| Summary: | 碩士 === 國立臺灣大學 === 會計與管理決策組 === 107 === This thesis investigates whether the open interest of three institutional investors and put/call ratio options can predict TAIEX trends, set put and call strategy which could allow investors who can bear certain risks and can invest sustainably gain abnormal returns according to main-stock data.We collected official data from Futures Exchange and had conducted back testing and analysis according to moving average, KD parameter, parameter optimization, Kelly formula, fund management and self-construct institutional stocks indicators.To Summary, futures open trust of block traders such as institutional investors can use as long-term positive expected value. Investors can conduct long-term RSP fund allocation and keep tracks of foreign investment trends in Taiwanese stock market. As foreign investment become a strong influence on Taiwanese stock markets, keep up with foreign investment strategy and conduct back test and analysis may gain more profit.
|
|---|
