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博碩士論文 etd-0623112-165852 詳細資訊
Title page for etd-0623112-165852
The Application of 75 Rule in Stock Index Trading Strategies
Year, semester
Number of pages
Advisory Committee
Date of Exam
Date of Submission
weak form of efficient market, momentum effect, 75 rule, stationarity, statistical arbitrage
本論文已被瀏覽 5728 次,被下載 460
The thesis/dissertation has been browsed 5728 times, has been downloaded 460 times.
Stationarity is an essential property to portfolio return in the past statistical arbitrage strategy, this article uses Neo-75 rule, momentum effect, properties as independent and identically distribution and stationarity in error term, in one asset and in the very short holding period. The result in out sample period owning positive cumulative return.
The finding suggests individual investors use this strategy in higher efficiency market to avoid invalidation in our model.
This article surveyed CAC40, DJI, HangSeng, NASDAQ, Nikkei225, Shanghai and TWII indices. All the excess returns in out sample periods indicate they are exclude weak form of efficient market.
目次 Table of Contents
摘要 ii
Abstract iii
圖目錄 vi
表目錄 viii
第壹章 緒論 1
第一節 研究背景動機 1
第二節 研究問題與目的 2
第貳章 文獻探討 3
第參章 研究方法 6
第一節 原始75法則應用於多資產 6
第二節 新式75法則應用於單一資產 7
第三節 新式75法則避免中位數缺陷 10
第四節 新式75法則強化資料即時性 12
第肆章 實證結果與分析 14
第一節 交易環境設定 14
第二節 統計套利策略演算法 15
第三節 使用估計值修正項( )的理由 18
第四節 實證結果 20
第五節 實證結果分析 31
第六節 交易策略失效分析 33
第伍章 結論 43
參考文獻 45
附錄一 I
附錄二 III
附錄三 XVII
附錄四 XIX
參考文獻 References
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