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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/30079


    Title: The Profitability of Technical Trading Strategies in Taiwan Future Market
    Authors: 陳映廷
    Chen, Ying-Ting
    Contributors: 郭維裕
    Kuo,Weiyu
    陳映廷
    Chen, Ying-Ting
    Keywords: 技術分析
    指數期貨
    台指期貨
    technical trading rules
    index futures
    TAIEX Futures
    Date: 2004
    Issue Date: 2009-09-11 17:11:23 (UTC+8)
    Abstract: The price of stocks, futures, commodities and currency are for ever changing. Anyone interested in financial prices soon discovers that changes in prices are frequently substantial and are always difficult to forecast. This paper describes the behavior of prices from a statistical perspective. Specifically, employ several technical trading rules to uncover the trend of futures price movement and attempt to make profit out of the trend. In this paper, trading of seven technical trading systems is simulated for three futures contracts from September 1998 to March 2005 to test for market disequilibrium. The results differ by trading systems. Four systems produced positive mean net returns and five systems produced positive gross return when optimal parameters were used. These results indicate that, there exist opportunities to design profitable trading systems for futures markets.
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    Taylor, S. J. (1994) Trading Futures Using a Channel Rules: A Study of the Predictive Power of Technical Analysis with Currency Examples. The Journal of Futures Markets, Vol. 14, No. 2, 215-235.
    Odean, Terrece. (1998) Are Investors Reluctant to Realize Their Losses? Journal of Finance 53: 1775-1798
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    92351021
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923510211
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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