資訊交易機率模型及其應用 (Chinese Edition)

by 榮耀 洪

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本研究先建立委託單驅動市場資訊交易機率理論模型,並以此分析資訊交易與資產報酬關連性,買賣/價格效果。其次,應用此模型,建構護盤基金及套利交易之委託單驅動市場套利交易機率理論模型,探討政府護盤是否有其必要和探討護盤進場時點是否符合下跌進場,上漲不介入之穩定基金設立精神。最後,建立能分析資訊交易者、非資訊交易者日內交易區間交易規模的交易者交易實證模型,以此分析交易頻率改變時,市場各類型投資人日內交易規模變化,瞭解市場績效成因。 在買賣/價格效果部分,發現1)短期(日內、日)資訊交易機率與資產報酬無關,但中期(週)則有關,其影響程度未如先前研究預期般高。2)好消息交易日日內資訊交易明顯高於壞消息,此顯示市場存在買賣資訊交易不均衡現象。 在穩定基金部分,發現1)護盤基金介入個股波動變小、效率變差、報酬較佳及流動變大。2)護盤基金介入標的之套利交易機率與其他公司並無顯著差異,且兩者績效也無明顯差別。3)護盤基金與套利者傾向開盤期間交易。4)相較其他套利交易,護盤基金交易與市場漲跌較為緊密,與個股漲跌較為疏遠。 在交易頻率部分,發現1)交易頻率變慢,造成開盤日內交易比率變小與績效變差,提高收盤時的日內交易比率與績效,尤其在高流動性公司變化特別顯著。2)交易次數增加,能增加高、中流動性公司流動性。對低流動公司而言,雖有提升流動性幫助,但卻會增加其波動,並降低其價格發現速度。



Details:
rank:
price: $27.00
bound: 128 pages
publisher: 金琅学术出版社 (April 10, 2017)
lang: Chinese
asin:
isbn: 3639829999, 978-3639829990,
weight: 8.5 ounces (
filesize:

















資訊交易機率模型及其應用 (Chinese Edition) 榮耀 洪
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