積極度與快速交易對期貨價格具預測能力嗎?

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Title:	積極度與快速交易對期貨價格具預測能力嗎?
Other Titles:	Are fast trading and aggressiveness able to forecast futures prices well?
Authors:	胡執中;Hu, Zhi-Zhong
Contributors:	淡江大學財務金融學系碩士班林蒼祥
Keywords:	Aggressiveness;Fast Trading;Futures market;快速交易;期貨市場;積極度
Date:	2017
Issue Date:	2018-08-03 14:41:00 (UTC+8)
Abstract:	本文旨在探討不同類型的快速交易者對價格預測之能力，依據 Benoa and Sagade (2016) 的想法，觀察快速交易者對流動性的需求及供給並藉此衡量其積極度，本文將快速交易者根據交易積極度區分成三種不同類型，分別為Aggressive、Neutral以及Passive，藉以來觀察不同類型的快速交易者對價格預測之能力。再進一步根據Hu (2016) 將價格拆解成永久性價格及短暫性價格。探討不同積極度的快速交易者對兩種不同價格的預測能力。而後本文將快速交易者更細分為外資、本地機構投資者和散戶三類快速交易投資人探討其對價格預測的能力。研究結果顯示，在全市場的部分只有Aggressive、Neutral這兩個積極類型的快速交易對價格有預測能力，本文進一步將價格拆解成永久性價格(市場方向性)，及短暫性價格(市場雜訊)，結果顯示Aggressive、Neutral兩個積極類型的快速交易者只對永久性價格有預測能力。而後將投資人分為外資、本地機構投資人及散戶三類，結果顯示外資的Neutral及Passive對長久價格有預測能力，散戶的Aggressive對永久性價格及短暫性價格皆有預測能力，推測散戶的Aggressive的快速交易者為老練的散戶，本地機構投資人的Aggressive對永久性價格及短暫性價格均有預測能力，Neutral僅對永久性價格具有預測能力。 This thesis investigates fast traders’ ability to predict future price. According to the study of Benoa and Sagde (2016), fast traders’ aggressiveness can be examined by observing their Demand and Supply toward Liquidity. Upon observation, fast traders can be divided into three categories: Aggressive, Neutral and Passive; each with varying abilities to predict price. Furthermore, this study separates prices into Permanent Price and Temporary Price based on Hu (2106) and discusses relationships between the mentioned fast trader types and price types. Lastly, this study considers the investor''s area of operation, sorting fast traders into Foreign Institutions, Domestic Institutions and Retail, to further assess the price prediction ability of said fast traders. The results of this study revealed that only Aggressive and Neutral fast trading types have the capacity to predict price, specifically permanent prices. Neutral and Passive fast traders in Foreign Institutions were also found able to predict Permanent Price; while Aggressive types in Retail could predict both Permanent and Temporary Prices. Thus speculating Aggressive Fast Traders in Retail to be more experienced. Aggressive traders in Domestic Institutions have ability to predict both Permanent and Temporary Price; while Neutral types can only predict Permanent Price.
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