| Summary: | 碩士 === 國立交通大學 === 資訊管理研究所 === 98 === This study applies Back-Propagation Neural Network(BPNN) for investigating the relationship between TAIEX and Taiwan’s three major institutional investors’ open interest of futures and options. Daily values of three institutional investors, foreign investor, investment trust and security dealer’s open interest in TAIFEX futures and options were used to train the BPNN, and the output is to estimate the trend of TAIFEX on settlement day. The estimation result is grouped into 9 groups, including the three institutional investors, foreign investor, and the investment trust and security dealer’s estimation for 1 to 5 days, 6 to 10 days, and 11 to 15 days before the settlement day.
The empirical results indicate that the three major institutional investors’ estimation at 1 to 5 days before the settlement day achieved better prediction than random trading model. Furthermore, the foreign investor’s estimation during 6 to 10 days before the settlement day also attains more accurate prediction than random trading model.
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