A study on the relationship of Large Trader Open Interest and Three Institutional Investors Open Interest on TAIEX Futures Index Applied Data-Mining Techniques

• Main Authors: Chih-hsiang Kuo, 郭志祥
• Other Authors: Kuo-Sheng Lin
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/60940066961859137197

碩士 === 國防大學 === 財務管理學系 === 102 === In this paper, through the expansion of after-hours information with the boom phase of the business cycle through the Taiwan Futures Exchange futures and options transactions with three large corporation (domestic dealers, mutual funds, foreign institutional investors) to three years as the base to data mining association rule analysis, discussion and Taiwan stock index futures and large futures traders remain open interest positions with three parts flow and inventory change correlation. A net top ten traders TAIEX Futures and net open foreign TAIEX Futures influential association of Taiwan Stock Index Futures rose. Second, because of the unequal terms of the option rights and obligations characteristic features in the hedge, causing the three legal (domestic dealers, mutual funds, foreign institutional investors) will result in an empty one part of TAIEX Futures rise. The site has a large trader five sets before the net put option will result in more than one part of the Taiwan Stock Index Futures rise.