價差估計法精準度的優化

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Title:	價差估計法精準度的優化
Other Titles:	Optimization of estimation accuracy for spread estimators
Authors:	洪敬倫;Horng, Keane
Contributors:	淡江大學財務金融學系碩士班林建志
Keywords:	高低價差估計法;Roll估計法;估計精確度;有效價差;Fractional high-low spread estimators;Roll spread estimators;Estimate accuracy;Effective spread
Date:	2017
Issue Date:	2018-08-03 14:40:40 (UTC+8)
Abstract:	本研究藉由將單一交易日分割為許多區間，以收集更多高低價比值樣本，並用以計算價差估計值。研究結果顯示當區間長度超過30分鐘時，高低價差估計法的估計效率較Roll估計法為優。具體地說，當區間長度分割為50至70分鐘時，高低價差估計法的百分比誤差會降至最低。相對而言，當區間長度短於20分鐘時，Roll估計法的估計效率則優於高低價差估計法，並出現較低的百分比誤差。 By dividing a trading day into several intraday periods, a greater number of samples of high-low ratio are collected to compute a fractional high-low spread estimator. With a dataset of the length of intraday period longer than 30 minutes, fractional high-low spread estimators surpass Roll spread estimators. Specifically, to minimize percentage error of a fractional high-low spread estimator, the optimal length of intraday period should be chosen between 50 to 75 minutes. In contrast, with a dataset of the length of intraday period shorter than 20 minutes, Roll estimators outperform fractional high-low spread estimators in a lower percentage error.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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