Forecasting Monthly Average of Taiwan Stock Exchange Index

Wei Ting Sun, Hsin Ta Chiao*, Yue Shan Chang, Shyan-Ming Yuan

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Futures market has high leverage and the characteristics of over-performing returns. Hence, it always attracts lots of investors. However, three major kinds of institutional traders are more influential than individual investors in Taiwan. In this paper, a monthly predicting model for the weighted price index of the Taiwan Stock Exchange (TAIEX) was built based on correlation and regression analysis by using the following parameters: Dow Jones industrial index, NASDAQ index, M1A, M1B, M2 annual growth rate, US dollar exchange rate, economic monitoring indicator and global oil prices. Then, based on the prediction results, we define two trading strategies and apply them in trading MTX (mini Taiwan index futures). The evaluation result shows that both the two trading strategies have good returns.

Original languageEnglish
Title of host publicationNew Trends in Computer Technologies and Applications - 23rd International Computer Symposium, ICS 2018, Revised Selected Papers
EditorsChuan-Yu Chang, Chien-Chou Lin, Horng-Horng Lin
PublisherSpringer Verlag
Pages302-309
Number of pages8
ISBN (Print)9789811391897
DOIs
StatePublished - 1 Jan 2019
Event23rd International Computer Symposium, ICS 2018 - Yunlin, Taiwan
Duration: 20 Dec 201822 Dec 2018

Publication series

NameCommunications in Computer and Information Science
Volume1013
ISSN (Print)1865-0929

Conference

Conference23rd International Computer Symposium, ICS 2018
CountryTaiwan
CityYunlin
Period20/12/1822/12/18

Keywords

  • Correlation analysis
  • Regression analysis
  • Stock

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  • Cite this

    Sun, W. T., Chiao, H. T., Chang, Y. S., & Yuan, S-M. (2019). Forecasting Monthly Average of Taiwan Stock Exchange Index. In C-Y. Chang, C-C. Lin, & H-H. Lin (Eds.), New Trends in Computer Technologies and Applications - 23rd International Computer Symposium, ICS 2018, Revised Selected Papers (pp. 302-309). (Communications in Computer and Information Science; Vol. 1013). Springer Verlag. https://doi.org/10.1007/978-981-13-9190-3_31