應用隱藏性交易(stealth trading)於期貨市場交易策略之研究

This paper starts with the concept of stealth trading hypothesis showed by Barclay and Warner (1993), and discusses the phenomenon of informed traders tending to trade when the market is thick. Then it applies the phenomenon to build a feasible trading strategy. Specifically, this paper uses six years and high frequency data of TAIEX and TAIFEX as a sample to construct a day-trading strategy for capturing the behavior of informed trading. We use the first and second five-minute trading data for observing the change of spot price and making the long or short decision in the futures market. Then we add the system a stop-loss to avoid the large loss even if the stealth trading is useless. We find that no matter which index, even the NASDAQ100 index, we trade, we can make profit. Besides, using the sensitive analysis, we find that our trading strategy is more suitable for the futures market which has more volatility.