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    题名: The Profitability of Technical Trading Strategies in Taiwan Future Market
    作者: 陳映廷
    Chen, Ying-Ting
    贡献者: 郭維裕
    Kuo,Weiyu
    陳映廷
    Chen, Ying-Ting
    关键词: 技術分析
    指數期貨
    台指期貨
    technical trading rules
    index futures
    TAIEX Futures
    日期: 2004
    上传时间: 2009-09-11 17:11:23 (UTC+8)
    摘要: 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.
    參考文獻: Corrado, C. J. and Lee, S. H. (1992) Filter Rule Tests of the Economic Significance of Serial Dependencies in Daily Stock Returns. The Journal of Financial Research, Vol. XV, No. 4.
    Fama, E. F. and M. E. Blume (1966) Filter Rules and Stock-Market trading. Journal of Business, 39, 226-241.
    Kahneman, D. and Tversky A. (1979) Prospect Theory: An Analysis of Decision under Risk, Econometrica, Volume 47, Issue 2, 263-292.
    Kestner, L. N. (2003) Quantitative Trading Stategies. McGraw-Hill.
    Lukac, L. P., Brorsen, B. W. and Irwin, S. H. (1988) A Test of Ftures Market Disequilibrium Using Twelve Different Technical Trading Systems. Applied Economics, 20, 623-639
    Stevenson, R. A. and Bear, R. M. (1970) Commodity futures, trends, or random walks, Journal of Finance, 25, 65-81.
    Smidt, S. (1964) Amateur Speculators, Graduate School of Business and Public Administration, Cornell University, Ithaca, NY.
    Sweeney, R. J. (1988) Some new filter rule tests: Methods and results, Journal of Financial and Quantitative Analysis. 23, 285-300.
    Taylor, S. J. (1992) Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing? Department of Accounting and Finance, The Management School, Lancaster University, England.
    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
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    92351021
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923510211
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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