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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50849
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/50849

    Title: 條件機率交易模型 - 台灣股票市場之實證研究
    Conditional probability trading model - empirical research for the stock market of Taiwan.
    Authors: 李培均
    Lee, Pei Chun
    Contributors: 李桐豪
    Lee, Tong Hao
    Lee, Pei Chun
    Keywords: 包寧傑帶狀
    Bollinger bands
    dynanic skewness
    mean reversion
    Date: 2010
    Issue Date: 2011-09-29 16:50:37 (UTC+8)
    Abstract: 該篇文章中提出一個新的交易方式:條件機率交易模型conditional probability trading model。

    The trading strategy, conditional probability trading model(CPTM), is presented in this article. We’ve tried to develop a new trading strategy which is built up by the combination of the properties which includes 1)the relationship between macroeconomic factors and stock market. 2) mean reversion and 3) conditional skewness. The conclusion implies that we may successfully find out a method to combine fundamental and technical analysis, if this method is proved effective. The former hypothesis is assumed that the different level of stock market index may stand for a specific condition of macroeconomic environment. Meanwhile, a better fundamental economic condition could reasonably create a higher stock market index, vice versa. By observing the fundamental value, we can figure out the market ,currently, is over-priced or under-priced. Next, we construct a trading model which is graphed like Bollinger bands. According to specific rules, it provides buying or selling signals. In some special situations, it can also forecast the turning points of the stock market precisely. 3) Skewness also plays a very important role in CPTM, because one of the hypothesis assumes that overpriced /underpriced stock market probably accompanies with left-skewed / right-skewed distribution of daily stock return. The hypothesis of dynamically adjusted skewness implies the concept that over-priced/under-priced stock market has higher propensity to decline/rise. To judge the trading timing is the core value in this model.
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    Chinese Essays中文論文
    Kai-Li Wang王凱立,Jai-Hui Lin林嘉慧(), A new parameter approach to modeling generalized autoregressive conditional density model at higher order moments.條件高階動差於財務金融市場之應用
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098352017
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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