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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Main Authors: LI, YI-JIE, 李奕杰
Other Authors: ChiangLin, Chieh-Yow
Format: Others
Language:zh-TW
Published: 2016
Online Access:http://ndltd.ncl.edu.tw/handle/40806519695568053979
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spelling 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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description 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.
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
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