An integer programming based strategy for Asian-style futures arbitrage over the settlement period
Publication in refereed journal

香港中文大學研究人員
替代計量分析
.

其它資訊
摘要An Asian-style futures is settled by an Asian-style settlement procedure, more specifically, it is settled against the arithmetic average of the underlying asset prices taken over the settlement period. In this paper, we propose a practical trading strategy based on an integer programming technique to exploit the mispricing opportunity of Asian-style index futures over the settlement period using a proxy of the underlying asset. The integer program can detect mispricing, construct an arbitrage portfolio by using the proxy and dynamically maintain the arbitrage portfolio. Hang Seng Index Futures (HSI Futures) of the Hong Kong market is used to test the trading strategy. The historical data of HSI Futures shows that there is a positive relationship between the magnitude of mispricing and the time to maturity over the settlement period. Moreover, our empirical findings show positive profitability of the trading strategy.
著者Raymond H. Chan, Kelvin K. Kan, Alfred K. Ma
期刊名稱Algorithmic Finance
出版年份2018
月份6
日期21
卷號7
期次1-2
出版社IOS Press
頁次31 - 42
國際標準期刊號2158-5571
電子國際標準期刊號2157-6203
語言英式英語

上次更新時間 2020-18-10 於 02:44