The Influence of Hedge, Arbitrage, and After-Hours Trading on the Holding Returns of TAIEX Futures.
Chien-Chih LinYuan Chung LeeChien-Jen SuPei-Ling LinPublished in: Axioms (2023)
Keyphrases
- financial markets
- dow jones
- stock price
- stock index
- stock exchange
- transaction costs
- stock market
- non stationary
- market data
- portfolio selection
- trading systems
- financial time series
- historical data
- financial data
- exchange rate
- portfolio optimization
- portfolio management
- trading rules
- risk management
- multiresolution
- maximum entropy
- news articles
- efficient solutions
- wavelet transform