| Summary: | 碩士 === 國立交通大學 === 資訊管理研究所 === 102 === There are many analytical methods applying to finance markets diversely. Technical analysis is often used by short or medium term investors, and MACD is one of the most popular indicators in technical analysis. There have been a lot of researches proving the effectiveness of MACD in the market.
J.Peter Steidlmayer put forward market profile theory. The theory is that changes in market prices are caused by various types of market participants’ trading behavior. Market does not follow random walk, but it fluctuates with the behavior patterns and rules. In market profile theory, participants are divided into long-term and short-term traders, market activities into initiative and responsive activity, trading types into buying and selling. There are at least eight behaviors of market participants.
However, lack of researches were conducted on the market profile theory in the financial field. Hence, this research combine the MACD crossover theory and the behavior of market profile. The research is conducted in the purpose of trying to explore the relationships between both theories, and to build an effective model based on the results of the statistical analysis. By combining these two, we expect that the model is more effective than the model merely using the MACD indicator.
Results of this research shows that the model combining MACD and market profile has better performance than the model that only use MACD indicator. In conclusion, it can effectively help investors grasp market trends.
|
|---|
