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題名:臺股指數期貨套利分析與類神經網路之應用
書刊名:亞太經濟管理評論
作者:廖四郎 引用關係林信惠 引用關係許琬琳王銘杰
出版日期:1999
卷期:3:1
頁次:頁41-63
主題關鍵詞:臺股指數期貨套利類神經網路投資組合管理Taiwan stock index futuresArbitrageNeural networkPortfolio management
原始連結:連回原系統網址new window
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  • 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:22
  • 點閱點閱:20
期刊論文
1.Bae, K.-H.、Chan, K.、Cheung, Y.-L.(1998)。The profitability of index futures arbitrage: Evidence from bid-ask quotes。Journal of Futures Markets,18(7),743-763。  new window
2.Billingsley, R. S.、Chance, D. M.(1988)。The Pricing and Performance of Stock Index Futures Spreads。Journal of Futures Markets,8,303-318。  new window
3.Brennan, M. J.、Schwartz, E. S.(1990)。Arbitrage in Stock Index Futures。Journal of Business,63,S7-S31。  new window
4.Brenner, M.、Subrahmanyam, M. G.、Uno, J.(1989)。The Behavior of Prices in the Nikkei Spot and Futures Market。Journal of Financial Economics,23,363-383。  new window
5.Brenner, M.、Subrahmanyam, M. G.、Uno, J.(1990)。Arbitrage Opportunities in the Japanese Stock and Futures Markets。Financial analysts journal,14-24。  new window
6.Bühler, Wolfgang、Kempf, Alexander(1995)。Dax index futures: Mispricing and arbitrage in German markets。Journal of Futures Markets,15(7),833-859。  new window
7.Cakici, N.、Chatterjee, S.(1991)。Pricing Stock Index Futures with Stochastic Interest Rates。Journal of Futures Markets,11,441-452。  new window
8.Chang, J. S. K.、Loo, J. C.(1987)。Marking-to-Market, Interest Rates and Discounts on Stock Index Futures。Journal of Futures Markets,7,15-20。  new window
9.Chung, Y. P.(1991)。A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability。Journal of Finance,46,1791-1809。  new window
10.Cornell, B.、French, K.(1983)。The Pricing of Stock Index Futures。Journal of Futures Market,3,1-14。  new window
11.Cornell, B.、French, K.(1983)。Taxes and the Pricing of Stock Index Futures。Journal of Finance,38,675-694。  new window
12.Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures : the Case for Disequilibrium。Financial Analysts journal,43-47。  new window
13.Fung, J. K. W.、Chan, K. C.(1994)。On the Arbitrage-Free Pricing Relationship Between Index Futures and Index Options: A Note。Journal of Futures Markets,14,957-962。  new window
14.Grudnitski, G.、Osburn, L.(1993)。Forecasting S&P and Gold Futures Prices : An Application of Neural Networks。Journal of Futures Markets,13,631-643。  new window
15.Kawaller, I. G.(1991)。Determining the Relevant Fair Value(s) of S&P 500 Futures: A Case Study Approach。Journal of Futures Markets,11,453-460。  new window
16.Kempf, A.(1998)。Short Selling, Unwinding, and Mispricing。Journal of Futures Markets,18,903-923。  new window
17.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets,11,291-311。  new window
18.Lee, J. H.、Nayar, N.(1993)。A Transactions Data Analysis of Arbitrage between Index Options and Index Futures。Journal of Futures Markets,13,889-902。  new window
19.Lim, K. G.(1992)。Arbitrage and Price Behavior of the Nikkei Stock Index Futures。Journal of Futures Markets,12,151-161。  new window
20.Merrick, J. J. Jr.(1989)。Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects。Journal of Futures Markets,9(2),101-111。  new window
21.Modest, D. M.、Sundaresan, M.(1983)。The Relationship between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence。Journal of Futures Markets,3,15-41。  new window
22.Modest, D. M.(1984)。On the Pricing of Stock Index Futures。Journal of Portfolio Management,51-57。  new window
23.Neal, R.(1996)。Direct Tests of Index Arbitrage Models。Journal of Financial and Quantitative Analysis,31,541-562。  new window
24.Ntungo, C.、Boyd, M.(1998)。Commodity Futures Trading Performance Using Neural Network Models Versus ARIMA Models。Journal of Futures Markets,18,965-983。  new window
25.Puttonen, V.、Martikainen, T.(1991)。Short Sale Restrictions: Implication for Stock Index Arbitrage。Economics Letters,37(2),159-163。  new window
26.Shazly, M. R. E.、Shazly, H. E. E.(1997)。Comparing the Forecasting Performance of Neural Networks and Forward Exchange Rates。Journal of Multinational Financial Management,7,345-356。  new window
27.Yadav, P. K.、Pope, P. F.(1990)。Stock Index Futures Arbitrage: International Evidence。Journal of Futures Markets,10,573-603。  new window
28.Yadav, P. K.、Pope, P. F.(1994)。Stock Index Futures Mispricing: Profit Opportunities or Risk Premia?。Journal of Banking & Finance,18(5),921-953。  new window
29.林文政、臧大年(19960700)。臺灣股指期貨定價與套利實務問題探討。證券市場發展,8(3)=31,1-31。new window  延伸查詢new window
30.黃玉娟、郭照榮、徐守德(19980000)。摩根臺股指數期貨的市場效率與套利機會之研究。證券市場發展季刊,10(3)=39,1-29。new window  延伸查詢new window
31.Bhatt, S.、Cakici, N.(1990)。Premiums on Stock Index Futures-Some Evidence。The Journal of Futures Markets,10(4),367-375。  new window
32.Zhang, Guoqiang、Patuwo, B. Eddy、Hu, Michael Y.(1998)。Forecasting with artificial neural networks: the state of the art。International Journal of Forecasting,14(1),35-62。  new window
學位論文
1.黃玉桃(1996)。股價指數期貨評價及稅賦影響之研究(碩士論文)。國立臺灣科技大學。  延伸查詢new window
2.曾文煌(1997)。股價指數期貨套利模型之分析與模擬-以摩根77加權股價指數期貨為例(碩士論文)。國立成功大學。  延伸查詢new window
3.吳阿秋(1995)。日經股價指數期貨市場效率性及套利機會之分析(碩士論文)。輔仁大學。  延伸查詢new window
4.許經仟(1995)。臺灣股價指數基金之建構與績效評估(碩士論文)。國立中山大學。  延伸查詢new window
5.楊杰(1998)。摩根台股指數期貨與現貨市場之套利交易分析(碩士論文)。輔仁大學。  延伸查詢new window
6.賴俊霖(1996)。應用類神經網路於預測國外股價指數期約(碩士論文)。國立政治大學。  延伸查詢new window
7.鍾秀培(1997)。運用類神經網路建構指數套利模型--以日經225指數為例(碩士論文)。國立交通大學。  延伸查詢new window
圖書
1.焦李成(1991)。類神經網路系統理論。臺北:儒林圖書公司。  延伸查詢new window
2.蔡瑞煌(1995)。類神經網路概論。臺北:三民書局。  延伸查詢new window
 
 
 
 
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