臺灣博碩士論文加值系統

本研究探討K棒策略在VIX期貨上是否能找尋到一些價值。本文蒐集了芝加哥交易所（CBOE）VIX期貨，並使用9種單根及7種雙根，總計16種的燭台策略做為VIX期貨市場的交易策略。我們嘗試利用6、8、10個K棒持有區間推斷有效預測週期。此外我們將VIX用到期日及指數分群，最後我們所得，到期日30天、31至60天、61至90天、VIX指數15.00以下、VIX指數15.00至25.00和VIX指數25.00以上的六種類別。實證結果發現，在日內VIX期貨市場中預測區間建議50至90分鐘為主。在分群方面的結果發現，距離到期日30天內的期貨相較於其他到期日區間較有顯著的獲利；VIX指數低於15.00的情況相較於其他分群，較有顯著的獲利。結果讓我們發現在VIX期貨市場中，K棒策略在近到期日及低VIX時較能反映期價值。

This study explores the potential value for a K-bar strategy in VIX futures trading. We collect the VIX futures historical transaction data from the Chicago Board Options Exchange (CBOE) with 9 kinds of single candlestick strategies and 7 kinds of double candlestick strategies, for a total of 16 candlestick strategies. During the back-testing phase, we utilize 6, 8, and 10 K-bar holding intervals to infer an effective prediction period and choose expiration day and index level in order to classify the VIX. Ultimately, we got six categories with above factor. The empirical results clearly recommend that the prediction interval in the VIX futures intraday market be 50 to 90 minutes. In terms of clustering, we note that futures within 30 days of expiration have a more significant profitable performance compared to futures clustered with 60 and 90 expiration day. To be more specific, a VIX index below 15.00 has a more significant profitable performance versus an VIX index between 15.00 to 25.00 and above 25.00. We strongly conclude that a candlestick strategy in the VIX futures market is more reflective in periods at nearer maturities and lower VIX levels.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖目錄 v
表目錄 vi
1. INTRODUCTION 1
2. LITERATURE REVIEW 4
3. DATA 8
3.1 Sample 8
3.2 Sequence of order 9
4. CANDLESTICK 10
4.1 Origin and synopsis of candlestick 10
4.2 Shadow 11
4.3 Real body 12
4.4 Pattern 14
5. RESEARCH DESIGN 15
5.1 Strategy 15
5.2 Benchmark 16
5.3 Classification 18
6. EMPIRICAL RESULTS 20
6.1 Original Data With Time Period 20
6.2 Expiration Day (Tables8-11) 22
6.3 VIX Index (Table12-15) 24
7. CONCLUSION 27
REFERENCES 29
FIGURES 32
TABLES 36

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