| Summary: | 碩士 === 國立交通大學 === 資訊管理研究所 === 103 === Today, in the rapid development of computer hardware technology and software algorithms gradually maturing. Unlike conventional trading patterns, More and more institutional investors and retail investors, using computer software to implement the "Program Trading". Furthermore, there are people who along with investment in information technology and financial knowledge, using the computers to carry out the "High Frequency Trading".
So, how to find the impact of future price movements factors in a very short period of time are very important. So that investors can react instantly to earn profits and avoid losses, it is an important issue.
This study was to find out from the literature that may affect a sudden change in commodity prices in the short term financial facets, make inferences, build assumptions, and design quantitative indicators. Using data between 10 December 2014 and 21 January 2015 period Taiwan Index Futures for the empirical subject, verify assumptions, to identify factors that can significantly affect Taiwan Index Futures sudden price changes.
Experimental results show that according to supply and demand principle through assumptions and formulas designed to take reasonable and appropriate parameters to do with, can effectively predict TAIEX goods movements within a very short-term.
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