An Behavioral Finance Analysis Using Learning Vector Quantization in the Taiwan Stock Market Index Future

Authors

An-Pin Chen, Institute of Information Management, National Chiao Tung University, Taiwan, R.O.CFollow
Yi-Chang Chen, Institute of Information Management, National Chiao Tung University, Taiwan, R.O.CFollow
Pei-Chen Lee, Institute of Information Management, National Chiao Tung University, Taiwan, R.O.CFollow

Document Type

Article

Abstract

There are various types of trading behavior in the stock market. And the buying or selling activities in many investment strategies are influenced by numerous factors respectively, such as fundamental analysis, macroeconomic analysis, and news analysis. Consequently, various factors will reflect on market price. Random Walk in financial engineering is not the focus in this paper. Otherwise, the importance of the technique analysis about Taiwan Stock Index Futures will be emphasized in this research.

It is the intention of this paper to investigate the information content of Open, High, Low, Close prices in the previous trading day and relative higher and lower points in the prior period of the current trading day, as well as their prices in analyzing Taiwan Stock Index Future. The predictability of Learning Vector Quantizationl Network can clearly be seen from the empirical result.

Recommended Citation

Chen, An-Pin; Chen, Yi-Chang; and Lee, Pei-Chen, "An Behavioral Finance Analysis Using Learning Vector Quantization in the Taiwan Stock Market Index Future" (2003). ICEB 2003 Proceedings (Singapore). 154.
https://aisel.aisnet.org/iceb2003/154