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| Title: | 具有方向性台灣VIX指標之建構與實證
Construction and Empirical Testing of Directional Taiwan Volatility Index |
| Authors: | 林俊良
Lin, Chun-Liang |
| Contributors: | 廖 四 郎
Liao, Szu-Lang
林俊良
Lin, Chun-Liang |
| Keywords: | 波動指數
觀測者效應
市場共識
情緒指標
八卦(易經)
VIX
Observer effect
Market Consensus
Sentiment Index
Eight Trigrams (I Ching) |
| Date: | 2023 |
| Issue Date: | 2023-07-06 15:18:27 (UTC+8) |
| Abstract: | 本論文分為兩部分：第一部分是DTVIX之建構理論，第二部分是DTVIX之台灣市場實證。第一部分DTVIX建構理論是利用圖形分析發現，當其他條件不變，只有波動率變化時，買權和賣權線的移動可以間接推論選擇權波動率變化與期貨價格變化方向的關係。然後，根據《說卦傳》的內容，利用易經八卦的變化方向建立起期貨價格的變化方向。最後，本文成功地將選擇權波動的八種組合與易經八卦相結合，使選擇權市場的波動變化清晰地呈現在三元組變化中。
第一部分DTVIX之建構理論後,依據此理論框架，我們進一步在第二部份利用台灣週選擇權市場的數據進行實證測試，並有四點具體的發現：
第一，本文建構了一個方向性波動指數DTVIX，它與期貨價格變化方向密切相關。這使市場交易者能夠更好地了解選擇權波動變化與期貨價格變化之間的互動關係,並以八種顏色繪製K棒，使期貨價格變化能夠同時反映情緒和選擇權波動組合。
第二，DTVIX不僅與選擇權波動組合密切相關，而且還成功地將市場情緒轉化為市場共識。這與易經八卦卦理完全一致，其中正卦顯示多空波動之間沒有衝突，而隅卦顯示多空波動之間存在衝突。同時使得市場交易者能夠通過市場共識進一步凝聚多重情緒。
第三，台灣週選擇權市場正常交易時段和盤後交易時段的市場共識程度是不同的，類似於量子力學中的觀測者效應。因為在盤後交易時段沒有觀測交易者的虧損（即不需要維持保證金追繳），提供了更多的額外資訊。
第四，通過多空波動樣本的配對學習，DTVIX預測能力大為提高，符合《說卦傳》第三章“天地定位”論點。主要原因是不僅能夠在訓練樣本中平衡多空期貨價，而且訓練模型中相對波動組合更強烈地平衡多空波動變化的影響。
總結，在易經八卦原理的框架下，DTVIX不僅具有方向性，而且具有良好的預測能力。尤其是在將訓練數據依據多空波動配對學習後，發現市場交易者更願意在選擇權交易行為中表達他們的內心想法，尤其在盤後交易時段沒有觀測交易者的虧損（即不需要維持保證金追繳），且波動急劇增加時，它會立即反映在Conditional VIX的變化中。本文利用這些特徵來預測期貨收盤價方向和走勢型態，實證結果顯示了所提出的測量方法具有良好的預測能力正確率可高達66%。
This thesis consists of two parts: the first part is the construction theory of DTVIX, and the second part is the Taiwan market empirical testing of DTVIX.
The construction theory of DTVIX is to use graphical analysis to discover that, when all other things being equal, the shift of calls and puts line can indirectly infer the relationship between options volatility changes and the direction of futures price changes as volatility changes. Then, based on the content of the “Shuo Gua Zhuan”, using the changing directions of the Eight Trigrams (I Ching) to establish the changing directions of futures prices. Therefore, this paper successfully combines the eight combinations of options volatility with the Eight Trigrams (I Ching) , making the changes in the options market clearly presented in trigram.
After the construction theory of DTVIX in the first part, based on this theoretical framework of the Eight Trigrams (I Ching), we further use the data of Taiwan weekly options market in the second part to conduct empirical tests, and have four specific findings:
Firstly, this paper constructs a directional volatility index, DTVIX, which is closely related to the direction changes of futures price. This supports market traders in better understanding the interaction between changes in options volatility and changes in futures prices. In addition, through drawing candlestick charts with eight colors, futures price changes can reflect the combination of sentiment and options volatility at the same time.
Secondly, DTVIX is not only closely related to the combinations of options volatility, but also successfully transforms market sentiment into market consensus. This is completely consistent with the principles of the Eight Trigrams (I Ching), where the border trigrams show no conflict between long-short volatility and the corner trigrams show conflict between long-short volatility. This allows market traders to further crystallize multiple sentiments through market consensus.
Thirdly, the market consensus of the regular trading session and the after-hours trading session of the Taiwan weekly options market is different, similar to the observer effect in quantum mechanics. It suggests that there is no observed trader’s loss (that is, no maintenance margin call is required) during the after-hours trading session, providing more additional information.
Fourthly, the predictive power is greatly enhanced by learning through the pairing of long-short volatility samples. This inspiration comes from the third chapter of the “Shuo Gua Zhuan” which mentions “the positioning of heaven and earth”, allowing us not only to balance the long and short futures prices in the training samples, but also to balance the impact of volatility changes more strongly through the content of opposing volatility combinations in the training model.
In summary, under the framework of the Eight Trigrams (I Ching) principles, DTVIX not only has directionality but also has good predictive power. Especially after pairing the training data with buyer and seller force, the traders are more willing to express their inner thoughts in the options trading behavior where there is no observed trader`s loss (that is, no maintenance margin call is required) during the after-hours trading session, and the volatility increases sharply, so it will be immediately reflected in the changes of Conditional VIX. This paper uses these features to predict the direction of the futures close price and movement pattern, and the empirical results have shown good predictive power of the proposed measurements, and the correct rate can be as high as 66%. |
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| Description: | 博士
國立政治大學
金融學系
105352504 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105352504 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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