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    題名: 快速交易對期貨價格的預測能力
    其他題名: Can fast trading forecast the direction or the noise of futures prices?
    作者: 黃文穎;Huang, Wen-Ying
    貢獻者: 淡江大學財務金融學系碩士班
    林蒼祥
    關鍵詞: Fast Trading;Forecasted Price;Fututrs Market;快速交易;期貨市場;價格預測
    日期: 2017
    上傳時間: 2018-08-03 14:41:34 (UTC+8)
    摘要: 本文藉以 Brogaard et al. (2014) 為論文基礎，分析臺灣期貨市場上快速交易對期貨價格預測的能力。為探討快速交易是否在市場方向性或雜訊上的預測能力有所不同，更進一步依據 Hu (2006) 方法將價格做分解為永久性價格與短暫性價格。永久性價格為市場方向性，短暫性價格為雜訊。運用快速交易對此兩種不同特性之價格分別進行預測能力的分析。又將快速交易者分為外資、本地機構投資者、散戶三類投資人，觀察三類快速交易者的投資人對於價格預測的能力。
    研究結果顯示全市場的快速交易對於短暫性價格具有正向的預測能力，對於雜訊這類短暫且消逝極快的資訊對價格的影響有正確預測能力。而全市場的快速交易對於永久性價格不具有正向的預測能力，對於市場方性不具預測的能力。另外將投資人分為三類，分為外資、本土機構投資人、散戶，探討這三類不同投資人的快速交易對價格預測能力後發現，外資對於短暫性價格與永久性價格兩者皆具有預測能力，本土機構投資人的快速交易則只有在短暫性價格具有預測能力，散戶的快速交易只有在永久性價格上具有預測能力。
    Based on Brogaard et al. (2014), I analyzed the ability of fast trading to forecast price in Taiwan Futures Market. To investigate whether fast trading possesses different forecasting ability in the market direction or noise, I used Hu (2006) as the approach to resolve the prices into permanent price and temporary price. Permanent price refers to market direction while temporary price refers to Noise. The forecasting ability of both prices with different traits would be analyzed individually by using fast trading. Moreover, fast traders were divided into three categories: foreign Institutions, domestic institutions and retail investors, and then to observe their predictive abilities from these three categories.
    I have found fast trading on the whole market has the positive forecasting ability to temporary price and is able to forecast that how some brief and rapidly fading information like noise affects the price. However, fast trading on the whole market doesn’t have a positive forecasting to permanent price and has no forecasting to market direction. Besides, since the investors are categorized into three groups: foreign institutions, domestic institutions and retail investors, I investigated each group’s forecasting ability to fast trading, and indicated that foreign Institutions can forecast both temporary price and permanent price. Fast trading in domestic institutions only forecast for temporary price and retails only forecast for permanent price.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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