Insights
In-depth research and data-driven insights on quantitative finance, factor investing, risk, and ESG from the TEJ research team.
Trending
Editor's picks from our research desk.
Fundamental Factor Research: Monthly Revenue Information – part1
The Taiwan equity market possesses a rare institutional advantage globally: under the Securities and Exchange Act, listed companies are required to announce and report their operational results for the preceding month by the 10th of each month (Exception: starting from FY2026, insurance companies and entities with insurance subsidiaries may extend their disclosure deadline to the 15th of each month). This is commonly referred to in the market as "Monthly Revenue".
Factor Strategy – Integrating Broker Consensus to Enhance Foreign Concentration Strategies – QFII Part 2
Boost your quantitative strategy with QFII concentration & broker consensus! Discover how the conc_qfii fusion strategy delivers a 30.12% annualized return in the Taiwan large-cap market.
Factor Research – Tracking Smart Money Footprints via Foreign Institutional Concentration – QFII Part 1
Track QFII ‘smart money’ footprints in Taiwan large-cap stocks! Learn how the Foreign-Institutional Trading Concentration (conc_qfii) factor predicts returns.
Insights
Browse all articles by topic.
Quant Data Science
LSTM
Using deep learning model to predict stock price? Highlights Preface Predicting stock prices has been pursued by people, but the randomness of stock prices not easy to forecast. With the progress of data science, the calculation cost has been greatly reduced. This article use more complex deep learning model for stock prices prediction compare to [Quantitative […]
Industry Insights
The relationship between the yield rate of U.S. bonds and Taiwan stocks
Analyze the relationship between U.S. Treasuries and different types of Taiwan stocks. Highlights Preface Raw material prices soaring, inflation and interest rate increases are the main issues in the financial market this year. The news media often report that the recent decline in Taiwan’s stock market is related to international capital flows, so this article […]
Industry Insights
Yield curve inversion
Highlights Preface when the United States 10Y Government Bond -United States 2Y Government Bond <0 ,we call it yield curve inversion 。 Usually longer-term bonds will have higher interest rates, but when the market have doubts about the economy ,yield cruve inversion happen! So in this article , we try to plot the Macroeconomic Index a year […]
Quant Data Science
SVM Model
Apply Financial Data to Predict Stock Price Fluctuation Highlights Preface Support Vector Machine, short as SVM, is a machine learning algorithm based on Statistics theorem. It is widely used in data classifier and regression. As for this article, we would focus on Classifier. Simply put, classification of SVM is conducted by draw straight or irregular […]
Quant Data Science
Lasso Regression Model
Effective Explanatory Variables for Economic Growth Highlights Preface Least Absolute Shrinkage and Selection Operator, short as Lasso, is mainly used for variable selection and regularization in Regression. The function of “Penalty” setting would in Lasso lets us adjust the complexity. Therefore, with Lasso, we are able to alleviate “Overfitting”. Penalty in the model is used […]
Quant Research
Defensive Stocks : Recover After Going Ex-Dividend
Highlights Preface In Taiwan ,our investor have the higher preference for the high yield stock,and high-yield stocks tend to be accompanied by low volatility,that we call low Beta. The Beta value represent the correlation with the broader market,0050is well known in Taiwan ,and the beta is between about one ,It shows that he can reflect […]
Quant Research
Momentum select
along for the ride Highlights Preface we introduce the Momentum trade last time ,now we are going to teach you how to find this stock ,if we are not highly involved the marker,we often found in the news which already price in ,so what we want to do is find the stock automatic.It also can save […]
Market Knowledge & Data Guides
Directors & Supervisor’s Remunerations
TEJ [Directors & Supervisor’s Remunerations database] provides various information related to the remuneration of directors and supervisors, ranging from total remuneration and salary, numbers, remuneration to income ratio to the information of directors, supervisors, and managers’ remuneration and salaries. Up to 55 sub-blocks, users can experience the most complete and accurate Taiwan’s remuneration of directors, supervisors, and managers. This article will introduce the importance of directors’ and supervisors’ remunerations information, applications, and how to find these data.
Quant Data Science
Portfolio VaR
In 1997, Robert Merton and Myron Scholes won the Nobel Prize in Economics for their Black-Scholes options pricing formula, beating out many other contenders. The Black-Scholes model is still a widely-used option pricing model in the financial industry and by investors due to its excellent mathematical properties, simplicity, and ease of use. Today, we will focus on programming this model and Greeks derived from Black Scholes model.
Quant Research
Momentum trade
use volume indicator to backtesting , using 2618 Highlights Preface Nowadays Momentum trade are frequently used to trade strategy,we often talk about the price-volume relationship .So in this article we are going to talk about this strategy which based on abnormal growing of the trading volume.but this strategy doesn’t have the clear definition.so we write […]
Market Knowledge & Data Guides
Margin Trading (3)
In the previous article, we introduced how to build indicators with the margin trading database. This article will be the last one of this series, and we will help the readers become familiar with the Day Trading Statistics database and the Balance of Securities Provided as Financing Collateral database.
Quant Research
Money Management
Highlights Preface We are strange and familiar with the winning rates, odds, and betting ratios. We often depend on our sentiment to multiply the winning percentage and odds in our hearts and determine the betting ratio of the investment. Therefore, it’s difficult to explain our subjective betting ratio to someone. It is inevitable in investment […]