- 學位論文
三角套利策略應用於外匯自動交易之實證研究
TRIANGULAR ARBITRAGE STRATEGY USED IN THE EMPIRICAL STUDY OF INTELLIGENT AUTOMATED FOREX TRADING
摘要
本研究是將既有投資理論用在智慧型外匯交易系統的分析，透過電腦化自動交易的方式將套利策略加以實行，並分析套利策略電腦化之後是否還依舊有獲利的可能性。 三角套利本身是利用市場的無效性來實行的一種交易策略，理論上通常在正常且有效的外匯交易市場之中，是不存在所謂的套利模式的。但出乎意料的，有相關的文獻證明這種套利交易模式是有機會存在於外匯市場，即使考量了交易成本在內。 將套利策略轉化成自動交易程式後是否能獲利就是本研究探討的要點，交易自動化的過程中勢必會面臨許多問題與挑戰，將這些問題加以結構化，並讓策略能適應市場環境，以作為未來真實情況的外匯市場交易使用。
並列摘要
In this study, we use an investment theory, the triangular arbitrage, which can be computerized to implement an automated arbitrage trading strategy for the foreign exchange trading. We analyze the possibility whether the system based on this strategy can be profitable. The triangular arbitrage is a trading strategy often used in an ineffective market which theoretically does not appear, but de facto exist in the foreign exchange market. Literature reveals that using the triangular arbitrage trading strategy will take profit, even after subtracting transaction costs. In this study, we use the triangular arbitrage strategy to implement an automated trading program and explore the patterns appearing in the market. An automated procedure may face many problems and challenges. We have solved these problems and adapted the strategy to the real market environment. The system is able to provide satisfactory results.