Applying extensible classifier system to inter-market arbitrage with high-frequency financial data

An-Pin Chen; Yu Chia Hsu; Jia Haur Chang

doi:10.1109/ICCIT.2007.4420342

Applying extensible classifier system to inter-market arbitrage with high-frequency financial data

An-Pin Chen^*, Yu Chia Hsu, Jia Haur Chang

^*Corresponding author for this work

Institute of Information Management

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

4 Scopus citations

Abstract

The most popular arbitrage opportunities detecting methodology is derived from the cost of carry model. Recently, many researches were intent to enhance the accuracy of these arbitrage models using econometrics approach. However, the market behavior is still hard to be known well, especially when inter-market spread trade with intra day one minute tick data. This research is aimed at inter-market arbitrage with high frequency data, and two futures indexes are used for empirical study, including Taiwan Stock Index Futures of Taiwan futures exchange (TAIFEX) and MSCI Taiwan Index Futures of Singapore Exchange Limited (SGX). Moreover, the price of index futures will get close to that of spot products when the futures contract is due. Founded on such property, the spread ratio and the different due days of TAIFEX and SGX, we finally build up an extended classifier based arbitrage system which can gauge the timing of index stock deals.

Original language	English
Title of host publication	2007 International Conference on Convergence Information Technology, ICCIT 2007
Pages	709-714
Number of pages	6
DOIs	https://doi.org/10.1109/ICCIT.2007.4420342
State	Published - 1 Dec 2007
Event	2nd International Conference on Convergent Information Technology, ICCIT 07 - Gyongju, Korea, Republic of Duration: 21 Nov 2007 → 23 Nov 2007

Publication series

Name	2007 International Conference on Convergence Information Technology, ICCIT 2007

Conference

Conference	2nd International Conference on Convergent Information Technology, ICCIT 07
Country	Korea, Republic of
City	Gyongju
Period	21/11/07 → 23/11/07

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Chen, A-P., Hsu, Y. C., & Chang, J. H. (2007). Applying extensible classifier system to inter-market arbitrage with high-frequency financial data. In 2007 International Conference on Convergence Information Technology, ICCIT 2007 (pp. 709-714). [4420342] (2007 International Conference on Convergence Information Technology, ICCIT 2007). https://doi.org/10.1109/ICCIT.2007.4420342

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abstract = "The most popular arbitrage opportunities detecting methodology is derived from the cost of carry model. Recently, many researches were intent to enhance the accuracy of these arbitrage models using econometrics approach. However, the market behavior is still hard to be known well, especially when inter-market spread trade with intra day one minute tick data. This research is aimed at inter-market arbitrage with high frequency data, and two futures indexes are used for empirical study, including Taiwan Stock Index Futures of Taiwan futures exchange (TAIFEX) and MSCI Taiwan Index Futures of Singapore Exchange Limited (SGX). Moreover, the price of index futures will get close to that of spot products when the futures contract is due. Founded on such property, the spread ratio and the different due days of TAIFEX and SGX, we finally build up an extended classifier based arbitrage system which can gauge the timing of index stock deals.",

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Chen, A-P, Hsu, YC & Chang, JH 2007, Applying extensible classifier system to inter-market arbitrage with high-frequency financial data. in 2007 International Conference on Convergence Information Technology, ICCIT 2007., 4420342, 2007 International Conference on Convergence Information Technology, ICCIT 2007, pp. 709-714, 2nd International Conference on Convergent Information Technology, ICCIT 07, Gyongju, Korea, Republic of, 21/11/07. https://doi.org/10.1109/ICCIT.2007.4420342

Applying extensible classifier system to inter-market arbitrage with high-frequency financial data. / Chen, An-Pin; Hsu, Yu Chia; Chang, Jia Haur.

2007 International Conference on Convergence Information Technology, ICCIT 2007. 2007. p. 709-714 4420342 (2007 International Conference on Convergence Information Technology, ICCIT 2007).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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