共整合統計套利交易策略運用-台灣股票與指數期貨市場
In this study we examine the notion of applicability of cointegration statistical arbitrage in Taiwan stock, electronic and financial index future. We form the trading pairs by construction the cointegration relation pairs in the same industry and the same type of business. The basic concept we appl...
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| Language: | 英文 |
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國立政治大學
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| Online Access: | http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0094351037%22. |