程式交易：散戶理性行動提升的形式與限制

Algorithmic Trading: Modes of Rationality Enhancement and Their Limitations among Non-Professional Investors

本文從金融社會研究觀點探討臺灣程式交易散戶，指出MultiCharts模板式交易軟體推出後降低程式交易門檻，但也限制散戶程式交易模式。不同類型的散戶經由程式增強理性行動能力的形式有所不同，顯示多重樣貌的「社會科技組構集合體」。「使用他人策略」的散戶藉由購買策略提升績效，但販售策略為編碼密封黑盒子，散戶只能依有限資訊來判斷品質。「使用自寫策略」的散戶則可經由程式交易的「科學化測試」與「執行避免干擾」來提升自己的交易績效，然而，「回測不等同未來績效」、「策略失效判斷」、「編碼僵固」等因素仍使得他們常需仰賴主觀判斷。

This paper studies algorithmic trading by non-professional investors in Taiwan from the perspective of socio-technical agencements. Software like MultiCharts has lowered the barriers to algorithmic trading, but also restricts the trading strategies available to users. Different types of retail investors have consequently enhanced their ability to trade rationally in differing ways, revealing the differing modes to perform homo economicus. Some retail investors rely on trading strategies purchased from third parties; these strategies, however, are encoded and sealed black boxes. Investors who code their own strategies can improve the rationality through scientific testing and efforts to avoid emotional interference in trading, failures of strategic judgment, rigidity of coding, and the fact that “past results do not guarantee future performance” often leads to the use of intuition in trading. The findings suggest that the attributes of human actors will impact the features of agencements, even when equipped with the same market device.