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|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.
Lee, Pei Chun
Lee, Tong Hao
Lee, Pei Chun
|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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|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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