thut Theo cc chuyn gia trong lnh vc ti chnh th c mt s ch s quan trng trong phn tch k thut c th gip ch rt ln trong vic d bo xu hng ca th trng chng khon hoc mt c phiu nht nh.Trong , 4 ch s quan trng nht l Commodity Channel Index (CCI), Relative Strength Index (RSI), Moving Average Hi t v phn k (MACD) v Bollinger Band. Di y, chng ti m t s lc v 4 ch s nytheo l thuyt ca cc nh u t chng khon. a. CCI Ch s knh hng ha ( CCI) c hnh thnh da trn gi tr trung bnh ca gi trong qu kh, s phn tn ca gi t gi tr trung bnh v bin ng ca gi trc . Nu gi trung bnh ca mt cp ng tin ang tng ln th ng CCI cng s di chuyn cao hn. ng CCI di chuyn ln cao hn nhanh hay chm ph thuc vo bin ng ca cp ng tin. Nu cp ng tin bin ng mnh, ng CCI di chuyn ln nhanh hn v ngc li.

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Nu gi trung bnh ca mt cp ng tin ang gim xung th ng CCI cng s di chuyn xung thp hn. ng CCI di chuyn xung thp hn nhanh hay chm ph thuc vo bin ng ca cp ng tin. Nu cp ng tin bin ng mnh, ng CCI di chuyn xung nhanh hn v ngc li. ng CCI di chuyn ra sau v ln trc, i qua vng 100, 0 v -100 trong chu k ca n.

Du

hiu

kinh

doanh

ca

knh

ch

hng

ha

CCI)

Knh ch s hng ha ch ra cc du hiu kinh doanh khi n di chuyn ra sau v ln trc trn v di mc 100 v -100. Du hiu vo: Khi CCI tng ln trn mc 100 v sau o chiu i xung di mc 100 th bn c th bn cp ng tin xung bi ngi mua ht ng lc theo v gi ca cp ng tin s gim trong tng lai gn. Khi CCI xung di mc -100 v sau o chiu i ln trn mc -100 th bn c th mua cp ng tin ln bi ngi bn ht ng lc theo v gi ca cp ng tin s tng trong tng lai gn. Du hiu ra: Khi ng CCI o chiu v bt u di chuyn ln cao hn sau khi bn bn mt cp ng tin, t lnh dng l trn mt cht so vi mc cn gn nht. Nu cp ng tin o chiu v di chuyn ln trn mc cn, im dng l s a bn ra ngoi giao dch. Khi ng CCI o chiu v bt u di chuyn xung thp hn sau khi bn
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mua mt cp ng tin, t lnh dng l di mt cht so vi mc h tr gn nht.Nu cp ng tin o chiu v di chuyn xung d mc h tr, im dng l s a bn ra ngoi giao dch. Mt s lut da trn ch s CCI do cc nh phn tch rt ra: Nu CCI tng ln trn 100 th xu hng tng Nu CCI gim xung di 100 th xu hng gim Nu CCI gim xung di -100 th xu hng gim Nu CCI tng ln trn -100 th xu hng tang

b. RSI Ch s RSI dng o sc mnh hoc yu tng i ca mt loi chng khon khi n t so snh vi chnh n trong mt khong thi gian nht nh (thng dng l 14 ngy). RSI l mt cng c o dao ng (oscillator) c bin trn v bin di dao ng 0-100 (Phn di cng ca biu trn: RSI 14 ngy). ng trung bnh nm gia mu xm 50. Biu RSI c cc ng chnh ng ch sau: ng 50 gia, l mt du hiu nhn bit chng khon sp tng gi hay gim gi. Nu ng RSI tng vt qua ng ny, l du hiu gi ca loi chng khon c k vng tng gi (Bullish). Ngc li, nu ng RSI gim xung di ng ny, l du hiu gi ca loi chng khon c k vng gim gi (Bearish). y ta nhn mnh l k vng v biu th hin qu kh ca c phiu. Khi xc lp xu th mi s lm cho cc nh u t tin tng tng (hoc gim). ng 70 pha trn c coi l ngng l mua (overbought) ngha l mua l qu nhiu so vi mc cn bng ca th trng. Khi , nh u t s bn bt ra tr v mc cn bng lm cho gi gim xung).Thng khi ng RSI rt xung di ngng 70, l du hiu gi chng khon sp gim. ng 30 di c coi l ngng l bn (oversold) ngha l lng bn ra qu nhiu lm gi gim xung thp hn so vi gi cn bng. Nh u t s mua thm y gi ln).Thng khi ng RSI t di ln v vt ngng 30, l du hiu gi chng khon sp tng.
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Cng thc tnh:

Mt s lut da trn ch s RSI: Nu RSI tng trn 70, th xu hng tng Nu RSI gim di 70, th xu hng gim Nu RSI tng trn 50, th xu hng tng Nu RSI gim di 50, th xu hng gim Nu RSI tng trn 30, th xu hng tng Nu RSI gim di 30, th xu hng gim

c. MACD Cng c ch bo MACD do Gerald Appel pht trin. iu lm cho cng c ch bo ny hu dng l n kt hp mt s nguyn tc ca dao ng.Bn c th nhn qua biu (nh). ng di ng nhanh hn (ng MACD) l s chnh lch gia hai ng trung bnh ng san bng hm m ca cc mc gi ng ca (thng l 12 v 26 ngy hoc tun va qua).ng di ng chm hn (ng tn hiu) th thng s dng trung bnh ng san bng m 9 k ca ng MACD. Cc tn hiu mua v bn thc cht c a ra khi hai ng ny ct nhau.Khi ng MACD ct hng ln ng tn hiu chm hn th l tn hiu mua.Khi ng MACD ct xung di ng tn hiu chm hn th l tn hiu bn.Trong ngha , ng MACD ging nh cch thc ct nhau ca hai ng trung bnh ng.Tuy nhin, gi tr ca ng MACD cng dao ng ln trn v xung di ng 0. l ni n bt u tng ng vi mt dao ng.Tnh trng mua qu mc c th hin
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khi hai ng ny nm qu cao so vi ng 0.Tnh trng bn qu mc l khi hai ng ny nm qu thp so vi ng 0. Tn hiu mua tt nht c cho l khi nhng ng gi nm nhiu di ng 0 (tc l khi b bn qu mc). Nhng im bng ln trn hay xung di ng 0 l cch thc khc to ra cc tn hiu mua v bn tng ng.

Mt s lut da trn ch s MACD: Nu MACD tng ln trn ng tn hiu th mua Nu MACD gim xung di ng tn hiu th bn d. Di Bollinger

ng Bollinger gip cho ngi dng so snh bin ng v mc gi tng i ca mt chng khon hay gi hng ho, tin ttheo mt thi gian quan st c th. Cc ng bin c to nn t ng trung bnh v mt lch chun c p dng xung quanh ng trung bnh ny.Thng thng mc nh ca ng trung bnh l 20 ngy v lch chun l 2. Bi v lch chun dng o lng bin ng nn Bollinger Bands tr nn mt cng c linh ng c th iu chnh m rng hay hp li da trn mc bin ng tht s ca th trng.
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Thng thng dy Bollinger band gm 3 ng: - Mt ng trung bnh ng gia (hay cn gi l ng trung tuyn) - Mt ng bin trn - Mt ng bin di (mt s phn mm nh phn mm SAXO Bank khng c hin th ng trung bnh ng gia (ng trung tuyn), trong trng hp ny chng ta c th kt hp ng trung bnh 20 (MA 20) xc nh ng trung tuyn)

Cc ng Dng Ca Bollinger Band: Ch ra th trng ang tnh trng overbought/oversold: gi gn bin di tc th trng ang oversold, ngc li l overbought Dng kt hp vi ng RSI, Stochastic ch ra du hiu mua/ bn: Du hiu mua/bn xut hin khi Bollinger cho thy du hiu overbought/oversold, trong khi RSI, Stochastic cho thy du hiu phn k (divergence) Ch ra du hiu cnh bo sp c mt s bin ng gi mnh: nhng ng bin (bands) thng hp trc khi bt u mt s bin ng gi mnh 3. Thut ton khai ph lut kt hp da trn i s gia t C th thy cc lut c bn c cc nh phn tch a ra trn l cc lut c xy dng da trn phng php thng k khi cc iu kin trn i km vi nhau vi xc sut cao. Ta d dng nhn thy cu trc ca cc lut trn l cu trc ca lut kt hp trong lnh vc khai ph d liu. V th trong nghin cu ny, chng ti xut s dng l thuyt lut kt hp da trn i s gia t tm kim cc lut c tin cy cao trong d liu giao dch chng khon lch s. Khai ph d liu, c th l trch xut cc lut kt hp t c s d liu, c xut pht im t bi ton nghin cu s liu bn hng trong siu th. bi ton ny, s liu c biu din di dng bng hai chiu, trong cc ct
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th hin cc loi mt hng (item), cc hng th hin cc giao dch (transactions) c tin hnh, s 1 cho thy mt hng c mua, s 0 ch iu ngc li. T bng d liu rt ln ny, ngi ta mong mun rt ra c cc quy lut gip cho qun l, kiu nh "Nu mt ngi mua bnh m v b, kh nng ngi cng mua gim bng l rt cao". Lut c dng nh vy gi l lut kt hp v l hng nghin cu quan trng trong lnh vc khai ph d liu.V sau, ngi ta thy s l rt khng y nu ch xem xt cc c s d liu ch bao gm cc phn t 0 v 1. Chng hn, trong CSDL nhn s ca mt c quan c cc mc nh tui, thu nhp..c gi tr trong min s thc rt rng. trch xut ra cc lut kt hp, mt phng php thng c s dng l chuyn s liu trong CSDL cho v CSDL ch cha cc gi tr 0, 1 v p dng cc kt qu c. Th d, trong mc "tui", c th chia ra cc min "tr", "trung nin" v "gi" vi cc min gi tr tng ng l [0,35], [36,55], [56,80] v nu mt gi tr ca CSDL ban u ri vo min gi tr no th ta ghi 1 cho v tr tng ng trong CSDL chuyn i, ngc li gn gi tr 0. Phng php ny n gin v mt thc thi nhng c th gy bn khon do ranh gii cng m ngi ta a ra khi tin hnh chuyn i. Chng hn hai ngi tui 35 v 36 tuy rt gn nhau v mt tui tc nhng li thuc hai lp khc nhau l "tr" v "trung nin", dn ti vic a ra nhng lut kt hp c th thiu tnh chnh xc. V ngi ta s dng cch tip cn m khc phc iu ny, theo , mt gi tr bt k ca CSDL ban u khng chuyn i v gi tr 0 hoc 1 nh trn m s chuyn v mt tp gi tr thc thuc on [0,1], l thuc ca gi tr cho vo cc tp m c xc nh trc. Th d, ngi tui 35 trong v d trn, CSDL chuyn i s nhn tp gi tr (tr, 0,8), (trung nin, 0,6), (gi, 0,1). Phng php ny, tuy dn ti vic x l phc tp hn nhng d chp nhn hn v mt trc quan v hin ang c nhiu nh nghin cu quan tm. Mc d vy, theo chng ti, phng php trch xut lut kt hp m vn c mt s im yu cn khc phc. l s ph thuc ch quan rt ln vo vic la chn cc hm thuc cho cc tp m dn n vic x l va phc tp va c th thiu chnh xc. Trong phn ny chng ti trnh by vic gii bi ton trch xut lut kt hp m theo cch tip cn ca i s gia t, cc gi tr thuc m s nhn c thng qua cc gi tr nh lng ng ngha, c xc nh da trn cc kt qu nghin cu l thuyt v SGT c t trc.
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K hiu cc tham s ca thut ton nh sau. n: Tng s giao dch trong c s d liu(c sinh ra sau qu trnh chuyn d liu th(n) thnh nhn gia t tng ng) m: Tng s cc thuc tnh(s thuc tnh ca d liu th(m)* s nhn gia t) Aj: Thuc tnh th j, 1 j m, Aj D(i) d liu giao dch th i, 1 i n vj(i): Gi tr nh lng ca Aj trong D(i); fjk(i) gi tr thuc ca vj(i) vi nhn gia t Rjk, 1 fjk(i) m; Sup(Ajk): h tr ca Ajk Sup: Gi tr h tr ca mi tp mc ln; Conf: tin cy ca mi tp mc ln Minsup: Gi tr h tr ti thiu cho trc Minconf: Gi tr tin cy cho trc Cr: Tp cc tp mc c kh nng vi r thuc tnh (tp mc), 1 r m; Lr: Tp cc tp mc ln tha mn vi r nhn gia t (tp mc) 1 r m; Thut ton khai ph d liu da trn i s gia t cho cc gi tr nh lng c thc hin nh sau: Input: m,n, theta(t l gia 2 phn t sinh), minsup v minconf Output: lut kt hp Bc 1: Chuyn cc gi tr nh lng vj(i) ca mi giao dch D(i), i t 1 ti n, vi mi thuc tnh Aj, nu Aj nm ngoi 1 trong 2 u mt ( 2 nhn gia t cc i v cc tiu) th Aj ch c 1 nhn gia
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t ng vi u mt , nu khng th Aj c biu din bi 2 nhn gia t lin tip c on gi tr nh nht trn trng gi tr ca Aj, mi nhn ng vi 1 gi tr biu din thuc fjk(i)(j=1,2) ca Aj vi nhn gia t . thuc ny c tnh l khong cch ca Aj ti gi tr biu din cho nhn gia t tng ng. Bc 2 : Tnh gi tr h tr , ( )

Bc 3 : Nu Sup(Rjk) minsup th a Rjk vo L1 Bc 4 : Nu L1 khng rng, tip tc bc sau, nu rng thot chng trnh. Bc 5 : Thut ton xy dng tp mc ln mc r t cc tp mc ln mc r-1 bng cch chn 2 tp mc ln mc r-1 ch khc nhau duy nht mt mc, hp 2 tp mc ny ta c tp mc ng vin Cr, nu tp mc ny xut hin trong c s d liu v c gi tr h tr tha mn th n c a vo danh sch cc tp mc ln mc r. Bc 6: Thc hin theo cc bc con sau y lp li cho cc tp mc ln mc ln hn c sinh ra tip theo dng (r+1) tp mc ln S vi mc (s1,s2, , st, , sr+1) trong Cr+1, 1 t r+1 (a) Tnh gi tr h tr sup(S) ca S trong giao dch ( ) (b) ( )

Nu Sup(S) minsup, th a S vo Lr+1.

Bc 7 : Nu Lr+1 l rng, th thc hin bc tip theo, ngc li, t r=r+1, thc hin li bc 5 v 6.
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Bc 8 : Thu thp cc tp mc ln mc ln hn nu c Bc 9 : a ra cc lut kt hp t cc tp mc ln va thu thp theo cch sau: (a) Vi mi lut kt hp kh thi sau y:

s1sxsysq sk (k=1 ti q, x=k-1, y= k+1) (b) Tnh tin cy ca lut: ( ) ( ( ) )

Trn thc t, trong u t chng khon, cc quyt nh ca nh u t bao gm cc lnh: Mua, bn v nm gi. Vic ra quyt nh cng ph thuc vo khi lng c phiu m nh u t tc ng vo, v d khi nh u t quyt nh bn mnh c phiu x tc l h s bn mt lng ln s lng c phiu x ang nm gi. V th ph hp vi thc t chng ti ch trch xut cc lut c dng: A => buy/sell/holdhoc A => strong_sell/buy Trong A l tp con ca {MACD, RSI, CCI, BB} vi cc nhn gia t tng ng. Vic tnh nhn gia t tng ng ca cc ch s c tnh da trn gi tr lch ca ch s so vi ng tiu chun ca n. Sau y l mt s lut tham kho vi tin cy 60% vi gi liu c phiu ca cng ty nha mi trng xanh An Pht(m AAA thuc s giao dch chng khon H Ni) trong thng 9 10 11 12 nm 2011, trong th nghim trng thi nm gi(hold) tm thi cha c th nghim: {Very_low_MACDf, quite_low_RSI, very_hight_RSI1 }=> SELL {very_low_MACDf, middle_RSI} => STRONG SELL {quite_hight_MACDf, middle_RSI} => BUY {quite_hight_MACDf ,quite_low_RSI} => BUY
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{very_hight_MACDf, very_hight_BB} =>STRONG_ SELL Trong khi nim mua/ mua mnh hoc bn/ bn mnh c hiu theo cch: Mua: 2* khi lng bn>= khi lng mua>khi lng bn Mua mnh: khi lng mua > 2* khi lng bn Bn : 2* khi lng mua >= khi lng bn>khi lng mua Mua mnh: khi lng bn > 2* khi lng mua

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4. M hnh d bo M hnh d bo c xy dng da trn tng s dng thut ton khai ph lut kt hp da trn i s gia t gii thiu phn 3 khai ph lut kt hp gia 4 ch s c nu phn 2 rt ra cc lut nhm d bo xu hng gi ca cc c phiu trong tng lai da vo d liu lch s

M hnh h thng d bo chng khon a. Module tnh ton ch s k thut


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u vo ca h thng l d liu chng khon theo phin giao dch. u vo ny c a vo module tnh ch s k thut, mi tp gi tr u vo ca mt phin giao dch c xem nh mt bn ghi(transaction), u ra l cc ch s k thut, c th l MACD, RSI, CCI v Bollinger. Theo kin thc chuyn mn v cc ch s k thut, cc ch bo MACD s d bo v xu hng tng gi hoc gim gi ca th trng , MACD c coi l mt ch s mang tnh cnh bo xu hng trong tng lai ca th trng(lagging indicator). V d n gin l n vng trong tn hiu n giao thng l mt lagging indicator ca n . Ch bo RSI l ch bo th hin giao ng ca ca c phiu trong mt khong thi gian xc nh, t c th xc nh c sc bt cho xu hng tng lai ca c phiu .CCI khng th bt k xu hng no, nhng n nh lng mnh nh th no xu hng hin ti, hoc i ln hoc xung.Cc di Bollinger so snh bin ng vi cc mc gi. Kt qu u ra l gi tr cc ch s c tnh ton theo cng thc gii thiu trn. Trong nghin cu ny mi tp vo phn tch trong khong thi gian ngn hn, cho nn cc gi tr ch bo k thut u c tnh trong khong thi gian 9 phin giao dch(d bo ngn hn). b. Module gn nhn m Cc gi tr ch s k thut sau khi c tnh ton, tip tc l u vo cho module gn nhn m, module ny xc nh gi tr m v gia t tng ng vi mi ch s. V d ch s MACD c tnh ton c th c gn mt trong 5 nhn gia t: Very_hight, quite_hight, middle,very_low, quite_low. Nh vy u ra ca module ny l cc giao dch(transaction) vi cc mc c gn nhn m tng ng. c. Module d bo Module d bo c xy dng da trn tp lut kt hp c xy dng t d liu giao dch trong qu kh. Vi u vo l u ra ca module gn nhn m, d liu giao dch cn nh gi s c so snh vi b lut khai ph t rt ra c kt lun v tn hiu mua/bn nhn c vi tin cy(confidence) c thng k t d liu trong qu kh. Sau y l v d mt s lut c rt ra vi d liu th nghim tng ng vi 2 gia t l {very,quite} v nhn m{hight, low}:

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Lut 1: {very_low_MACD, very_low_RSIuppert, very_hight_RSI1}=>strong_Sell Lut 2: {very_hight_MACD, quite_hight_CCI}=> Buy d. Th nghim hot ng ca module phn tch d bo V d vi d liu chng khon AAA nu trn trong cc phin giao dch t ngy 27/2/2012 29/2/2012:
M Ngy 29/02/2012 28/02/2012 27/02/2012 M AAA AAA AAA TC 16.6 17.1 16.9 Trn 17.7 18.2 18 Sn 15.5 16 15.8 ca 16.4 17.6 17.2 ng ca 16.6 16.4 17.4 Cao nht 16.7 17.6 17.5 Thp nht 16.1 16.2 16.5 Trung bnh 16.5 16.6 17.1 Thay i gi +/0.1 0.5 0.2 % -0.6 -2.92 1.18 Khp lnh 189,200 302,900 436,000 Khi lng giao dch Tng cng 189,200 302,900 436,000 Khp lnh 3,115.86 5,023.82 7,469.88

Ta c bng tnh ch s k thut tng ng, do ko tm thy lut no c ch s CCI nn trong phn minh ha tm thi ko tnh ch s CCI: Ngy
29/02/2012 28/02/2012 27/02/2012

MACD Very_hight Very_hight Very_hight

CCI NA NA NA

RSI Quite_low Quite_low Very_hight

BB Very_hight Very_hight Quite_hight

T d liu tnh ton c trn, khi so snh vi b lut minh ha phn 3 ta thy ngy 27/2 c ch s Very_hight_MACD v Quite_hight_BB cho tn hiu bn, sang ngy 28/2 th gi c phiu AAA gim v vy chng trnh bc u ha hn kh nng nghin cu tip theo hng tip cn s dng lut kt hp d bo cho th trng chng khon.

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Chng 3 Phn tch thit k chng trnh

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1. Kho st mt s phn mm chng khon a. TradeStation Tradestation l phn mm chng khon c giao din Ting Vit, phn mm ny hin c bn vi gi 1.800.000 VND trong vng 1 nm.
TradeStation c cc chc nng chnh: - Bng in t tc nhanh nht, a thng tin & tu chnh d dng - Thng k Lnh khp, lnh t mua / bn REALTIME - Biu tng quan giao dch ca th trng, gip NT nhanh chng nm bt cung cu - Phn r gi khp theo thi gian - Phn tch biu LIVE BAR trn d liu EoD, Intraday - D tm tn hiu mua / bn ca ton b M CK - VnIndex lin tc sut 3 phin gip NT nhn din bin ng th trng sm nht - B lc a nng gip NT khai thc d liu 1 cch nhanh chng & hiu qu - Cnh bo theo iu kin - H tr cng thc t nhp bi ngi dng

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b. Amibroker

Phn mn Amibroker l phn mm chng khon hng u(phi tr ph) vi s tch hp cc cng c phn tch bao gm h thng cc ch bo (indicator), cng c v (trendline, knh xu hng,...), h thng backtest t ng, phn tch t ng, cung cp d liu gi di dng biu theo cc khung thi gian ngy, tun, thng tin cho vic theo di v phn tch, cp nht d liu d dng v nhanh chng. Amibroker rt mnh v mt th hin cc cng c phn tch k thut, tuy nhin phn mm ny vn cha cho php cp nht trc tuyn d liu chng khon Vit Nam, thm vo l giao din ca chng trnh cng khng h tr Ting Vit v th c th gy kh khn cho mt s ngi dng. 2. Phn tch yu cu ca ngi dng i vi phn mm chng khon Trong thi gian giao dch chng khon trc tuyn, nh u t thng quan tm n 3 yu t chnh l: Th trng chung ang tng hay gim, c phiu ang quan tm ang c giao dch vi mc gi tng hay gim v khi lng giao dch l bao nhiu. V th mt phn mm chng khon yu t u tin phi m bo th hin chnh xc 3 yu t trn, theo thng l mc gi gim c biu th
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bng mu , tng l mu xanh l cy v gi gi l mu vng(Ngoi ra Vit Nam c mu xanh l biu th cho mc gi sn v tm biu th cho mc gi trn). Ngoi cc chc nng c bn ni trn, mt phn mm chng khon cn phi m bo cc thng tin ph tr gip ngi s dng ra quyt nh trong qu trnh giao dch, cc thng tin ph tr bao gm: Cc ch s k thut ca c phiu nh CCI, MACD, RSI, Cc ch s ny phi c biu th bng th, qua gip ngi s dng c th phn bit r rng cc xu hng ca c phiu t ra quyt nh. V vy cc module m chng trnh cn phi c l: Module cp nht giao dch trc tuyn vi cc thng tin: Gi giao dch, khi lng giao dch, khi lng mua, khi lng bn Module phn tch k thut: Tnh ton cc ch s k thut cn thit h tr cho ngi s dng Module d bo xu hng gi chng khon Module hin th thng tin m bo hin th cc thng tin t cc module k thut mt cch chnh xc, cung cp cc chc nng v biu tr gip nh u t nh gi c phiu mt cch trc quan 3. Phn tch thit k chng trnh Usecase ca h thng

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M hnh UML

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Biu tun t phn tch gi

Biu tun t tnh RSI

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Biu tun t ly th gi theo thi gian

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Chng 4 Hng dn s dng chng trnh

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Giao din chnh ca chng trnh

Khi chy chng trnh, cc thng tin v giao dch ca cc c phiu c cp nht trc tuyn ngay trn bng liveboard ca chng trnh. thay la chn hin th thng tin c phiu, chn Qun l -> chn bng m c phiu mun hin th, nu mun loi b c phiu trn bng liveboard, chn chut phi vo c phiu -> chn xa

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v biu ca mt c phiu quan tm Chn chut phi vo c phiu cn v -> Biu

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Ti liu tham kho


[1] van den Bergh, W. M.; van den Berg, J., 2002.Mining for pockets of predictability in financial markets. In Meij, J., editor, Dealing with the Data Flood, pages 763-770. Stichting Toekomstbeeld der Techniek, Den Haag. [2] Zhou, Xu Shen; Dong, Ming, 2004. Can fuzzy logic make technical analysis 20/20? Financial Analyst Journal,60:54-73. [3] Lin, Chin-Shien; Khan, Haider Ali; Huang, Chi-Chung, 2002. Can the neuro fuzzy model predict stock indexes better than its rivals? CIRJE F-Series CIRJE-F-165, CIRJE, Faculty of Economics, University of Tokyo. Available at http://ideas.repec.org/p/tky/fseres/2002cf165.html. Last access 09 sept 2006. [4] Hiemstra, Ypke, 1994. A stock market forecasting support system based on fuzzy logic. In Proceedings of the Twenty-Seventh Hawaii International Conference on System Sciences, volume 3, pages 281-287. [5] Abraham, Ajith; Nath, Baikunth, 2000. Hybrid intelligent systems design. Technical report, School of Computing & Information Technology, Monash University, Australia. [6] Pantazopoulos, Konstantinos N.; Tsoukalas, Leften H.; Bourbakis, Nikolaos G.; Brun, Michael J.; Houstis, Elias N., 1998. Financial prediction and trading strategies using neurofuzzy approaches. IEEE Transactions on Systems, Man and Cybernetics, Part B, 28(4):520-531. [7] Atsalakis, George; Ucenic, Camelia; Skiadas, Christos H., 2005. Time series prediction of the greek manufacturing index for the non-metallic minerals sector using a neuro-fuzzy approach ANFIS. Technical report, Department of Production Engineering and Management, Technical University of Crete, Greece. [8] Kim, Myoung Jong; Han, Ingoo; Lee, Kun Chang, 2004. Hybrid knowledge integration using the fuzzy genetic algorithm: prediction of the korea stock price index. International Journal of Intelligent Systems in Accounting, Finance and Management, 12:43-60. [9] Carlsson, Christer; Fuller, Robert, 1996. A neuro fuzzy system for portfolio evaluation. Cybernetics and Systems,pages 296-299. [10] van den Berg, Jan; Kaymak, Uzay; van den Bergh, Willem-Max, 2004. Financial markets analysis by using a probabilistic fuzzy modelling approach. International Journal of Approximate Reasoning, 35:291-305

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