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Using rough set to support arbitrage box spread strategies in KOSPI 200 option markets  

Kim, Min-Sik (Department of Information and Industrial Engineering, Yonsei University)
Oh, Kyong-Joo (Department of Information and Industrial Engineering, Yonsei University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.1, 2011 , pp. 37-47 More about this Journal
Abstract
Stock price index option market has various investment strategies that have been developed. Specially, arbitrage strategies are very important to be efficient in option market. The purpose of this study is to improve profit using rough set and Box spread by using past option trading data. Option trading data was based on an actual stock exchange market tick data ranging from 2001 to 2006. Validation process was carried out by transferring the tick data into one-minute intervals. Box spread arbitrage strategies is low risk but low profit. It can be accomplished by back-testing of the existing strategy of the past data and by using rough set, which limit the time line of dealing. This study can make more stable profits with lower risk if control the strategy that can produces a higher profit module compared to that of the same level of risk.
Keywords
Box spread; KOSPI 200; rough set;
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Times Cited By KSCI : 6  (Citation Analysis)
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