非同步報導與斷頭機制對技術分析之影響;The effect of nonsynchronous reporting and liquidation mechanism on technical analysis

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题名:	非同步報導與斷頭機制對技術分析之影響;The effect of nonsynchronous reporting and liquidation mechanism on technical analysis
作者:	黃恩慈;Huang, En-Tzu
贡献者:	財務金融學系
关键词:	技術分析;非同步報導;斷頭機制;Technical analysis;Nonsynchronous reporting;Liquidation mechanism
日期:	2020-07-10
上传时间:	2020-09-02 16:45:32 (UTC+8)
出版者:	國立中央大學
摘要:	本文將技術分析加入「非同步報導」和「清算機制」兩項因素，以檢驗交易規則在現實中是否有效。為了反映現實情況，本文不會在交易訊號觸發時立即執行交易，而是以開盤價將交易推遲至下一個交易日；同時，也在技術分析中增加了清算機制。結果表明，在現實世界中技術分析很難有好的獲利能力，可以擊敗買進持有策略的樣本比例並不高，此外，技術分析和買進持有策略的報酬之間的差異明顯隨著非同步報導和清算機制加入而縮小。結果證明，當我們無法立即執行交易並受限於清算機制時，技術分析的有效性減弱。關鍵字：技術分析；非同步報導；斷頭機制 ;This thesis takes the effect of “nonsynchronous reporting” and “liquidation mechanism” into the technical analysis to examine whether the trading rules work or not in reality. In order to reflect reality, this thesis does not execute the trading instantly when the indicator triggers but postpone the trading to the next trading day at an opening price. Besides, this thesis adds the liquidation mechanism into technical analysis. The result states that generating the profitability of trading rules in the real world is difficult. The proportion of samples which can beat the B&H strategy significantly is not high. Besides, the difference between the overall returns of technical and the B&H strategy narrows down obviously with the nonsynchronous reporting and liquidation mechanism. The result proves that the effectiveness of technical analysis weakens when I cannot execute the trading immediately and are restricted to the liquidation mechanism. Keyword: Technical analysis; Nonsynchronous reporting; Liquidation mechanism
显示于类别:	[財務金融研究所] 博碩士論文

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