台指選擇權波動率指數與台灣加權指數日內分鐘行為互動關係之研究

Abstract

本研究旨在探討台指選擇權波動率指數與台灣加權指數日內分鐘行為之互動關係。台指選擇權波動率指數可視為台灣加權指數投資人之情緒指標。當此指標升高時，即表示股市將有與現在盤面相反的走勢出現。因此希望將台指選擇權波動率指數與技術指標結合，嘗試以編制出的台指選擇權波動率指數的技術指標，置入自組織映射圖神經網路與倒傳遞類神經網路所構成的預測系統，以人工智慧之方法學建置出台灣加權指數預測模型，以供投資大眾參考。

This study aims to discuss the minutely relationship between VIX and TAIEX index. VIX could be viewed as the sentimental index of the TAIEX index options investors. When VIX raises, it means the market would have fierce inverse change. Thus, this study try to apply VIX and technical analysis , in order to calculate the technical index of VIX. Taking the technical index of VIX as input, this study combines self-organization map and backward propagation neural network to construct TAIEX index forecasting system for TAIEX index options investors as reference.