A Study on Spread Arbitrage of Taiwan Stock Index Futures
碩士 === 國立交通大學 === 資訊管理所 === 87 === The thesis studies the effect of different spread arbitrage strategies between two stock index futures, TAIMEX and SIMEX, which contain different expired days and different underlying spots. The historical data range from 1998/7/21 to 1999/4/29. Following conclusio...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37836867445882241544 |