羅盤玫瑰可預測型態之探討; An Examination of Predictable Patterns in Compass Rose

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Title:	羅盤玫瑰可預測型態之探討;An Examination of Predictable Patterns in Compass Rose
Authors:	林哲霆;Che-Ting Lin
Contributors:	財務金融研究所
Keywords:	羅盤玫瑰;升降單位;compass rose;tick size
Date:	2002-06-27
Issue Date:	2009-09-22 14:35:31 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	羅盤玫瑰(compass rose)最初由研究混沌理論的學者所發現，是利用股票某日日報酬及其隔日日報酬為橫軸、縱軸座標值所形成的分佈圖。羅盤玫瑰具有結構性的型態，以兩軸原點為中心，呈現放射狀的直線互相對稱，且均為主要的方向。Chen(1997)以台股六家股票為標的，發現具有不對稱以及特殊結構的現象，認為含有預測的資訊並可以依此獲得超過交易成本的利潤。本研究透過分解形成不同時間間隔類型的報酬序列，來判斷預測獲利的情形。結果顯示，在六家台股分類、各六型羅盤玫瑰均呈現顯著的型態：依據次期平均報酬直方圖來判斷，X與Y相關性若為負則趨勢明顯，在某些區間內獲利能涵蓋交易成本；而依次期獲利機率直方圖，則X2與Y2相關性愈低愈有機會獲得正利潤。迴歸分析中，顯示本期報酬與扣除交易成本的次期報酬具有明顯線性關係。至於升降單位對股價之比與XY值乘積和乘積平方作迴歸，發現迴歸式顯著情況並不明顯。可能升降單位對股價之比與CR的形成有關連，然而不是可預測性獲利的來源。 Analysts always try to find the tools with predicable patterns that can make return. The compass rose is observed by Chaos researchers first time, and it is a structural plot using the stock daily return against the next day one conventionally. Chen (1997) made examinations with six stocks of Taiwan and found it less radially symmetrical and with particular structures that inferred containing information about making abnormal return. This thesis using return series of the different time interval to exam the expected return. The result shows that six kind of compass rose has apparent structure. By the Y-axis average return histogram, if the correlation between X and Y is negative, some intervals of X-axis return can expect abnormal return. On the other side, by the Y-axis probability making return histogram, if the correlation between X2 and Y2 is much less, there is more opportunity to make return. In regression analysis, it shows that X and Y have apparent linear relation. The tick size-to-price ratio can not explain the correlation between X and Y, X2 and Y2.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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