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題名:虛擬貨幣期現貨套利交易策略之研究:以ETH乙太幣為例
書刊名:期貨與選擇權學刊
作者:吳明政 引用關係楊耀德
作者(外文):Wu, Ming-chengYang, Yao-te
出版日期:2023
卷期:16:3
頁次:頁1-38
主題關鍵詞:虛擬貨幣配對交易比特幣乙太幣期現套利Virtual currencyPair tradingBitcoinEthereumSpot-futures arbitrage
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:1
  • 點閱點閱:6
期刊論文
1.Gatev, Evan G.、Goetzmann, William N.、Rouwenhorst, K. Geert(2006)。Pairs Trading: Performance of a Relative-Value Arbitrage Rule。The Review of Financial Studies,19(3),797-827。  new window
2.Meese, Richard A.(1986)。Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?。Journal of Political Economy,94(2),345-373。  new window
3.鄭信德(20140800)。主要國家對虛擬貨幣發展之因應。臺灣經濟金融月刊,50(8)=595,1-28。  延伸查詢new window
4.Lintilhac, P. S.、Tourin, A.(2017)。Model-based pairs trading in the Bitcoin markets。Quantitative Finance,17(5),703-716。  new window
5.王志誠、何雨柔(20200500)。論虛擬貨幣之發展與監理趨勢。財稅研究,49(3),80-108。new window  延伸查詢new window
6.徐瑀暄、林士貴、蔡瑞煌、林朝陽(20191200)。配對交易與機器學習在臺灣股票市場之應用。統計與資訊評論,19,1-37。new window  延伸查詢new window
7.Zhang, Xing-Zhou、Liu, Jing-Jie、Xu, Zhi-Wei(2015)。Tencent and Facebook data validate Metcalfe's law。Journal of Computer Science and Technology,30(2),246-251。  new window
8.Albayati, Hayder、Kim, Suk Kyoung、Rho, Jae Jeung(2020)。Accepting financial transactions using blockchain technology and cryptocurrency: A customer perspective approach。Technology in Society,62。  new window
9.Biais, Bruno、Bisière, Christophe、Bouvard, Matthieu、Casamatta, Catherine、Menkveld, Albert J.(2023)。Equilibrium bitcoin pricing。Journal of Finance,78(2),967-1014。  new window
10.Pravdiuk, M.(2021)。International experience of cryptocurrency regulation。Norwegian Journal of Development of the International Science,53,31-37。  new window
11.Thazhugal Govindan Nair, Saji(2021)。Pairs trading in cryptocurrency market: A long-short story。Investment Management and Financial Innovations,18(3),127-141。  new window
12.Thazhugal Govindan Nair, Saji(2021)。Price discovery and pairs trading potentials: The case of metals markets。Journal of Financial Economic Policy,13(5),565-586。  new window
13.Ng, D.、Griffin, P.(2018)。The wider impact of a national cryptocurrency。Global Policy,1-18。  new window
14.Kaya, Orçun、Mostowfi, Mehdi(2022)。Low-volatility strategies for highly liquid cryptocurrencies。Finance Research Letters,46(Part B),(102422)1-(102422)6。  new window
15.Peterson, Timothy(2018)。Metcalfe's Law as a Model for Bitcoin's Value。Alternative Investment Analyst Review,7(2),9-18。  new window
16.Liu, Yukun、Tsyvinski, Aleh(2021)。Risks and returns of cryptocurrency。The Review of Financial Studies,34(6),2689-2727。  new window
17.Liu, Yukun、Tsyvinski, Aleh、Wu, Xi(2022)。Common risk factors in cryptocurrency。The Journal of Finance,77(2),1133-1177。  new window
18.Maitra, Debasish、Rehman, Mobeen Ur、Dash, Saumya Ranjan、Kang, Sang Hoon(2022)。Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic。The North American Journal of Economics and Finance,62。  new window
19.Makarov, I.、Schoar, A.(2020)。Trading and arbitrage in cryptocurrency markets。Journal of Financial Economics,135(2),293-319。  new window
20.Karim, S.、Naeem, M. A.、Mirza, N.、Paule-Vianez, J.(2022)。Quantifying the hedge and safe-haven properties of bond markets for cryptocurrency indices。Journal of Risk Finance,23(2),191-205。  new window
21.Kliber, Agata(2022)。Looking for a safe haven against American stocks during COVID-19 pandemic。The North American Journal of Economics and Finance,63,(101825)1-(101825)21。  new window
22.Leirvik, Thomas(2022)。Cryptocurrency returns and the volatility of liquidity。Finance Research Letters,44,(102031)1-(102031)8。  new window
23.Kumar, A.、Iqbal, N.、Mitra, S. K.、Kristoufek, L.、Bouri, E.(2022)。Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak。Journal of International Financial Markets, Institutions and Money,77,(101523)1-(101523)17。  new window
24.Ghorbel, A.、Jeribi, A.(2021)。Investigating the relationship between volatilities of cryptocurrencies and other financial assets。Decisions in Economics and Finance,44(2),817-843。  new window
25.Gu, Cong、Lv, Benfu、Liu, Ying、Peng, Geng(2021)。The Impact of Quantitative Easing on Cryptocurrency。International Journal of Economics and Financial Issues,11(4),27-34。  new window
26.Härdle, W. K.、Harvey, C. R.、Reule, R. C. G.(2020)。Understanding cryptocurrencies。Journal of Financial Econometrics,18(2),181-208。  new window
27.Cong, Lin William、Li, Ye、Wang, Neng(2021)。Tokenomics: Dynamic adoption and valuation。The Review of Financial Studies,34(3),1105-1155。  new window
28.Fil, M.、Kristoufek, L.(2020)。Pairs Trading in Cryptocurrency Markets。IEEE Access,8,172644-172651。  new window
29.Bialkowski, Jędrzej(2020)。Cryptocurrencies in institutional investors' portfolios: Evidence from industry stop-loss rules。Economics Letters,191。  new window
30.Borri, N.、Shakhnov, K.(2022)。The cross-section of cryptocurrency returns。The Review of Asset Pricing Studies,12(3),667-705。  new window
31.Brauneis, A.、Mestel, R.、Riordan, R.、Theissen, E.(2021)。How to measure the liquidity of cryptocurrency markets?。Journal of Banking & Finance,124。  new window
32.Chaim, P.、Laurini, M. P.(2018)。Volatility and return jumps in bitcoin。Economics Letters,173,158-163。  new window
圖書
1.Vidyamurthy, Ganapathy(2004)。Pairs Trading: Quantitative Methods and Analysis。John Wiley & Sons, Inc.。  new window
2.Narayanan, Arvind、Bonneau, Joseph、Felten, Edward、Miller, Andrew、Goldfeder, Steven(2016)。Bitcoin and Cryptocurrency Technologies: A Comprehensive Introduction。Princeton University Press。  new window
單篇論文
1.Nakamoto, Satoshi(2008)。Bitcoin: A Peer-to-Peer Electronic Cash System,Bitcoin。,https://bitcoin.org/bitcoin.pdf。  new window
其他
1.Financial Crimes Enforcement Network(20130318)。Application of FinCEN's Regulations to Persons Administering, Exchanging, or Using Virtual Currencies,https://www.fincen.gov/sites/default/files/shared/FIN-2013-G001.pdf,(FIN-2013-G001)。  new window
2.Board of Governors of the Federal Reserve System(2022)。Money and Payments: The U.S. Dollar in the Age of Digital Transformation,https://www.federalreserve.gov/publications/files/money-and-payments-20220120.pdf。  new window
3.PlanB(20190323)。Modeling Bitcoin Value with Scarcity,https://medium.com/@100trillionUSD/modeling-bitcoins-value-with-scarcity-91fa0fc03e25。  new window
4.Hayes, Arthur(20220401)。Five Ducking Digits,https://cryptohayes.medium.com/five-ducking-digits-cd92a7ab72ce。  new window
5.Bonello, P.(2021)。Valuing Ethereum,https://grayscale.com/wp-content/uploads/2021/05/valuing-ethereum.pdf。  new window
 
 
 
 
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