應用基因演算法在台股籌碼面的知識發現

Abstract

本論文以民國93/07/02~96/06/30台灣期貨交易所開始公布之 “期貨大額交易人未沖銷部位結構表” 日資料，為研究樣本，利用基因演算法，研究 台指期貨 所有月份 前十大交易特定法人未沖銷百分比、多方力量、空方力量、平均買張、平均賣張 與 台股漲跌 之關係。實證研究得出如下結論：

台灣股票市場並不是一個強勢效率市場。在台灣股票市場的確有一雙看不見的手(法人主力)，在主導整個市場的興衰。這些法人主力，會先在期貨市場作多，買進買權；在手中的期貨多單未沖銷的水位達到一定程度時，就會在現貨市場發動一波多頭攻勢，大賺期貨多頭價差。而在現貨拉高到某一個水位時，又會將期貨的多單平倉，改為以期貨空單避險。

所以今日的台灣股市，現貨相對於期貨已經是落後指標，投資人在投資現貨，尤其是大型權值股時，需要謹慎參考法人在期貨市場的動靜，方能常保投資獲利。

另外這項研究亦可投入在台指選擇權上，原因為由於出現波段上漲訊號時，大盤現貨指數一定會大於當日的現貨指數；可以使用賣出賣權或買入買權的交易策略，使投資人在台指選擇權上獲利。

This thesis research sample is based on TAIFEX announced top 10 specific institutional investors statistical data between 2004/07/02 and 2007/06/30. By using Genetic algorithm to study the relationship between TAIEX rise and decline and TX all months top 10 specific institutional investors buy/sell position PO percentage difference, bull market energy, bear market energy, average bid volume and average ask volume. And this research is concluded as below：

Taiwan stock market is not a strong form efficient market. Indeed, there is an invisible hand (the institutional investors) in Taiwan stock market controlling the whole market’s rise and decline. The institutional investors enter into long future contracts, after the long open interest volume reaches a certain level, the institutional investors will buy stocks in the stock market to earn future spread. After the stock market index reaches a certain level, the institutional investors will close the long position and hedge by entering into short future contracts.

Therefore, today’s Taiwan stock market, comparing to future market, is backward. Investors must carefully refer to the institutional investors’ movements in Future market when investing stock market, especially for weighted stock to keep earning profit.

Furthermore, this research can be applied on TAIEX Options investment. The reason is when this forehand index appears, TAIEX after several days must be greater then today’s TAIEX; people can use the transaction strategies of short put or long call to gain profit on TAIEX Options.