基于短期动量效应的外汇交易策略研究

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1、෎Ѣⷁᳳࡼ䞣ᬜᑨⱘ໪∛Ѹᯧㄪ⬹ⷨおTHERESEARCHOFFXTRADINGSTRATEGYBASEDONSHORTTERMMOMENTUMᄺ᷵˖Ϟ⍋Ѹ䗮໻ᄺᄺ䰶˖Ϟ⍋催㑻䞥㵡ᄺ䰶ϧϮ˖Ꮉଚㅵ⧚˄0%$˅԰㗙˖਼ਃ҂ᇐᏜ˖䛁ᯢᄺো˖⧁㑻˖%⧁ㄨ䕽᮹ᳳ˖ᑈ᳜᮹Ϟ⍋Ѹ䗮໻ᄺᄺԡ䆎᭛ॳ߯ᗻໄᯢᴀҎ䚥䞡ໄᯢ˖᠔ਜѸⱘᄺԡ䆎᭛ˈᰃᴀҎ೼ᇐᏜⱘᣛᇐϟˈ⣀ゟ䖯㸠ⷨおᎹ԰᠔পᕫⱘ៤ᵰDŽ䰸᭛ЁᏆ㒣⊼ᯢᓩ⫼ⱘݙᆍ໪ˈᴀ䆎᭛ϡࣙ৿ӏ

2、ԩ݊ҪϾҎ៪䲚ԧᏆ㒣থ㸼៪᪄ݭ䖛ⱘ԰ક៤ᵰDŽᇍᴀ᭛ⱘⷨおخߎ䞡㽕䋵⤂ⱘϾҎ੠䲚ԧˈഛᏆ೼᭛Ёҹᯢ⹂ᮍᓣᷛᯢDŽᴀҎᅠܼᛣ䆚ࠄᴀໄᯢⱘ⊩ᕟ㒧ᵰ⬅ᴀҎᡓᢙDŽᄺԡ䆎᭛԰㗙ㅒৡ˖᮹ᳳ˖ᑈ᳜᮹Ϟ⍋Ѹ䗮໻ᄺᄺԡ䆎᭛⠜ᴗՓ⫼ᥜᴗкᴀᄺԡ䆎᭛԰㗙ᅠܼњ㾷ᄺ᳝᷵݇⬭ǃՓ⫼ᄺԡ䆎᭛ⱘ㾘ᅮˈৠᛣᄺ᷵⬭ᑊ৥೑ᆊ᳝݇䚼䮼៪ᴎᵘ䗕Ѹ䆎᭛ⱘ໡ॄӊ੠⬉ᄤ⠜ˈܕ䆌䆎᭛㹿ᶹ䯙੠׳䯙DŽᴀҎᥜᴗϞ⍋Ѹ䗮໻ᄺৃҹᇚᴀᄺԡ䆎᭛ⱘܼ䚼៪䚼ߚݙᆍ㓪᭄ܹ᳝݇᥂ᑧ䖯㸠Ẕ㋶ˈৃҹ䞛⫼ᕅॄǃ㓽ॄ៪ᠿᦣㄝ໡ࠊ᠟↉ᄬ੠∛㓪ᴀᄺԡ䆎᭛DŽᴀᄺԡ䆎᭛ሲ

3、Ѣ˖ᆚƶˈ೼ᑈ㾷ᆚৢ䗖⫼ᴀᥜᴗкDŽϡᆚƶDŽ˄䇋೼ҹϞᮍḚݙᠧĀĜĜĜĜā˅ᄺԡ䆎᭛԰㗙ㅒৡ˖ᣛᇐᬭᏜㅒৡ˖᮹ᳳ˖ᑈ᳜᮹᮹ᳳ˖ᑈ᳜᮹෎Ѣⷁᳳࡼ䞣ᬜᑨⱘ໪∛Ѹᯧㄪ⬹ⷨおᨬ㽕݇Ѣࡼ䞣ᬜᑨⱘⷨおˈҢϞϾϪ䰙ᓔྟԈ䱣䞥㵡Ꮦഎⱘথሩ੠៤❳ህᏆ㒣ᓔྟˈ᳔߱ⱘⷨお㣗ೈ೼㙵⼼Ꮦഎˈᴀ᭛߽⫼ࠡҎⱘⷨお៤ᵰˈᇚࡼ䞣ᬜᑨ੠໪∛ᏖഎⳌ㘨㋏ˈҢ໪∛ᏖഎⱘӋḐ⊶ࡼᇏᡒ㾘ᕟDŽ԰㗙⫼ᅲ䆕ⷨおⱘᮍ⊩ಲ⒃њᑈЁࠄᑈⱘ⃻ܗग़৆䍄࢓ҹঞ

4、ᑈ߱ࠄᑈⱘ㣅䬥ग़৆䍄࢓ˈᑊখ✻Ꮧᵫ㒓䖭ϔᎹ݋ˈ⫼㾘ߦ∖㾷ⱘᮍ⊩ᇱ䆩ᗻⱘࠊᅮњ໪∛Ѹᯧⱘ໮ぎㄪ⬹DŽ݇䬂ᄫ݇䬂ᄫ˖݇䬂ᄫ˖˖˖ࡼ䞣ᬜᑨ໪∛ᏖഎѸᯧㄪ⬹THERESEARCHOFFXTRADINGSTRATEGYBASEDONSHORTTERMMOMENTUMABSTRACTTheresearchofmomentumisstartedfromlastcenturywiththematureanddevelopingoffinancialmarket.Itisfirstfocusonstockmar

5、ket.Inmyessay,Iusedtheirresearchandlinkedmomentumwithcurrencymarket.TheauthorcollectthepricedataofEURandGBPinmorethantwoyears,andusedthesedatatoanalysis,triedtobuildamodeloflong-shortFXstrategy.KEYWORDS:momentum,FXmarket,long-shortstrategyⳂᔩᇐ䆎............

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