NDLI: Applying Extensible Classifier System to Inter-market Arbitrage with High-Frequency Financial Data

Content Provider	IEEE Xplore Digital Library
Author	An-Pin Chen Yu-Chia Hsu Jia-Haur Chang
Copyright Year	2007
Description	Author affiliation: Nat. Chiao Tung Univ., Hsinchu (An-Pin Chen; Yu-Chia Hsu; Jia-Haur Chang)
Abstract	The most popular arbitrage opportunities detecting methodology is derived from the cost of carry model. Recently, many researches were intent to enhance the accuracy of these arbitrage models using econometrics approach. However, the market behavior is still hard to be known well, especially when inter-market spread trade with intra day one minute tick data. This research is aimed at inter-market arbitrage with high frequency data, and two futures indexes are used for empirical study, including Taiwan Stock Index Futures of Taiwan futures exchange (TAIFEX) and MSCI Taiwan Index Futures of Singapore Exchange Limited (SGX). Moreover, the price of index futures will get close to that of spot products when the futures contract is due. Founded on such property, the spread ratio and the different due days of TAIFEX and SGX, we finally build up an extended classifier based arbitrage system which can gauge the timing of index stock deals.
Starting Page	709
Ending Page	714
File Size	253273
Page Count	6
File Format	PDF
ISBN	0769530389
DOI	10.1109/ICCIT.2007.251
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2007-11-21
Publisher Place	South Korea
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Costs Coupled mode analysis Finance Frequency Nonlinear dynamical systems Information management Timing Econometrics Information technology Contracts
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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