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題名 | 臺指選擇權最適單一部位交易策略之選取=Selecting the Optimal Naked Strategies of TAIEX Options |
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作者姓名(中文) | 劉文祺; 葉毓茹; 張淑怡; | 書刊名 | 臺灣土地金融季刊 |
卷期 | 42:4=166 民94.12 |
頁次 | 頁1-22 |
分類號 | 561.76 |
關鍵詞 | 臺指選擇權; 交易策略; 小型臺指期貨; 向量自我迴歸移動平均模式; 類神經模糊網路; TAIEX options; Trading strategy; Mini-TAIEX futures; Vector ARMA model; Multivariate GARCH model; Neuro fuzzy network; |
語文 | 中文(Chinese) |
中文摘要 | 本研究旨在瞭解使用多變量預測模式,據以選取最適選擇權交易策略之效果為何。並將單變量的ARMA-(E)GARCH及AR(p)-NeuroFuzzy等兩種模式視為對照方法,經過嚴謹的實證過程後發現,多變量的VARMA及NeuroFuzzy兩模式,其預測漲跌方向的正確率皆高於單變量的ARMA-(E)GARCH及AR(p)-NeuroFuzzy兩模式,因此本研究以多變量的預測模式輔助選取最適之臺指選指權交易策略是適當的。另外,本研究亦發現,雖然多變量的 VARMA與NeuroFuzzy兩種預測模式的預測漲跌方向正確率相當,但其預測錯誤的月份則不相同,因此如將兩模式併行使用,則可相互彌補因預測錯誤所帶來的損失,並獲得折衷的綜合平均月投資報酬率。 |
英文摘要 | The purpose of this study is to investigate the suitability of selecting the optimal trading strategy of TAIEX Options aided by the Multivariate Forecasting models. Through rigoros empirical study, we find that the forecasting accuracy of Multivariate VARMA and NeuroFuzzy are better than ARMA-(E)GRACH and AR(p)-NeuroFuzzy. Therefore, it is suitable to select the optimal trading strategy of TAIEX Options aided by the Multivariate Forecasting models. In additions, although Multivariate VARMA and NeuroFuzzy has the same forecasting accuracy on the fluctuation direction, but their moths of error-forecasts are different. Consequently, it will compensate the loss due to forecast error if we combine these two models; it will gain the trade-off ROIs. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。