Is the Taiwan Stock Market (Swarm) Intelligent?
It is well-believed that most trading activities tend to herd. Herding is an important topic in finance. It implies a violation of efficient markets and hence, suggests possibly predictable trading profits. However, it is hard to test such a hypothesis using aggregated data (as in the literature). I...
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MDPI AG
2024-11-01
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| Series: | Information |
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| Online Access: | https://www.mdpi.com/2078-2489/15/11/707 |
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| author | Ren-Raw Chen |
| author_facet | Ren-Raw Chen |
| author_sort | Ren-Raw Chen |
| collection | DOAJ |
| description | It is well-believed that most trading activities tend to herd. Herding is an important topic in finance. It implies a violation of efficient markets and hence, suggests possibly predictable trading profits. However, it is hard to test such a hypothesis using aggregated data (as in the literature). In this paper, we obtain a proprietary data set that contains detailed trading information, and as a result, for the first time it allows us to validate this hypothesis. The data set contains all trades transacted in 2019 by all the brokers/dealers across all locations in Taiwan of all the equities (stocks, warrants, and ETFs). Given such data, in this paper, we use swarm intelligence to identify such herding behavior. In particular, we use two versions of swarm intelligence—Boids and PSO (particle swarm optimization)—to study the herding behavior. Our results indicate weak swarm among brokers/dealers. |
| format | Article |
| id | doaj-art-31020d2dd05c44c690bbc97a52007568 |
| institution | Kabale University |
| issn | 2078-2489 |
| language | English |
| publishDate | 2024-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Information |
| spelling | doaj-art-31020d2dd05c44c690bbc97a520075682024-11-26T18:06:39ZengMDPI AGInformation2078-24892024-11-01151170710.3390/info15110707Is the Taiwan Stock Market (Swarm) Intelligent?Ren-Raw Chen0Gabelli School of Business, Fordham University, 113 W 60th Street, New York, NY 10023, USAIt is well-believed that most trading activities tend to herd. Herding is an important topic in finance. It implies a violation of efficient markets and hence, suggests possibly predictable trading profits. However, it is hard to test such a hypothesis using aggregated data (as in the literature). In this paper, we obtain a proprietary data set that contains detailed trading information, and as a result, for the first time it allows us to validate this hypothesis. The data set contains all trades transacted in 2019 by all the brokers/dealers across all locations in Taiwan of all the equities (stocks, warrants, and ETFs). Given such data, in this paper, we use swarm intelligence to identify such herding behavior. In particular, we use two versions of swarm intelligence—Boids and PSO (particle swarm optimization)—to study the herding behavior. Our results indicate weak swarm among brokers/dealers.https://www.mdpi.com/2078-2489/15/11/707swarm intelligenceTaiwan stock marketherding |
| spellingShingle | Ren-Raw Chen Is the Taiwan Stock Market (Swarm) Intelligent? Information swarm intelligence Taiwan stock market herding |
| title | Is the Taiwan Stock Market (Swarm) Intelligent? |
| title_full | Is the Taiwan Stock Market (Swarm) Intelligent? |
| title_fullStr | Is the Taiwan Stock Market (Swarm) Intelligent? |
| title_full_unstemmed | Is the Taiwan Stock Market (Swarm) Intelligent? |
| title_short | Is the Taiwan Stock Market (Swarm) Intelligent? |
| title_sort | is the taiwan stock market swarm intelligent |
| topic | swarm intelligence Taiwan stock market herding |
| url | https://www.mdpi.com/2078-2489/15/11/707 |
| work_keys_str_mv | AT renrawchen isthetaiwanstockmarketswarmintelligent |