Testing Random Walk Hypothesis on Taiwan Index Futures Market by Discovering Knowledge in Opening Period
|關鍵字:||市場輪廓;隨機漫步假說;台灣指數期貨;開盤八法;Market Profile;Random Walk Hypothesis;TAIEX Futures;Opening Patterns|
The market opening provides an excellent opportunity to observe and evaluate the market’s underlying directional conviction. With understanding of market conviction in opening period is helpful for investors to make decision for the day. For this reason, this research is based on market profile and traditional opening patterns to construct indicators applying neural network technically trying to find out the relation between the opening period on Taiwan Index Futures Market and trend of the day. Moreover, this research tests random walk hypothesis on TAIEX Futures market and constructs a model to help investor make decision by finding out the underlying knowledge and behavior in opening period. The results of this research show that the indicators by integrating market profile and tradition opening patterns have ability to forecast the trend of the day, and have better performance than merely constructing by traditional opening patterns. Besides, this result indicates that TAIEX Futures market is not random walk. The performance of indicators constructing by market profile is better than by traditional opening patterns. The ability of forecasting and profitability is not significant but compared to the random trading, traditional opening patterns is still able to slightly improve forecasting and profitability. In conclusion, through understanding the underlying knowledge and behavior in market can effectively improve the accuracy rate of investment transactions and profitability.