标题: 应用基因演算法及自组织映射图神经网路对外资在台股指数期货持有成本之分析与大盘走势行为知识发现
Applying Genetic Algorithm and Self Organizing Map in Foreign Investors’ Carrying Cost on the Taiwan Index Futures and Trend of Taiwan Stock Index
作者: 林贞汝
Lin, Chen-Ju
陈安斌
Chen, An-Pin
资讯管理研究所
关键字: 未平仓部位;基因演算法;自组织映射图神经网路;Open Interest;Genetic Algorithm;Self Organizing Map Neural Network
公开日期: 2008
摘要: 自股票市场开放外资投资以来,大户坑杀散户之情形时有所闻;三大法人(包含外资)挟以资讯优势,拥有良好的择时能力,而资讯不对称下,散户总是追涨杀跌的最大受害者。过去文献多探讨三大法人在现货市场之行为,较少探讨其在期货市场之行为,而在针对期货未平仓量之研究,均无针对外资于期货的布局及持有成本进行分析。因此本研究将利用台湾期交易所于2008年4月7日才公开的三大法人每日未平仓部位资料,进行外资于台指期货市场交易行为之研究。
近年來,人工智慧方法学在财务金融領域上之应用蓬勃发展,其中基因演算法被公认为稳健有效率的最佳化方法。因此本研究使用基因演算法架构,期能求出外资于台指期货的布局与持有成本,并将求得之外资损益连同筹码面指标输入自组织映射图神经网路,进行分群,提出一个具有趋势预测能力之人工智慧模式。
本研究取样资料来源为台湾期交所日内交易及证交所大盘日交易资料,从2007年07月02日至2008年12月31日总共377个交易日资料。实证结果发现外资在期货市场的未平仓部位变化与其持有成本的确能提供有用的讯息协助判断大盘的趋势。
Since the stock market investment is available for foreign investors, it occurs that the rich family of the stock takes advantage of the private investor frequently. The three major institutional investors (including foreign investor) take advantage of the information and hold a good ability of timing, but under the information asymmetric, the private investor is always the victim. The past reference usually talked about the behavior of the three major institutional investors in the spot market, but seldom discussed the behavior in the futures. In the open interest, there is no analysis that the market strategy and the cost of carry in futures of foreign investor. As a result, in this research, we use the data of open interest of the three major institutional investors in Taiwan Future Exchange reported on April 7th, 2008 to do the research on the trade by the foreign investor in the futures.
Recently, the application of the artificial intelligence approaches in the field of finance is developed enormously, the genetic algorithm especially. Therefore, in this research, we use the genetic algorithm to get the market strategy and the cost of carry of the foreign investors in Taiwan Futures. And then importing the profit and loss of the foreign investors with institutional analysis to the self organizing map neural network, bring up an artificial intelligent module of predictive ability.
In this research, the data are from daily market report in Taiwan Future Exchange and Taiwan Stock Exchange including 377 trading dates between July 2nd 2007 and December 31st 2008. In the experiment, we find that the change of the open interest and cost of carry in futures of the foreign investors can give the helpful information to decide the trend of market index.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079634525
http://hdl.handle.net/11536/42949
显示于类别:Thesis