碩士 / 國立政治大學 / 金融研究所 / 103 / Considering the transaction cost, we establish a binary classifier system by logistic regression, artificial neural networks and hybird model with aboves. The system is used for distinguishing valid arbitrage opportunities which violated put call parity in Taiwan option and future market. By tickdata, we find that, although three models has same accuracy on classification almostly, hybird model is grater then the others in profitability no matter in depression(2007), boom(2008) or business steady state(2012~2014).
| Identifer | oai:union.ndltd.org:TW/103NCCU5214045 |
| Creators | Sung, Hong Wei, 宋鴻緯 |
| Contributors | Lin, Shih Kuei, 林士貴 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 56 |
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