| Summary: | 碩士 === 國立清華大學 === 高階經營管理碩士在職專班 === 97 === To identify individual stocks from thousands of available stocks is simply too exhaustive. Advancements in the internet and information technology have digitized most stock market data, allowing stock selection to be done in greatly reduced time through the application of artificial intelligence to manage and analyze the data, elimination of human factor or subjective judgment is an inevitable trend. Many literature and real world application have shown that traditional statistical analysis can no longer grasp the continuous variability of the market.
When investors, whether institutional or individual, selects a stock for investment, it must believe that stock has great potential for capital gain. This thesis attempts to analyze the market player profile to try and identify signals for buy position by major market players. We expect to obtain higher return on investment by following major market players buy and sell positions and avoid the general individual investors irrational buy and sell behavior, and explore whether we can formulate a better stock selection and market timing strategy based on security firms with higher return from each transaction.
This thesis use RDC Semiconductor (Code 3228) as simulation target and sampled data from 2 Mar 2005 to 30 Oct 2008, total 950 trading days. This research use quantity and price correlation to identify periods of positive return, and use security firm transaction analysis system version 5.1R from Fortek to simulate the daily average transaction cost and volume by each security firm as the indicator of a major market player.
The Apriori data mining model based on correlation rule proposed by this research can, through expandable volume/price and player profile knowledge framework, build a association rule model of major market players, and quickly identify the 14 major security firms associated with RDC Semiconductor (Code:3228) whose return on investment accounts for 60.7% of total returns. Establishing major market players transaction model through price and market profile correlation proves to be a good investment strategy. In addition, in order to verify the effectiveness of the correlation model, this research looked at 5 other OTC traded stocks, among them, we were able to identify the major market players through the correlation model for 3 stocks. One can earn up to 2 ~ 3 times the market return if he followed the transaction pattern of a major market player.
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