The Performance Analysis of Investment Strategies by Price and Volume Index
| Autor: | CHENG,YA-YIN, 鄭雅尹 |
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| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 In this paper, we use the volume and the open interest of the TXO and weekly TXO to establish trading volume-weighted index to find the trend of market. We try to establish the relationship of the TAIEX and the trading volume-weighted index by the methodology of time series model. According to the result of the market trend index, we establish time series model to find the equilibrium state of market and build a trading strategy by following the equilibrium. We also separately adopted trading volume and open interest as trend signs to created trading volume-weighted index and put-call trading volume ratio and put-call open interest ratio which is between call and put. The empirical results show the best performance of equilibrium trading strategy of the TXO and weekly TXO are to hold one day and five days. The best performance of trading volume-weighted index strategy is to sell when signal changes. The best performance of put-call trading volume ratio strategy is to hold five days. The best performance of put-call open interest ratio strategy of weekly TXO is to sell when signal change. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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