「Cost Driven Algorithmic」Taiwan Futures Market Empirical Studies
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === In recent years, the trading volume executed by algorithmic trading methods increased. Combined with transaction cost analysis, the transaction cost components can be analyzed by investment institutions to enhance the performance of the algorithmic strategie...
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| Format: | Others |
| Language: | zh-TW |
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70488359078639593765 |
| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === In recent years, the trading volume executed by algorithmic trading methods increased. Combined with transaction cost analysis, the transaction cost components can be analyzed by investment institutions to enhance the performance of the algorithmic strategies.
Traders dilemma can be solved by trading algorithms. This study applied IS(Implementation Shortfall) algorithms and MC(Market Close) algorithms in Taiwan Futures Market.
The empirical systems were developed on Visual C#. The performance of empirical results was measured by MAPE (Mean Absolute Percentage Error) and RPM(Relative Performance Measure ). Statistic’s hypothesis tests were made to compare the algorithms performance.
The results showed that using IS algorithmic and MC algorithmic could minimize the shortfall of impact cost and timing cost. Overall, the buyer was suggested to use IS algorithmic, and the seller was suggested to use MC algorithmic.
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