• DocumentCode
    3506511
  • Title

    Arbitrage Strategy Based on Arbitrage Profitability Index

  • Author

    Fang, Shuhong

  • Author_Institution
    Dept. of Finance, Fudan Univ., Shanghai
  • Volume
    3
  • fYear
    2009
  • fDate
    7-8 March 2009
  • Firstpage
    307
  • Lastpage
    310
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/ETCS.2009.594
  • Filename
    4959316
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3506511