Behavioral Finance Artificial Intelligence Trading Strategies Algorithm in the Empirical Analysis of Taiwan Index Warrants
碩士 === 東吳大學 === 財務工程與精算數學系 === 106 === This study uses the methods of historical estimation, the Gram-Charlier of Corrado and Su (1996), and Zhang et al. (2017) to investigate the relations between the underlying asset returns and the behavior sentiment indexes: the implied volatility and the implie...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43nry6 |
| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 106 === This study uses the methods of historical estimation, the Gram-Charlier of Corrado and Su (1996), and Zhang et al. (2017) to investigate the relations between the underlying asset returns and the behavior sentiment indexes: the implied volatility and the implied skewness. We also investigate the performance of securities firms as a market maker of warrants by the behavior sentiment indexes. Next, we discuss which trading strategies perform better under different warrants issued by different brokers and different evaluation methods of emotional indicators. Finally, neural network algorithms such as artificial intelligence combined with technology analysis of indicators and emotional indicators, the study found that considering the technical analysis indicators and emotional indicators of forecasting ability and performance better than the traditional technical analysis indicators.
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