臺灣博碩士論文加值系統

本論文為投資策略，旨在從加劇的市場波動中獲利。由於全球資產分配不當和債務流動帶來的挑戰，過去15年來幾個繁榮和蕭條的週期將持續循環。波動率以芝加哥期權交易所VIX波動率指數測量。擬議的均值回歸策略使用通過統計分析的VIX極樂觀和悲觀程度作為逆向指標，。本論文的研究發現，通過回溯測試，在極端的恐懼氣氛中可預期市場，但在極端的希望和自滿氣氛中是不可預測的。這一利用情緒的策略，平均每年只要五個月的積極操作便能勝過平均市場。綜合廣泛的基本面，技術面和行為研究，本論文提供了獨特的貢獻和實際的市場交易準則。這些重要的研究結果，將有利於個人投資者在市場波動加劇時做出更好的決策。

This thesis is an investment strategy that seeks to profit from increases in market volatility. There have been several boom and bust cycles during the past fifteen years and volatility is projected to continue forward as a result of global asset misallocation and challenges stemming from debt liquidity. Volatility is measured by the Chicago Board of Options Exchange VIX volatility index. A proposed mean reversion strategy uses the VIX as a contrarian indicator of hope and fear to time decisions at extreme levels that have been determined through statistical analysis. This thesis found through back testing that market timing is possible at extreme levels of fear but is less reliable during extreme levels of hope and complacency. This strategy that utilizes measures of sentiment does however outperform the general market despite being active only five months on average per year. By synthesizing a broad range of fundamental, technical, and behavioral research, this thesis develops a unique contribution and practical set of market trading guidelines. The significance of these findings will help the individual investor to make better decisions during times of increased volatility.

I. Introduction &; Literature Review 9 1.1 Overview 9
1.2 VIX Explanation 11
1.3 Literature Review 19
1.31 Fundamental Research 20
1.32 Timing Research 22
1.33 Derivatives Research 23
II. Alternatives, Arguments &; Criticisms 26
2.1 Alternatives 26
2.11 Total Put Call Ratio 27
2.12 Relative Strength Indicator 30
2.13 Investor Survey 32
2.2 Arguments 35
2.21 History 37
2.22 Misallocation of Capital 39
2.23 Debt Liquidity 42
2.3 Criticisms 44
III. Strategy, Analysis &; Conclusion 46
3.1 Strategy 47
3.2 Analysis 55
3.3 Conclusion 57
IV. References 59
V. Appendix 64

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