Applying Genetic Algorithm on Behavior Analysis of Future and Spot
碩士 === 國立交通大學 === 管理學院碩士在職專班財務金融組 === 97 === Efficient Market Hypothesis states it is impossible to outperform the market because the financial markets are “efficient”, or that all the prices on the traded assets already incorporate and reflect to all the relevant information, hence, no existence of...
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| Format: | Others |
| Language: | zh-TW |
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2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/76552061801104671336 |
| Summary: | 碩士 === 國立交通大學 === 管理學院碩士在職專班財務金融組 === 97 === Efficient Market Hypothesis states it is impossible to outperform the market because the financial markets are “efficient”, or that all the prices on the traded assets already incorporate and reflect to all the relevant information, hence, no existence of arbitrage. However a large body of evidence supports and argues that the financial markets are not always efficient. Arbitrage opportunities may exist.
Can investors beat the market by trading the same underlying assets in spot and futures markets and realize the excessive profits through different market strategies?
This study is to demonstrate the relationship of price deviation between the traded assets in spot and future markets by use of “genetic algorithm” analysis. In this simulation, the past historical future trading prices were acting as input variables and then compared with the performance of Taiwan Stock Exchange Index (TAIEX). The evidence indicates that the market is not always efficient due to different market trading strategies and investor’s psychology.
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