本研究針對外匯市場的流動性極端值變化進行深入探討，我們改良了Amihud流動性指標，結合混合模型和隱藏馬可夫模型進行分析。透過混合模型，我們發現市場的流動性極端值遵循多個卜瓦松分佈組成的混合分佈，且在大部分時間內，市場的流動性都保持相對穩定的狀態。然而，當我們引入隱藏馬可夫模型時，顯示了一種更深度且精確的理解市場流動性變動的方式，並表明了其在預測和描繪流動性變動上的優勢。隱藏馬可夫模型透露出市場狀態變化的頻率並不高，這意味著市場參與者的行為相對保守，他們會根據對未來的預期來制定投資決策，而不僅僅是基於當下的市場狀態。然而，在特定時期，例如遇到重大的經濟新聞或政策變動時，市場流動性的變化會變得非常劇烈。在進行模型比較上，我們發現，雖然隱藏馬可夫模型的參數較少，但其在解釋市場流動性變動上的能力更強，顯示出其在分析外匯市場流動性極端值上的優越性。本研究之結果對於瞭解外匯市場的流動性變動，以及對投資者制定投資策略均具有重要的參考價值。

This study conducts an in-depth investigation into the fluctuations of extreme liquidity values in the foreign exchange market. We improved the Amihud Liquidity Index and integrated it with mixture models and Hidden Markov Models for our analysis. Through the mixture models, we found that the market's extreme liquidity values follow a mixed distribution composed of multiple Poisson distributions, and that liquidity remains relatively stable for the most part. However, when we introduced the Hidden Markov Model, it revealed a more profound and accurate way of understanding market liquidity fluctuations, highlighting its strong advantages in predicting and depicting these changes. The Hidden Markov Model suggests that the frequency of market state changes is not high, indicating that market participants' behavior is relatively conservative. They make investment decisions based on their expectations for the future, rather than simply based on the current market state. However, during certain periods, such as when confronted with significant economic news or policy changes, market liquidity can undergo very drastic changes. In comparing models, we found that despite the Hidden Markov Model having fewer parameters, it is more potent in explaining market liquidity fluctuations, demonstrating its superiority in analyzing extreme liquidity values in the foreign exchange market. The findings of this study hold significant reference value for understanding changes in foreign exchange market liquidity and for investors in formulating their investment strategies.

目錄
論文審定書 i
中文摘要 ii
英文摘要 iii
第一章 緒論 1
第一節 研究背景與動機 1
第二章 文獻回顧 3
第一節 衡量外匯流動性 3
第二節 Amihud指標 4
第三節 混合模型與隱藏馬可夫模型 5
第三章 資料來源與處理 6
第一節 資料來源 6
第二節 資料處理 6
第三節 處理非平穩性 9
第四節 Amihud極端值 10
第四節 研究方法 19
第一節 單一的卜瓦松分佈 19
第二節 混合模型 19
第三節 隱藏馬可夫模型 21
第五節 實證結果 24
第一節 絕對值報酬Amihud混合模型 24
第二節 30分鐘全距Amihud混合模型 25
第三節 隱藏馬可夫模型 26
第六章 結論 37
參考文獻 39 

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