應用線性規劃法及自組織映射圖神經網路對外資近月籌碼佈局及期貨走勢行為分析

Abstract

隨著政府法令鬆綁及MSCI調升台灣股市權重，外資對於台灣股市影響與日俱增，多篇探討外資籌碼及其行為動向的文獻也發現外資籌碼能提供有用資訊於投資決策上。但過去文獻探討市場總和籌碼並未強調近期籌碼量能變化，本研究嘗試利用線性規劃法估計外資近月期貨未平倉量，並配合外資權值個股籌碼作為輸入值，利用自組織映射神經網路進行分群分析，檢視期貨及現貨等五種籌碼組合，於結算前1至5日、6至10日、11至15日三個時間區間做三日漲跌趨勢及結算漲跌趨勢，進行投資績效分析。最後依據外資在期貨與權值個股組合之籌碼組合與不同預測時區、不同投資策略，提出動態輔助投資決策的建議。 研究結果顯示: 1. 若不區分時間區間進行三日趨勢，融合外資權值現貨及期貨籌碼組的勝率及平均報酬點數優於單純外資期貨籌碼或外資現貨籌碼，其中以外資前三大權值現貨及期貨籌碼組合績效最佳。結算預測時平均獲利優於單純外資期貨籌碼或外資現貨籌碼組合。 2. 實驗證明，結算前一日至五日，融合前三大權值現貨及期貨籌碼在勝率及獲利點數優於其他籌碼組合；結算前十一日至十五日區間，融合前十大權值現貨及期貨籌碼平均勝率最高，在三日趨勢預測上勝率及平均報酬最佳，能有效預測台指期短天期趨勢，能提供投資人做為投資策略決策之參考。 3. 總和三個時區及兩種趨勢交易策略，融合外資權值現貨與期貨籌碼組合對於三日及結算趨勢預測表現優於外資期貨籌碼，而外資期貨籌碼優於外資權值現貨籌碼。

With deregulation of limitation on foreign investors and MSCI up weighting Taiwan index stock, foreign investors increase investing amount gradually. Therefore, they play more and more important roles in Taiwan Stock Market. In the researches of foreign investors’ holdings, many of them explored the foreign investors’ behaviors by using futures, stocks or option holdings, which can really deliver useful information for investing strategy; however, current articles looked at whole contract holdings instead of focusing on the nearest holdings, which have the most correlation with the stock index . This article is an attempt to use Linear Programming to evaluate the open interests of foreign investor’s nearest contract holdings, then put the estimated futures holdings and recent value-weighted stock holdings of foreign investors’ into Self-organizing Map to observe different holding groups’ behavior. The estimation result is grouped into five holding groups, including three categories-- futures, value-weighted stocks, and mixed futures and value-weighted stocks. The estimations of five holding groups are inspected by two trading strategy, 3-day trend and settlement trend. Besides, investing timing is concerned, divided into 1 to 5 days, 6 to 10 days, and 11 to 15 days before the settlement day. The empirical results show that: 1.If the study does not put the time factor into the examination, the estimation of mixed holdings, included futures and value-weighted stocks, achieves better performance than any other combination, especially the holdings composed of three major value-weighted stocks.2.If the study further takes the time factor into consideration, the estimation of mixed holdings also shows higher performance. Among mixed holdings, the one made up by three major value-weighted stocks and futures at 1 to 5 days before settlement day gets higher win-loss ratio and profits than any other combinations. However, the estimation of the ten major weighted stocks and futures at 11 to 15 days before the settlement day performs the best win-loss ratio and profits, especially in the 3-day trend trading strategy.3.In short, consider the time factor, trading strategies, and multiple holdings combinations, the holding composed of weighted stocks and futures reveal higher performance than futures. Furthermore, futures holdings group perform better than value-weighted stock holdings.