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系統識別號 U0026-2808201916230200
論文名稱(中文) 基於市場資料分析回測之選擇權交易與避險策略
論文名稱(英文) Options Trading and Hedging Strategies Based on Market Data Analytics
校院名稱 成功大學
系所名稱(中) 工程科學系
系所名稱(英) Department of Engineering Science
學年度 107
學期 2
出版年 108
研究生(中文) 陳鍠銘
研究生(英文) Huang-Ming Chen
學號 N96061216
學位類別 碩士
語文別 英文
論文頁數 36頁
口試委員 指導教授-鄧維光
口試委員-王明習
口試委員-侯廷偉
口試委員-曹譽鐘
中文關鍵字 回測平台  資料分析  財金工程  期貨選擇權 
英文關鍵字 backtesting platform  data analytics  financial engineering  futures options 
學科別分類
中文摘要 財金工程是以數學及工程學的角度來探討並進而計算金融商品風險與利益的一門學科,而有別於金融領域學者們的研究方法,我們以資料導向的方式來試著解決一些實務問題。在本研究中,我們利用期貨選擇權市場的大量數據,來解決兩個問題:第一個問題是探索適當的商品和有利可圖的交易時機,我們藉由對長期市場數據回測,研究了若干交易限制和技術指標的組合;第二個問題是在作為期權賣方時使用買賣價差策略進行風險控制,亦即同時買入與賣出不同履約價的一口選擇權以限縮可能的交易損失。我們制定了模擬不同交易策略的方案,從而確定了一些簡單但有利可圖的策略,此外,為了實現本研究的實驗環境,我們建立了一個台指選擇權的回測平台,讓不同使用者可以自由地組合並測試他們自己的策略;而根據實驗探討之結果,我們的策略在2004年至2018年期間,於台灣期貨選擇權市場中可獲得良好的投資報酬率。
英文摘要 Financial engineering is based on mathematics and engineering point of view to explore and calculate the benefits and risks of financial products. Unlike common approaches proposed by financial researchers, we attempt to solve some practical problems with a data-oriented approach. In this work, we exploit a large amount of market data of futures options to address two issues in this work. The first issue is to discover an appropriate product choice and timing for profitable trading. Without loss of generality, we investigate the effectiveness of several trading constraints and technical indicators by scrutinizing and backtesting with the long-term market data. The second issue is to use the spread strategies for risk control when being an options seller. Note that a spread position is constituted where one buys an option and sells another option against it. In general, we develop a scheme to simulate different trading strategies and thus identify some simple but profitable strategies. Additionally, a backtesting platform is developed to constitute a practical experimental environment. A user may combine and test his or her own strategies freely on this platform. Experimental studies show that our strategies yield good profit in the TAIFEX market from 2004 to 2018.
論文目次 Chapter 1 Introduction 1
1.1 Motivation and Overview 1
1.2 Contributions of This Work 2
Chapter 2 Preliminaries 3
2.1 Overview of Futures Options Market 3
2.1.1 History of Futures Options Market 3
2.1.2 Basics of Futures Options 5
2.2 Predicting the Trends 6
2.3 Controlling Risks with Hedging Strategy for Options 7
2.4 Development of a Backtesting Platform 8
Chapter 3 Proposed Trading and Hedging Strategies 12
3.1 Using Technical Analysis to Determine Trends 12
3.2 Spread as a Hedging Strategy 14
3.3 Proposed Scheme 15
3.4 Prototype Implementation 17
3.4.1 Development Environment 17
3.4.2 Parameter Settings 18
3.4.3 Presentation of Backtesting Results 19
Chapter 4 Empirical Studies 22
4.1 Real Market Dataset 22
4.2 Feasibility of Being an Option Seller 22
4.3 Effectiveness of Using VIX 25
4.4 Effectiveness of Using EMA 26
4.5 Effectiveness of Combining VIX and EMA 29
4.6 Effectiveness of Using the Spread Strategy 30
4.7 General Comparison of Various Strategies 31
Chapter 5 Conclusions and Future Works 33
Bibliography 34
參考文獻 [1]S.-P. Feng, M.-W. Hung, and Y.-H. Wang, “The Importance of Stock Liquidity on Option Pricing,” International Review of Economics & Finance, 43: 457-467, May 2016.
[2]P. Christoffersen, and K. Jacobs, “The importance of the loss function in option valuation,” Journal of Financial Economics, 72(2), 291-318, May 2004.
[3]P. H. Huang, “Teaching corporate law from an option perspective,” Ga. L. Rev., 34, 571, 1999.
[4]F. Black, and M. Scholes, “The pricing of options and corporate liabilities,” Journal of political economy, 81(3), 637-654,1973.
[5]TAIFEX trading volume statistical data, http://www.taifex.com.tw/cht/7/tradingVolume
[6]S. Choi, D. Gang, and K. K. Lai, “Generating Profit Using Option Selling Strategies,” Proceedings of the 2012 Fifth International Conference on Business Intelligence and Financial Engineering, pp. 177-180, August 2012.
[7]C.-C. Lien, “台指選擇權賣方交易策略分析 -勒式部位”,國立中央大學財務金融學系碩士論文, 2016.
[8]C.-L. Huang, “Empirical Research on Short Strangle Strategies in TAIEX Option Market,” Department of Finance, National Sun Yat-sen University, 2013.
[9]J. Cordier, and M. Gross, “Complete Guide to Option Selling,” McGraw-Hill Professional Publishing, 2009.
[10]J. Patel, S. Shah, P. Thakkar, and K. Kotecha, “Predicting stock and stock price index movement using trend deterministic data preparation and machine learning techniques,” Expert Systems with Applications, 42(1): 259-268, January 2015.
[11]A. B. Prasetijo, T. A. Saputro, I. P. Windasari, and Y. E. Windarto, “Buy/sell signal detection in stock trading with bollinger bands and parabolic SAR: With web application for proofing trading strategy,” Proceedings of 2017 4th International Conference on Information Technology, Computer, and Electrical Engineering (ICITACEE) (pp. 41-44), October 2017.
[12]N. M. Rao, “Developing Option Strategies by Using Technical Analysis: A Case of Automobile Sector,” International Journal of Marketing, Financial Services & Management Research, 1(6): 94-103, 2012.
[13]S.-W. Wu, “An Empirical Study for Technical Analysis of TAIEX Options and Futures -Using Put/call Ratio and Weekly Technical Indicator,” Graduate Institute of Finance, National Taiwan University of Science and Technology, 2006.
[14]A.-P. Chen, “Applying Technical Indicators and Market Profile to Discover the Turning Point Behavior of Taiwan Index Futures Market,” National Chiao Tung University, 2014.
[15]M. A. H. Dempster, E. Medova, and K. Tang, “Long term spread option valuation and hedging,” Journal of Banking & Finance, 32(12): 2530-2540, December 2008.
[16]M. A. H. Dempster, and S. G. Hong, “Spread option valuation and the fast Fourier transform,” Proceedings of Mathematical Finance—Bachelier Congress 2000 (pp. 203-220). Springer, Berlin, Heidelberg, 2002.
[17]R. Xu, and S. Li, “A tree model for pricing credit spread options subject to equity, and market risk,” Proceedings of 2009 ISECS International Colloquium on Computing, Communication, Control, and Management (Vol. 2, pp. 46-50), August 2009.
[18]M. Rusnakova, “Commodity price risk management using option strategies,” Agricultural Economics, 61(4): 149-157, 2015.
[19]M. A. Dempster, and C. M. Jones, “A real-time adaptive trading system using genetic programming,” Quantitative Finance, 1(4), 397-413, 2001.
[20]W.-C. Chiang, D. Enke, T. Wu, and R. Wang, “An adaptive stock index trading decision support system,” Expert Systems with Applications, 59, 195-207, October 2016.
[21]C.-Z. Yang, “The Integrated Design and Implementation of Decision Support Platform of Multi-Market and Multi-Stock Program Trading Performance,” Department of Information Management, National Central University, 2015.
[22]C.-C. Hsu, “A Study on Designing a Trading Strategy Management Platform for Comparing Trading Performance,” Department of Information Management, National Central University, 2014.
[23]Option Alpha, options-backtesting platform,
https://optionalpha.com/members/options-backtesting
[24]Forexfox, Moving Averages Analyze,
https://www.forexfox.nl/academy/technische-analyses/technische-indicatoren/moving-averages/
[25]Exchange, C. B. O. (2003) VIX white paper.
http://www.cboe.com/micro/vix/vixwhite.pdf
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