基於限價委託簿的當日股價預測

Intraday Stock Price Prediction based on Limit Order Books

徐慕華(Mu-Hua Hsu)

指導教授 ： 王之彥

國立臺灣大學/管理學院/國際企業學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202100405

摘要

本論文探討台灣證券交易所的限價委託簿之資訊內涵並以其預測一分鐘之股價變動。從研究中發現，限價委託簿的每層深度的型態以及最佳買入/賣出的價格深度關係，皆具有對未來股價預測之能力，而短期的歷史價格路徑則無預測能力。該研究也建構交易策略，發現若考慮交易成本的影響，原具有獲利能力策略之利潤消失。本論文之結果支持台灣股票市場為弱式效率市場。

關鍵字

限價委託簿 ； 主成分分析 ； 向量自迴歸模型 ； 台灣股市 ； 價格預測 ； 獲利能力

並列摘要

This thesis studies the 1-minute information content of limit order books of individual stocks on the Taiwan Stock Exchange and employs it to predict one-minute-ahead stock returns. I find evidence that both the depth pattern of the limit order books and the best bid/ask-depth have prediction powers on stock prices, but the prediction power of the short-term historical price path is weak. The thesis also implements trading strategies and finds the profits based on the examined models disappear if transaction costs are considered, which supports that the weak-form efficient market hypothesis holds in the Taiwan stock market.

並列關鍵字

limit order book ； principal component analysis ； Vector Autoregression Model ； Taiwan Stock Market ； price forecasting ； profitability

參考文獻

Bhatta, S., 2012, Conditional Correlation Analysis. Working paper, Tribhuvan University.

Bodie, Z., Alan, J. M., Kane, A., 2019, Essentials of Investments, 11th ed.

Cao, C., Hansch, O., and Wang, X., 2009, The information content of an open limit order book, Journal of Futures Markets 29, 16-41.

Chen, L. W., Yu, H. Y., and Wang, W. K., 2018, Evolution of historical prices in momentum investing, Journal of Financial Markets 37, 120-135.

Cont, R., Kukanov, A., and Stoikov, S., 2014, The price impact of order book events, Journal of Financial Econometrics 12, 47-88.