@article{(Open Science Index):https://publications.waset.org/pdf/10717,
	  title     = {Applications of Conic Optimization and Quadratic Programming in the Investigation of Index Arbitrage in the Thai Derivatives and Equity Markets},
	  author    = {Satjaporn Tungsong and  Gun Srijuntongsiri},
	  country	= {},
	  institution	= {},
	  abstract     = {This research seeks to investigate the frequency and
profitability of index arbitrage opportunities involving the SET50
futures, SET50 component stocks, and the ThaiDEX SET50 ETF
(ticker symbol: TDEX). In particular, the frequency and profit of
arbitrage are measured in the following three arbitrage tests: (1)
SET50 futures vs. ThaiDEX SET50 ETF, (2) SET50 futures vs.
SET50 component stocks, and (3) ThaiDEX SET50 ETF vs. SET50
component stocks are investigated. For tests (2) and (3), the problems
involve conic optimization and quadratic programming as subproblems.
This research is first to apply conic optimization and
quadratic programming techniques in the context of index arbitrage
and is first to investigate such index arbitrage in the Thai equity and
derivatives markets. Thus, the contribution of this study is twofold.
First, its results would help understand the contribution of the
derivatives securities to the efficiency of the Thai markets. Second,
the methodology employed in this study can be applied to other
geographical markets, with minor adjustments.},
	    journal   = {International Journal of Economics and Management Engineering},
	  volume    = {4},
	  number    = {6},
	  year      = {2010},
	  pages     = {1206 - 1218},
	  ee        = {https://publications.waset.org/pdf/10717},
	  url   	= {https://publications.waset.org/vol/42},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 42, 2010},
	}