- 學位論文
基差的波動隨機過程之建立與其投資機會之研究
The Study of The Stochastic Process on The Basis and The Corresponding investment Opportunity
摘要
當市場萎縮和存款利率逐漸下降的同時，我們找出一些可供選擇的投資機會。在本研究中，我們從衍生性金融商品中找尋投資機會，我們要在衍生性金融商品中找出獨立於股票市場且報酬率要優於定存利率的投資策略。我們從研究市場指數和期貨指數之間的差值徐找出投資機會，這差值即是所謂的基差。 我們建立一隨機過程，透過二維的Ito's過程對一含有到期日效應的基差動態做描述。當基差大於分配中決定的臨界值時，我們在市場與期貨之間進行交易。我們建立一線性規劃決定一投資組合，使此投資組合接近於市場指數的變化，利用此投資組合與期貨之間來獲利。我們利用本地的股票市場的資料來做實證的操作。
並列摘要
When the market experiences recession and the interest rate for saving deposit drops gradually, we keep trying to find out some alternative investment opportunities. According to the key findings in this thesis,we not only try to find good investment opportunities with the help of derivatives, but also draw up a strategy which is independent of stock market and has better returns than saving deposit. We search for such opportunities by investigating the difference between the market index and the future index. This difference is so called basis. We developed a stochastic process by using a two-dimensional Ito process to describe the dynamic of the basis in which the maturity effects are embedded. When basis is bigger than the decided extremes from the distribution, we made a change of transaction between the market and the future index. For the market index, we set up a linear program to determine a portfolio a portfolio, which is linked to the market index changes, and we can benefit by utilizing this portfolio. We also demonstrated our approaches by using the data obtained from the local market.