Arbitrage Trading with TW Index and It's Futures – Analyzing by Bollinger Bands and Vince Models
| Autor: | Wan Ru Li, 李婉茹 |
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| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 This paper presents and compares two trading model constructed for TAIEX futures and Taiwan 50ETF. These trading systems are constructed by applying Vince’s Leverage Space Model (LSM) and Bollinger Bands analysis using future and spot price deviations. Investigation is conducted for daily observations of stock index TAIEX futures and Taiwan 50ETF from June, 2003 to December 2014. The objective is to look at whether Vince’s method can find hidden arbitrage opportunities. The Bollinger Bands’ performance will be served as the base for comparison. In addition, we apply Vince’s model to two TW index’s futures: TAIEX futures and SGX MSCI Taiwan Index Futures. The objective is to look at whether the similar derivative products across the two markets will have opportunities of arbitrage. With our research proposal we can conclude two results. First, the return and risk estimated by Vince’s method on the TAIEX futures and Taiwan 50ETF show much better results than those traded in Bollinger Bands way. For arbitrager, the high-return and low-risk of Vince’s model that is investment objectives. Second, regarding trading the two futures by Vince way, we found that the biggest sample size (25 days) has the best return-risk performance, then decreasing with smaller sample sizes. Moreover, the trading strategy using relative returns as exit signal generates significant higher Sharpe ratios than the one using positive or negative returns as exit signal. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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