Options Arbitrage System Design and Empirical Analysis
| Autor: | LIAO,YI-JUN, 廖乙駿 |
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| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 Options spread arbitrage is established by combining bull and bear spread with different strike prices of calls and puts. In this study, we designed and built options spread arbitrages systems including box spread, butterfly spread, and condor spread arbitrage to test the pricing efficiency of Taiwan Index Options markets. Different from past studies of options spread arbitrage which were based on historical data back-testing, we tested the arbitrage opportunities by real-time system which using application programming interface (API) provided by SysJust company to acquire the real-time prices and execute the orders. The systems were established on Visual C# integrated development environment (IDE). In the development system, monthly and weekly contract of Taiwan Weighted Stock Index Options were empirically tested to find the arbitrage opportunities. Besides, during the systems belong to high-frequency trading systems, different information technologies were applied to enhance the execution efficiency. From the results of the empirical tests, Taiwan Index Options market was rather efficiency. Rare arbitrage opportunities could be found to reap the profit. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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