This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure.

由於電腦革命的成功，在短暫的幾年之間，更加速了經濟的成長，而金融的投資分析，是社會經濟發展的原動力，因此研究這方向的財務數學也相對的提高了專家、學者的研究熱潮。就以股票、匯率市場來說，如果能比别人早一步掌握行情走勢，就能獲得較高的利潤。但影響股價、匯率波動的因素很多，尤其是在複雜多變及不確定性的資訊下。因此；如何進行更精確的趨勢分析與預測，是本文研究的主題。由於，傳統的期望值是二元的邏輯思考(非1即0)，比較無法符合多變與不確定的財金問題，因此本文考慮以模糊統計方法，以模糊期望值的方法來作趨勢分析與預測，期望能對複雜多變的財金體系提共一套更精確合理的投資分析方法，可以提供投資者更多的訊息，做出明確的抉擇。最後；以我國集中市場加權股票指數、台幣對美元匯率及台積電股價為例，做一實例上的詳細探討。 / Based on computer revolutionary coming off, economics grows fast in previous several years, then the investment analyze of finance is the impetus of development of society economic. Therefore, many experts and scholars are interested in the research of financial mathematics. Taking stock market and exchange market for example, if you can predict the future trend of market, you obtain more profit. However, there are many factors that act on stock prices and exchange rate. Especially, the market information is complicated and incomplete. How to go along accurate trend analysis and divination is the important point of the text research. Because traditional expectation value is dibasic logic thought (either 1 or 0), that can’t conform to the highly changeable and uncertain finance problems. For this reason, in this research we propose an integrated procedure for fuzzy expectation value modeling and forecasting through fuzzy relation equations. We apply this technique to construct a fuzzy expectation value model for Taiwan Weighted Stock Index and exchange rate and forecast future trend. We strongly believe that this model will be profound of meaning in forecasting future trend of financial market.

波浪理論是由 Nalph Nelson Elliott在1938年所發表的價格趨勢分析工具，它也是近年來技術分析界運用相當廣泛的一種工具。艾略特認為：「不管是股票或是任何商品價格的波動，都與大自然潮汐一樣，具有一種相當程度的規律性。」。其實這個原理和產業周期循環也很接近，運用於越多人參與的市場會越準確，因為人性也是一種大自然的現象。 台灣加權股價指數是以民國55年為基期100來編製，本文雖由民國55年談起，但由於資料繁多，故集中採用民國76年1月至民國95年12月的二十年資料做為資料收集期間，以艾略特波浪理論的原則找出在台灣股市的應用規則，進而推演出未來的走勢。 / Wave Principle is a trend analysis method that was developed by Nalph Elliott in 1938. Today, the principle is one of the most widely adopted methods for technical analysis in finance. Elliott discovered that the ever-changing path of stock market prices reveals a structural design that in turn reflects a basic harmony found in nature. In fact this principle is also similar to industry cycle. When this principle is utilized in a market, especially when a lot of people participate in this market, the principle will be rather accurate, because humanity is also a natural phenomenon. The Taiwan Weighted Stock Index was at 100 in 1966, the base period. Although the discussion in this paper starts from 1966, due to the abundance of the data, I decide to focus my research on the recent twenty years. The purpose of this study is to identify the usability of Eilliott’s Wave Principle by applying it in Taiwan’s stock market and to figure out the trend for the future.

The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting ac- curacy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index sepa- rately. Unlike other works in this eld of study, the thesis does not assume the log-returns to be normally distributed and does not explicitly select a partic- ular conditional volatility process. Moreover, the thesis takes advantage of a less known conditional coverage framework for the measurement of forecasting accuracy.

股票市場乃屬長期資本市場，企業家透過「資本證券化」的方式向投資人募集資金，做為公司營運及擴充規模之用。是故股票市場繫乎一國的經濟發展，乃經濟發展之櫥窗。無論基於何種因素，股價確實會有漲跌互異的現象，但消息面、心理面或其他非經濟因素並不能完全的支配股價走勢，從長期而論，股價終究會回歸基本面，所謂基本面，就是經濟之榮枯，常以景氣的好壞來表現，景氣循環即為一種經濟波動的現象。是故，雖致使股價波動的因素繁多，然而由長期基本面的觀點來看，景氣循環是否為解釋台灣股價指數長期走勢的主要力量呢？此乃本文所欲探尋的答案。本文以經建會所公佈之景氣領先指標綜合指數及其組成要素分別代表景氣狀況，從理論與文獻上整理說明股價變動與景氣循環的關係，並陳述1990年代的台灣股價指數與景氣循環走勢之關係，最後利用由Johansen所發展非常適於經濟模型的估計與檢定的計量工具---共整合分析與向量誤差修正模型，企圖以變數間所具有的整合線性關係作為衡量長期的均衡關係，並以均方誤差(RMSE)與絕對平均百分比誤差(MAPE)評量預測績效。 本文最終實證所得之各項重要結論如下： 一、股價與領先指標綜合指數 短期上落後一期和落後四期的領先指標綜合指數變動率與股價報酬率具有顯著的正向關係，此外股價與領先指標綜合指數長期存在正向共整合方程式。 二、股價與貨幣供給M1b具正向關係 長期而言依據共整合檢定，兩者具有長期均衡關係，並在同期時具顯著正向關係；在短期方面，依誤差修正模型之t檢定當期股價報酬率與落後一期之貨幣供給變動率呈現顯著正相關。 三、股價與海關出口值、新接訂單指數 股價分別在長期與兩者具均衡關係，並在同期時具顯著正向關係，但在短期上並無明顯關係。 四、股價與躉售物價、製造業平均每人每月工時、台灣地區房屋建築申請面積並無明顯關係。 五、所有五個共整合模型之預期值，均顯示出在上升波段預期值低於股價實際值，而在下跌波段預期值高於股價，此明顯反應了台灣股市投資人較不重視基本面分析，而以短線操作為主，心理因素、炒作因素影響重大，所以經濟景氣時常一窩峰買進而高估股價，反之，則大量殺出而低估股價。 六、五項共整合模型預期績效之良劣順序為：1.領先指標綜合指數與股價之ECM；2.三領先變數綜合與股價之ECM；3.M1b與股價之ECM；4.製造業新接訂單與股價之ECM；5.海關出口值之ECM由上面之順序顯示考量較多經濟變數較能涵蓋實質經濟，也能獲致較佳之預期。 總合而言，本研究各項模型雖不盡如人意，但對於大盤走勢之預期有不錯之效果，若再加入國人之心理因素，於牛市中將預期值往上修正，而於熊市將預期值往下修正，本模型應可更貼近實際股市情況。

指數基金的投資策略，已經被愈來愈多的投資者和投資機構所接受。在實務上，指數基金的建構方法大多都採取簡化的方法或是最佳化的方法，簡化的方法可以快速求得解答，但答案未必是最佳，而一般的最佳化方法又過於耗時；為了在效率和最佳化之間求得平衡，這篇論文中提出了目標規劃的模型以及一套有效率的演算法來計算實際的問題；本文還提出了一個新的測度方法，用來衡量指數追蹤的誤差，衡量的方法主要是依據指數的數值和所建構的投資組合其價值相差的絕對值。本文的實證分析採用了摩根台灣加權指數來測試所建構的模型和演算法，結果顯示所建構的投資組合能準確的追蹤指數，誤差不超過0.8%。 / Creating index-tracking stock baskets has been accepted by more and more investors or institutes as one part of a total investment strategy. In practice, the selection methods widely adopted are some simplified methods (e.g. stratification) combined with some criteria, and some optimization models to minimize the traditional tracking error. Simplified method facilitates for obtaining a feasible answer, optimal in no sense, while the optimization model usually requires larger computational efforts. For bridging the gap between having efficiency and seeking optimality, we propose a goal programming model and develop an efficient solution algorithm. We also suggest a new measure of tracking error basing on the absolute difference between the value of the benchmark and the index computed from the portfolio obtained from our model. Empirical analyses employ the Morgan Stanley Capital International (MSCI) Taiwan Index to assess the tracking efficacy of the model. Computational results show that the constructed portfolio can track the index with error less than 0.8%.

本研究嘗試整合類神經網路與法則基礎（rule-based）系統技術，以建立S&P 500指數期貨的交易策略。本研究不同於先前研究之處有下列二方面：一、本研究採用法則基礎系統的方式提供神經網路的訓練範例；二、本研究以理解神經網路（Reasoning Neural Networks）取代後向傳導網路（Back propagation networks）以解決局部最小值與隱藏結點數未知的困境，而實證結果也顯示理解神經網路之表現優於後向傳導網路。首先，由期貨的日價格資料計算出十種技術分析指標值，用這些指標值來表示期貨市場內的各種可能狀況（case）。接著，我們提出FFM（Futures Forecast Model）與EFFM（Extended Futures Forecast Model）來處理市場的各種狀況，預測出隔日的期貨價格改變方向。以法則基礎方法所建立的FFM是用來處理明顯的狀況（obvious cases），並且提供類神經網路好的訓練範例。而EFFM包括四個理解神經網路系統與一個決策機置（voting mechanism），它被用來處理那些不明顯的狀況（non-obvious cases）。從實證模擬的結果顯示，在預測市場時FFM與EFFM有良好的合作 關係。因此，我們以FFM與EFFM為基礎建立一個整合的期貨交易系統（Integrated Futures Trading System，IFTS），並將它用於S&P 500 指數期貨市場作模擬交易，結果我們發現在1988到1993年的測試期間，IFTS 的投資報酬率高於買入持有投資策略。 / This research adopts a hybrid approach to implementing the trading strategies in the S&P 500 index futures market. The hybrid approach integrates both the rule-based systems technique and the neural networks technique. Our methodology is different from previous studies in two aspects. First, we employ Reasoning Neural Networks (RN) instead of back propagation networks to resolve the undesired predicaments of local minimum and the unknown of the number of hidden nodes. Second, the rule-based systems approach is applied to provide neural networks with good training examples. We, first, categorize the daily conditions of the futures market into a variety of cases through processing futures historical data. Then, the dual-forecast models, FFM (futures forecast model) and EFFM (extended futures forecast model), are proposed to predict the direction of daily price changes. The rule-based model, FFM, is designed to deal with the obvious cases and to provide the neural network-based model, EFFM, with good training examples. Meanwhile, EFFM, which consists of four RNs and a voting mechanism, is designed to handle the non-obvious cases. The simulation results show that the cooperation of FFM and EFFM does a good job in predicting the direction of daily price change of S&P 500 index futures. Based on FFM and EFFM, the integrated futures trading system (IFTS) is developed and employed to trade the S&P 500 index futures contracts. The results show that IFTS outperforms the passive buy-and-hold investment strategy over the six-year testing period from 1988 to 1993.

本篇探討在2010年4月16日滬深300股指期貨正式上市到2012年9月18日止的連續近月每日收盤日資料，進行區域內金融期貨市場連動關係的研究，試圖發現兩岸三地之股價指數期貨市場在亞太地區的金融主導地位，以作為國內外投資者在區域內的投資決策參考。 實證結果顯示，從共整合及向量誤差修正模型檢定發現，兩岸三地股指期貨具有長期均衡及短期的互動關係，因此可以視此三地為單一區域市場。在Granger因果檢定上，台股指數期貨雖無法預測恆生指數期貨，但仍明顯領先滬深300股指期貨且程度大於恆生指數期貨，或可推測兩岸因ECFA的簽訂使實體經濟的關聯性更為緊密，至於恆生指數期貨大多以金融、地產股為其主要成分，與大陸主要以實體經濟為主的金融市場，其Granger預測滬深300股指期貨的能力因此相對較弱。另由衝擊反應檢定得知恆生指數期貨為一獨立的市場，不受台灣及大陸指數期貨市場衝擊的影響；滬深300指數期貨因大陸金融市場逐漸開放，也會受到香港及台灣金融期貨市場之衝擊而產生影響；至於台股指數期貨則在兩岸三地，最易受到其他市場影響。最後由預測變異數分解檢定發現，台股指數期貨及滬深300股指期貨的波動皆易受到恆生股價指數期貨變異的影響，而恆生指數期貨在兩岸三地間之解釋能力最強，於兩岸三地間具金融主導地位。至於台股指數期貨對大陸金融期貨的影響也有突出的表現，因此若政府有心推展亞太金融中心之營運，勢必得加強區域間整合的力度，提出有利吸引外資之最政策，以增加台灣股市於國際間之競爭力。 / This study conducts analysis of regional linkage between financial futures market by examining consecutive daily closing information from April 16, 2010 (the official list date of CSI 300 index futures) to September 18, 2012. This study tries to find the financial dominance of these index futures market in the Asia Pacific region and hopefully it may be used as an investment decision reference for domestic and foreign investors. The empirical results show that from the total integration and vector error correction model tests and three places all indicate long-run equilibrium stock index futures and short-term interaction. Therefore, these three places can be viewed as a single regional market. In the Granger causality test on the TAIEX futures and Hang Seng Index futures, in spite of TAIEX futures can’t predict Hang Seng Index futures, it is significantly ahead of the CSI 300 index futures. TAIEX futures on the CSI 300 index futures even more impact than the Hang Seng Index Futures. It can explain that the ECFA has been signed and results show closely-related economy. Since the Hang Seng Index futures are mainly from financial and real estate stocks while the mainland-based financial market is mainly from the real economy, Granger predicts ability of CSI 300 index futures is relatively weak. Another test on the impulse response shows that (1) Hang Seng Index Futures is an independent market and is not affected by shocks from Taiwan and the mainland index futures markets, (2) CSI 300 index futures is affected by shocks from Hong Kong and Taiwan because of the gradually open financial markets, and (3) TAIEX futures can be seen as a potential Taiwanese dish economy because it is most vulnerable to other market influences among the three places. To sum up, the forecast variance decomposition tests show that TAIEX futures and the CSI 300 stock index futures are vulnerable to fluctuations in the Hang Seng index futures. In order words, the Hang Seng Index futures have the strongest explanatory power among the three places and shows financial dominance. The TAIEX futures also show its significant impact on the mainland China financial futures index. If the Government decides to promote the operation of the Asia-Pacific financial center and to increase competitiveness of Taiwan stock market, it will inevitably have to strengthen inter-regional integration efforts and make the most favorable policies to attract foreign investment.

Η παρούσα διπλωματική εργασία ερευνά την σχέση μεταξύ των συναλλαγών των μετοχικών αμοιβαίων κεφαλαίων και των χρηματιστηριακών αποδόσεων για την περίπτωση του Ελληνικού Χρηματιστηρίου για την χρονική περίοδο 1994-2002. Με την χρησιμοποίηση ποικίλων οικονομετρικών μεθόδων γίνεται έλεγχος για την ύπαρξη σχέσης συνολοκλήρωσης καθώς και κάποιας βραχυχρόνιας σχέσης μεταξύ αυτών των δύο παραγόντων, ενώ γίνεται προσπάθεια εντοπισμού κάποιας σχέσης αιτιότητας μεταξύ αυτών με βάση τον έλεγχο αιτιότητας του Granger. / This diplomatic thesis investigates the relationship between the trading of mutual funds and stock returns in the case of the Greek Stock Exchange Market, for the period 1994 - 2002. A variety of econometric methods was used to check the existence of a cointegration relationship and a kind of a short-run relationship between these two factors. Finally an attempt was made to identify causal relationships between them using the Granger causality test.

This thesis investigates the impact of the fundamental news announcements on the movements of the stock indexes SAX, SaP500 and DJIA. The theoretical part of the thesis describe the basic structure and properties of these indexes. There are also presented theoretical and empirically validated relationships between different fundamental news and the indexes. These relationships are described based on the theory of efficient markets, technical, fundamental and psychological analysis. The practical part of the thesis analyze the impact of fundamental news (5 types - index SAX and 6 types- SaP500 and DJIA) 2005-2015. There is analyzed the impact of news announcements on the day of the notice and the day after the announcement. The result is there exist significant relationship between "surprise" value of inflation and interest rates news and indexes SaP500 and DJIA.