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題名：運用智慧運算對期貨當沖交易之貪婪行為研究-以台灣指數期貨當沖交易行為之量化分析為例
作者：林建成
作者(外文)：Lin, Chien-Cheng
校院名稱：國立交通大學
系所名稱：資訊管理研究所
指導教授：陳安斌
學位類別：博士
出版日期：2018
主題關鍵詞：市場輪廓理論；金融工程物理；類神經網路；台灣指數期貨；交易分析；Market Profile Theory；Financial Physics；Neural Networks；Taiwan Futures Exchange；Trading Analysis
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日內當沖交易在近幾年來已經是相當重要的議題，其中尤以電腦程式交易甚或高頻交易的興盛使然。然由於日內交易趨勢預測複雜度高，往往使得傳統財務分析或技術指標對於短線市場趨勢預測成效不彰。
其主因是由於即時交易行為除了受技術分析之影響外，往往也受到心理學上所探討投資者在交易過程中之貪與怕影響。過去幾年來金融交易市場之實證研究相當重要且複雜度高，除了發現市場趨勢運動的特徵之外，何時進出場則對於獲利績效有很大的影響。
因此，透過以前發表文獻之延伸研究，進行交易市場相對低風險的進出場點之存在實證。運用市場輪廓指標與金融工程物理量找出交易訊號，運用反向操作的交易策略驗證是否為一個相對低風險的進出場點。本研究結果顯示藉由獲利績效之顯著差異，證明金融交易市場有相對低風險進出場點的存在。由此論述研究貢獻有三點：1.證明市場存在相對低風險的進出場點2.結合市場輪廓理論以及金融工程物理學，合理推演不同的物理量下股價的變化趨勢，成功描述市場上交易者之貪婪行為現象。3.驗證市場輪廓新的指標定義之適用性。
Day trading has become an important topic of discussion in the last decades, especially with regard to computer program trading or the increasing trend of high-frequency transactions. However, due to the high level of complexity regarding the forecasting of day trading trends, the use of traditional financial analysis or technical indicators for the forecasting of short-term market trends is often ineffective. The main reason is that in addition to the technical analysis of market physical trends, financial market trading behaviors are also often affected by psychological factors such as greed and fear, which are emotions displayed by investors during the transaction process.
The empirical research on the financial trading market in the past few years is quite important and complex. In addition to discover the characteristics of the market trend movement, that buying and selling timing in the market has a great impact on profitability performance. Therefore, through the extension study of previously published literature, there should be existing relatively low risk buying and selling points in the trading market. Using market profile indicators and financial engineering physical quantities to find trade signals, and using reverse-operation trading strategies to verify whether it is a relatively low-risk buying and selling point.
The results of this study show that by statistically significant differences in profitability performance, it proves that there exist relatively low risk buying and selling points in the financial trading market. There are three contributions to this study: 1. Verify there is the existence of relatively low-risk buying and selling points in the market. 2. Combining market profile theory and financial engineering physics, reasonably deducing the trend of stock price under different physical quantities, successfully describing the greedy behavior of traders in the market 3. Verify the applicability of the new indicator definition for the market profile.
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