The practical application of arbitrage trading in Taiwan Stock Exchange Capital Weighted Index Futures --- volatility model and applied methods of programs

• Main Authors: WEI, CHIH-HAO, 魏志浩
• Other Authors: Shang-Chih Kung
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/65663904370126845202

碩士 === 輔仁大學 === 金融研究所 === 91 === 　　　　The purpose of this study aims to provide a practicable model for proprietary trading departments of securities and futures to execute in Taiwan’s future market. Moreover, traders of investment trust and investment advisers, discretionary investment business or trust warranty of attorney can have a new direction and method after futures funds and discretionary investment business opening to the public in the future. As for applications, although this study uses TAIEX Futures as an example, models and programs can also extend to arbitrage of relevant spot portfolios with MSCI Taiwan Index Futures, TSE Electronic Sector Index Futures, TSE Banking and Insurance Sector Index Futures, Taiwan 50 Futures, and ETF, so that applications can be extended widely, and achieve the level of complete feasibility. This study is a new practice of arbitrage. It adopted volatility models to go with main and module programs needed for applications in order to actually plan a set of practicable arbitrage system, which considered various kinds of tracking errors, practical experiences, and risk control and management. Moreover, it used actual market transactions as examples, and expected this introduction may come up with valuable opinions for actual arbitrage models on the market. I also would like to provide my humble opinions for future researchers or arbitrage traders. Some practices and ideas at present stage (2003.6) mentioned in the thesis may not be the best methods later on, but at least can provide contemporary data of practical experiences for researchers who study this part of trading history of Taiwan stock. Duplicated index portfolios composed within 20 stocks (so that batch orders can be controlled within 5 seconds), it will be enough to meet the need of actual arbitrages when volatility and index volatility coefficient of correlation achieve above 95%. After deducting all possible costs and tracking errors of arbitrage, and accompanied with Internet batch orders, real time offer price system and arbitrage program module system submitted by this thesis, once Taiwan stock market achieves the arbitrage space established by this thesis, it can obtain actual arbitrage profits according to the methods mentioned in the thesis. Moreover, various theories or quantitative values of risk control and management also can apply to the actual practice, so problems hypothesized on theory but need to be solved in practice can be effectively achieved, and Taiwan stock arbitrage is practicable can be proved. (Please obtain my authorization before using this thesis on the market. My contact number is 0991112277.)