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研究生:邱怡婷
研究生(外文):Yi-ting Chiu
論文名稱:ARMA-GARCH模型下高頻率台指程式交易策略實證分析
論文名稱(外文):Empirical Study on TAIEX Programming Trading Strategies under ARMA-GARCH Models
指導教授:王昭文王昭文引用關係
指導教授(外文):Chou-Wen Wang
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:風險管理與保險研究所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:120
中文關鍵詞:程式交易波動型模型技術分析
外文關鍵詞:Volatility modelsTechnical analysisProgram Trading
相關次數:
  • 被引用被引用:1
  • 點閱點閱:507
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
運用2001年至2011年之日台指收盤價與每5分鐘台指高頻率資料為研究對象,本研究探討移動平均線概念之買賣與賣買交易策略之實務可行性分析。運用波動性模型如GARCH、GJR、EGARCH模型搭配殘差為常態及t分配概念,運用預期的TAIEX價格求算移動平均線並建構相關交易策略,回測驗證上述交易策略之成效,並做為投資人參考依據。實證分析結果發現,採用GARCH模型搭配殘差為常態分配,預期TAIEX價格所得的月移動平均線之交易策略報酬較佳。
Using the five mines TAIEX intra-day high frequency data and closing price from 2001 to 2011, this paper empirically tests the trading strategies according to the moving average approach. This paper applies three variation GARCH-type volatility models: GARCH, GJR and EGARCH models with normal and Student’ t distributions to forecast TAIEX prices. Based on the moving average of the forecast prices, this paper constructs the relevant trading strategies and empirically tests their performance for investors’ reference. From the empirical results, this paper demonstrates that the moving average trading strategies according to GARCH-normal model provides a better performance.
摘要 I
Abstract II
誌謝 III
目錄 VI
表目錄 VIII
圖目錄 IX
第壹章 緒論 1
一、研究背景 1
二、研究動機 1
三、研究目的 2
四、研究架構 3
第貳章 文獻回顧 4
一、波動型模型 4
二、技術分析(Technical Analysis) 5
三、程式交易(Program Trading) 9
四、高頻率資料 10
第参章 研究方法 11
一、研究資料 11
二、波動性模型 11
三、模型診斷 15
四、程式交易策略建構 16
第肆章 實證結果 21
一.日數據 21
二.日內數據 46
第伍章 結論與建議 66
一.結論 66
二.建議 67
參考文獻 68
附錄 71
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