應用智慧型系統於台灣證券及期貨市場資金動向之研究

Abstract

近年來，金融市場中資金的流動逐漸受到投資者重視，而技術指標所依據的「價」與「量」兩物理量即是資金流動所產生。隨著我國極欲成為亞太金融中心，政府提出種種開放措施，採取一連串引進外資、放寬外資投資比重、開放證券投資信託公司的設立，三大機構法人陸陸續續地投入了國內證券市場，市場成交量逐日增加，帶動了股市的日益繁榮。國內股市在政府開放綜合證券商自辦融資融券業務後，更是促使融資融券餘額增加。期貨市場於1998年7月推出第一個期貨商品「台灣證券交易所股價指數期貨契約」後，每年總交易口數逐年上升。隨著期貨與選擇權等新金融商品的推出，台灣金融市場更為健全。 本研究嘗試藉由自組織映射圖網路及倒傳遞類神經網路於台灣證券與期貨市場，進行市場資金流動之分析；預期藉由自組織映射圖網路及倒傳遞類神經網路的優秀分群和學習能力，找出市場資金流動的潛在行為，做為投資者的輔助投資工具。

Recently, the flow of capital in the financial market has been gradually esteemed by the investors. Also, the two indicators, price and volume, which both are the bases of technique indexes, are generated from this flow. With the policies presented by Taiwan government, that is, to be the financial center in the Asia area, the government has presented several open policies to attract the foreign investors, increase the investing rate by the foreign investors, promise the establishment of securities investment trust enterprises, and the three institutional investor continually invest into Taiwan's financial market. This makes the traded volume get higher and higher, and brings prosperous environment in the stock market. After the government has promised the Securities Firms to conduct the loan business, the surplus of margin transaction gets increased. After the Futures Market promoted the first financial products: TX in July, 1998, the transaction volume gets higher and higher. With the promotion of futures and options, the financial market in Taiwan is healthier. This research tries to by SOM and BPN in the Taiwan Stock and Futures market to analyze the flows of capital in the market. This wishes to find out the potential behaviors of the flows by SOM and BPN to be a investment tool for investors.