隱藏性交易(stealth trading) 於電子期貨及金融期貨市場之應用研究

This study utilizes the information shown in insider trading to develop a profitable trading strategy for day traders. Stealth-trading hypothesis suggests that informed investors prefer trading when the liquidity trading is concentrated. Then it applies the phenomenon to build a feasible trading strategy. Specifically, this paper uses six and a half years high frequency data of Electronic Sector Index futures and Financial Sector index futures, which are written on TAIEX Electronic Sector Index and TAIEX Financial Sector index 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 prices and making the long or short decision in the futures market. We find that no matter which 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.