Intraday pair trading strategies on high frequency data : the case of Taiwan stock market
碩士 === 國立臺北大學 === 統計學系 === 107 === This paper uses the diffusion process mean regression model to observe whether the pairing combination of stocks has abnormal pricing. When the abnormal price difference occurs, the transaction triggers. At this time, the undervalued stock is bought and the overval...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/cm8vsg |