Applying Market Profile Theory to Analyze Financial Big Data and Discover Financial Market Trading Behavior - A Case Study of Taiwan Futures Market

Abstract

With financial market constantly changing, prices are often affected by many factors that we cannot predict its direction easily especially in the market correction. If investors want to make profits, they must find a relatively low-risk entry points. This study is based on Market Profile Theory to use the displacement of point of control (POC) in different trading days to find out the best extremely short-term entry and exit points in financial big data in order to have experiment and analysis. We expect to find knowledge and behavior of the potential market that can help traders to make profits in extremely short-term trading. And at the end of this study, we can refute that Taiwan Index Futures Market conform to the weak form of efficient market hypothesis. This study found that the POC of historical trading day can be the reference and recommendation of entry point. The greatest performance of making profit is using 5-days historical POC to join the experiment. And it shows POC has the characteristic that the most traders accept its price.