Arbitrage in Taiwan Stock Index Futures and Application of Neural Networks
碩士 === 國立中山大學 === 資訊管理學系 === 87 === This study investigates the signals and the profitability of index arbitrage for Taiwan Stock Index Futures that trade on SIMEX and TAIMEX. The pricing model used in this study incorporates different transaction costs, different borrowing and lending rates, and se...
| 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/56098132707792085707 |