Convertible Bonds Arbitrage System Design and Empirical Tests
碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 104 === The operation of convertible bonds arbitrage uses one-price-rule between stocks and their convertible bonds to consruct buy-low and sell-high portfolios to reap low-risk profit. In the past, the research of convertible bond arbitrage focused on the backt...
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ndltd-TW-104KUAS02130062017-04-29T04:31:42Z http://ndltd.ncl.edu.tw/handle/40806519695568053979 Convertible Bonds Arbitrage System Design and Empirical Tests 可轉換公司債套利系統建構與市場實證分析 LI, YI-JIE 李奕杰 碩士 國立高雄應用科技大學 金融系金融資訊碩士班 104 The operation of convertible bonds arbitrage uses one-price-rule between stocks and their convertible bonds to consruct buy-low and sell-high portfolios to reap low-risk profit. In the past, the research of convertible bond arbitrage focused on the backtesting analysis of historical data to confirm the opportunities of convertible bond arbitrage in Taiwan capital markets. Unlike previous studies, this study used real-time quote and generated real-time orders by API (Application Programming Interface) provided by SysJus to establish the system. The convertinble bond arbitrage system was analyzed and designed by UML tools and developed on Visual C# .Net. Since the system was high-frequency trading system, different information technologies were applied to enhance the efficiency. Emperical tests in Taiwan capital market were made synchronously with the market to verify the apllicability of the develped system. ChiangLin, Chieh-Yow 姜林杰祐 2016 學位論文 ; thesis 69 zh-TW |
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碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 104 === The operation of convertible bonds arbitrage uses one-price-rule between stocks and their convertible bonds to consruct buy-low and sell-high portfolios to reap low-risk profit.
In the past, the research of convertible bond arbitrage focused on the backtesting analysis of historical data to confirm the opportunities of convertible bond arbitrage in Taiwan capital markets. Unlike previous studies, this study used real-time quote and generated real-time orders by API (Application Programming Interface) provided by SysJus to establish the system.
The convertinble bond arbitrage system was analyzed and designed by UML tools and developed on Visual C# .Net. Since the system was high-frequency trading system, different information technologies were applied to enhance the efficiency.
Emperical tests in Taiwan capital market were made synchronously with the market to verify the apllicability of the develped system.
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author2 |
ChiangLin, Chieh-Yow |
author_facet |
ChiangLin, Chieh-Yow LI, YI-JIE 李奕杰 |
author |
LI, YI-JIE 李奕杰 |
spellingShingle |
LI, YI-JIE 李奕杰 Convertible Bonds Arbitrage System Design and Empirical Tests |
author_sort |
LI, YI-JIE |
title |
Convertible Bonds Arbitrage System Design and Empirical Tests |
title_short |
Convertible Bonds Arbitrage System Design and Empirical Tests |
title_full |
Convertible Bonds Arbitrage System Design and Empirical Tests |
title_fullStr |
Convertible Bonds Arbitrage System Design and Empirical Tests |
title_full_unstemmed |
Convertible Bonds Arbitrage System Design and Empirical Tests |
title_sort |
convertible bonds arbitrage system design and empirical tests |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/40806519695568053979 |
work_keys_str_mv |
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