臺灣博碩士論文加值系統

本研究旨在建構基於委託量之個股經紀商資訊流網絡(volume based broker information network)，探討網絡結構與市場特徵之關係，並利用機器學習分群投資人類型及預測市場短期價格走勢。本文是首篇利用委託量來建構資訊流網絡，並有效的利用網絡參數來分群投資人的研究。
本研究透過網絡 (network) 之分析方法，透過網絡參數變化，可以讓我們了解市場資訊的變化與流動。而網絡中心性與模組化程度可以直接衡量資訊不對稱與意見分歧或從眾行為，甚至領先傳統的資訊風險衡量方式，透過分析網絡參數，我們能夠了解投資者行為與市場特徵間的關係。
Admati 與Pfledierer (1998)首次將投資人分為三類，他們指出資訊投資人與流動性投資人的交易會使股票成交量聚集，Delong et al.(1990a,1990b)也提出雜訊交易者與理性投機者對於股市資訊與波動性的影響，所以如何有效分類投資人類型是市場相關實證研究的一大課題;而本研究使用機器學習，透過輸入網絡參數資料，可以有效的分類出資訊投資人以及雜訊投資人以及提升短期股價趨勢的預測能力。
除此以外，過去網絡分析的建構方式通常是以時間為單位來建構，本研究則將交易量視為時間單位，當累積到某特定交易量時即建構一個網絡，以此方式建構之每個網絡會有固定的資訊含量，因此，所計算出的網絡參數較有穩定性，且較能捕捉到市場上資訊的流動。以此方法所建構之網絡可以較過去文獻研究更深入的解讀目前市場上資訊如何流動，並進一步判斷與價格走勢的影響。

In this study we construct volume-based broker information network and explore the relationship between network topologies and market quality; furthermore, the study uses machine learning to classify investor types and predict short-term price movements in the market. This study is the first use order volume to construct the information network and effectively grouping investors by network topology and machine learning.
This study uses social network analysis methods to extract network topologies parameters such as centrality and modularity from the network. Centrality and modularity provides useful information regarding the information asymmetry and herding propensity of the network. As network topologies directly reflect the dynamics of information transmission structure among nodes (investors), they may be a quicker or better estimate of information risk.
Admati and Pfledierer (1998) first posit that there are three types of investors, informed traders, discretionary and non-discretionary liquidity trader. Delong et al. (1990a, 1990b) point out the effect of noise traders and informed traders on market volatility. The proportion of different investors can affect security price risk and even pricing. Therefore, how to classify investors effectively is a major issue in financial market research. This study attempts to use machine learning to help us classify investor type and predict stock price trends while incorporating network topologies into the algorithm.
In addition, previous network study usually constructs the network in a time-based manner, for example, a daily network. In this study, the network is constructed based on volume. As each network has an equal volume or thickness of information content, the network parameters are more stable, and provide better measure of the flow of information in the market.

論文審定書 i
摘要 ii
ABSTRACT iii
CONTENTS iv
LIST OF FIGURES vii
LIST OF TABLES viii
Chapter 1 INTRODUCTION 1
1.1 Background Information 1
1.2 Research Purpose 2
1.3 Research Contribution 3
Chapter 2 LITERATURE REVIEW 4
Chapter 3 METHODOLOGY 7
3.1 Data Description 7
3.2 Network Analysis 8
3.2.1 Volume Bucketing 8
3.2.2 Volume Based Broker Information Network 9
3.2.3 Network Parameters 10
3.3 Econometric Model 14
3.3.1 Network Topology and Market Quality 14
3.3.2 Investor Centrality and Profitability 14
3.4 Machine Learning 15
3.4.1 Forecast Short-Term Price Trends 15
3.4.2 Group Investor Types 16
Chapter 4 EMPIRICAL RESULTS 17
4.1 Descriptive Statistics 17
4.1.1 Stock and Volume Bucketing 17
4.1.2 Volume-Based Broker Information Network 19
4.1.3 Time Based Broker Network 26
4.2 Network Topology and Market Quality 27
4.2.1 Volume-Based Network v.s. Time-Based Network 27
4.2.2 Volume-Based Network and Market Quality 28
4.3 Forecasting Short-term Price Trends 33
4.3.1 Comparison of predictive power 33
4.3.2 Important Variables Analysis 34
4.4 Grouping Investors 37
4.4.1 Investor Centrality and Profitability 38
4.4.2 Grouping Investors by Machine Learning 40
4.4.3 Follow with Informed Traders 42
Chapter 5 CONCLUSION 44
5.1 Conclusion 44
5.2 Future Work 45
REFERENCES 46
APPENDIX 49

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