| Summary: | 碩士 === 國立交通大學 === 應用數學系數學建模與科學計算碩士班 === 98 === Behavioral finance and traditional technical trading indicators are similar in their roots. Both are rooted in the assumption that man acts for behavioral reasons in ways that may seem irrational by the standards of classical finance. Both of them approach financial markets by identifying patterns of human behavior to uncover opportunities of profits. On the behalf of classical finance, “Efficient Market Hypothesis” (EMH) has been testing for its validity, though it’s still an unsolved argument for academic finance now. The EMH states that the current market price incorporates all the information available, which leads to a conclusion that given the information available, no prediction of the future price changes can be made. On the other hand, trading indicator such as technical analysis, which is essentially the search for recurrent and predictable patterns in asset prices, attempts to forecast future price changes. To the extend that return of a trading strategy can be regarded as a measure of predictability, trading indicator can be seen as a test of the EMH. This paper attempts on creating an automated trading process, which includes “dynamic technical trading indicators” and statistical method “CART” (Classification and Regression Tree) to check the profitability on global equity and Currency Markets. We conclude that, our testing methods do make obvious positive profits on developing countries’ equity and foreign currency markets; the reason why our method can’t generate obvious positive profit in developed countries maybe can point to the “reflexivity” of financial market.
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