雜訊交易與技術分析

Noise Trading and Technical Analysis

陳旻聖(Ming-Shenq Chen)

指導教授 ： 巫和懋

國立臺灣大學/管理學院/國際企業學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.02832

摘要

技術分析是一種利用風險性資產的歷史價格來推測其未來價值之行為的通稱。雜訊交易則是未獲得訊息者的投資行為；它與隨機的市場供給量都會限制價格充分揭露訊息的能力。在理性經濟體系下，假設投資者對於價格與訊息能作理性猜測且價格僅能部分揭露市場訊息，此時，技術分析是有價值的。本文從一個資訊不對稱下的三期有雜訊的理性預期模型出發，在這模型裡存在二種不同資訊的投資者，去探討當二種投資者的比例變化時，技術分析之價值，其對市場效率性的影響以及價量關係之變化。

關鍵字

雜訊 ； 技術分析 ； 理性預期模型

並列摘要

Technical analysis is the use of past prices to infer future value of risky assets, and noise trading is a kind of trading behavior of uninformed traders. It and random supply prevent prices from fully revealing market information. In the rational economy, technical analysis has value under the assumption that traders have rational conjectures on the relation between prices and signals and prices can partially reveal market information. A three-period dynamic rational expectation equilibrium model under noisy and asymmetric information is used to demonstrate the changes of the value of technical analysis, market efficiency and the relationship between prices and volume while the market structure is unstable.

並列關鍵字

noise ； technical analysis ； REE model ； asymmetric information

參考文獻

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