The Trading Strategy of TAIEX Futures - Using The Open Interest Chips of The Three Major Institutional Investor

Autor: Yung-Chuan Lin, 林勇湶
Rok vydání: 2014
Druh dokumentu: 學位論文 ; thesis
Popis: 102
It is a information explosion in current era, the financial market is flooded with a wide range of financial products and increasingly complex trading environment, causing investors can not decide to how invest in commodities. However, in recent years, due to Taiwan's futures market heating up, the money invested in the futures market is a common way for investment, and the futures market in Taiwan is mainly affected by three major institutional investors. Therefore, The paper uses the sum net open interest chips data of the three major institutional investor, according a certain proportion to adjust positions in every trading day, intraday is not take adjustment, construct a simple operation of futures trading strategies. The paper also joins a stop-loss mechanism to set stop-loss points and ahead of the settlement date to end the strategy, and compare add a stop-loss mechanism and adjust the settlement date whether to improve performance. The empirical results have the following three points: (a) Trading strategies have a good profitable with its stability. (b) The trading strategy after joining the stop-loss mechanism set stop-loss point can not beat the performance of the original trading strategy. (c) The trading strategy considers to adjust settlement date forward, the results of adjustments on the 1st is better, and can beat the performance of the original trading strategy. In addition, in the present study demonstrated the chips Information of the three major institutional investor has its considerable reference value, in future investors making investment decisions can refer to the concept of the study and based on individual risk appetite decide to set a stop-loss points, and the settlement date adjusted.
Databáze: Networked Digital Library of Theses & Dissertations
Externí odkaz: