Title :
Arbitrage Strategy Based on Arbitrage Profitability Index
Author_Institution :
Dept. of Finance, Fudan Univ., Shanghai
Abstract :
Concerning the arbitrage strategies to the multiple-period case, there is still far little research works. In this short note, arbitrage size and arbitrage profitability index (API) for a class of multi-period arbitrages are introduced. Then the arbitrage strategy based on the API is investigated and applied to the treasury bonds arbitrage.
Keywords :
financial management; profitability; arbitrage profitability index; financial market; multiple-period arbitrage strategy; treasury bond market; Computer science; Computer science education; Economic indicators; Educational technology; Finance; Financial management; Portfolios; Pricing; Profitability; Technology management; arbitrage profitability index (API); arbitrage size; arbitrage strategy; treasury bonds arbitrage;
Conference_Titel :
Education Technology and Computer Science, 2009. ETCS '09. First International Workshop on
Conference_Location :
Wuhan, Hubei
Print_ISBN :
978-1-4244-3581-4
DOI :
10.1109/ETCS.2009.594
