【摘要】 使用台指期权市场散户的日内逐笔交易和持仓高频数据，研究是否存在可以稳定获得正回报的老练散户.鉴于交易绩效可能受到幸运女神的垂青，应用“False Discovery Rate”的统计方法对散户的投资绩效做了多重假设检验，发现约2.21%的散户为老练投资者.他们偏好做多期权的策略，特别是看涨期权，以追求无限获利的可能性.接着分析其获利的来源.基于老练散户的委托档数据，构建了委托单深度失衡变量，发现它可以显著预测期权未来的价格，而且在更长期的预测中无价格反转，说明他们善于捕捉和分析全市场信息.进一步的研究表明，他们主要善于掌握期权价格上涨的信息，还发现约47%的老练散户表现出处置效应，而且他们可通过强化交易纪律提升交易绩效.更多还原

【Abstract】 Using the intraday transaction and inventory data of retail investors in Taiwan index options market, this paper studies whether there are sophisticated retail investors(SRIs) who can earn sustainable positive profits. Taking account of the possibility that investors’ trading performance benefits from luck, this paper uses a statistical method, “False Discovery Rate”, to conduct this multiple hypothesis testing on retail investors’ trading performance. It is found that about 2.21% retail traders are sophisticated investors. Inspired by the possibility of unlimited profit, they prefer to perform strategies of buying option contracts, especially for call options. The paper next studies the sources of their positive profits. Based on the intraday order book data from the SRIs, order flow imbalances are constructed and it is found that it could significantly predict options’ prices. Besides, there is little price reversal in longer predicting horizons. These findings imply that the SRIs have advantages in accessing and analyzing market-wide information. Further investigation shows that the predictability of order flow imbalance mainly arises from SRIs’ advantage in accessing the positive information on option prices. About 47% SRIs exhibit the disposition effect and they could improve their trading performances by enhancing trading disciplines.更多还原