1. Calendar Spread Arbitrage Strategy Model for Index Futures Based on Co-integration Rule; 基于协整的股指期货跨期套利策略模型更多例句>> 2) futures calendar spread trading 期货跨期套利 1. Comparative empirical study on the margin setting of stock index futures calendar spread trading; 股指期货...
网络跨期套利 网络释义 1. 跨期套利 跨期套利(calendar spread arbitrage)跨期套利是套利交易中最普遍的一种,是股指期货的跨期套利(calendar spread arbitrage) … www.3sir.com|基于48个网页 例句 释义: 全部,跨期套利
The results show that there have been opportunities for calendar spread arbitrage since CSI 300 index futures launched. However, as the market is becoming mature and more traders enter in the market, the profits of calendar spread arbitrage are decreasing gradua...
Dividend Arbitrage Deep In The Money Covered Call Calendar Spreads Calendar Strangle Calendar Straddle Calendar Call Spread Horizontal Calendar Call Spread Diagonal Calendar Call Spread Calendar Put Spread Horizontal Calendar Put Spread Diagonal Calendar Put Spread Short Calendar Spread Short Horizontal Calendar...
Statistical calendar spread arbitrage strategy using intraday high frequency data of Shanghai and Shenzhen 300 stock index futures Derivative traders are usually required to scan through hundreds, even thousands of\npossible trades on a daily basis. Up to now, not a single solution is ... 杨之曙...
Dividend Arbitrage Deep In The Money Covered Call Calendar Spreads Calendar Strangle Calendar Straddle Calendar Call Spread Horizontal Calendar Call Spread Diagonal Calendar Call Spread Calendar Put Spread Horizontal Calendar Put Spread Diagonal Calendar Put Spread Short Calendar Spread Short Horizontal Calendar...
If the spread has increased beyond the upper range of 1.7205, it means either the near month contract has increased in value or the current month contract has reduced in value. The rule of thumb in any arbitrage is to always buy the asset in the cheaper market and sell the same asset in...
The present calendar spread arbitrage of stock index future,based on the cointegration theory,mostly uses the GARCH model.This model ignores the existence of leverage effect and doesn't consider that the conditional variance may affect the cointegration equation.We firstly introduce the EGARCH-M model...
Box Spread Calendar Arbitrage Strike Arbitrage Conversion / Reversal Dividend Arbitrage Deep In The Money Covered Call Calendar Spreads Calendar Strangle Calendar Straddle Calendar Call Spread Horizontal Calendar Call Spread Diagonal Calendar Call Spread Calendar Put Spread Horizontal Calendar Put Spread Diagona...
A Empirical Study about the CSI300 Index Futures Calendar Spread Arbitrage The listing of CSI300 index futures provides the actual data basis for positive analysis of calendar spread arbitrage.Firstly,the paper introduces the conc... LI Chuanfeng - 《Journal of Regional Financial Research》 被引量...