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陳韋翔1 , 陳奕卲2
05/23
1 99212501
2 99212509
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Introduction
Research motivations:
Traders frequently take coincident positions in both the cash and
futures markets
Any lead-lag relationship do not last for more than half an hour;
this study uses high frequency (10 min data)
Emphasis on forecasting accuracy and development of trading
strategy for market practitioners to gain trading profits
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Theoretical Relationship between Spots and Futures
Ft = St e[(r−d)(T −t)] , ft = st + (r − d)
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Theoretical Relationship between Spots and Futures
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Theoretical Relationship between Spots and Futures
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The Data
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Methodology
The spot and futures prices should never drift too far apart,
suggesting that a cointergrating relationship might be
appropriate.
We employ the Engle and Granger (1987) single equation
technique rather than the Johansen (1988) for simplicity.
ln St = γ0 + γ1 ln Ft
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Methodology
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Trading Strategy
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Trading Strategy
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Trading Strategy