Chip Analysis from Intraday Data: A Case Study of TWSE Index Futures

• Main Authors: CHEN, PEI-LI, 陳沛立
• Other Authors: LIU, CHIH-LAING
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/u2uzd9

碩士 === 國立雲林科技大學 === 財務金融系 === 106 === The study uses intraday order and trade data of Taiwan Stock Price Index Futures. Exploring the correlation between the order imbalance and the index futures prices, and the correlation between the commissioned materials and the index futures prices. Our empirical results show that the order imbalance and the futures price had influenced each other. The order imbalance can be used to observe the trend of market price. And with the daily transaction data’s trajectory, it can be used to observe the futures price’s trajectory.