3. 2
1
1982
22 2008
11 5
2003
59.94%
20
(tracking error)
1
1
4. 4 交易篇 結算篇 契約調整篇 操作篇
7%
1
10 0.01
10 50 0.05
50 100 0.1
100 500 0.5
500 1000 1
1000 5
2,000
60
2
15%
8:45~ 1:45
8:45 ~ 1:30
12%
2,000
2 3
6 9 12 3
5
1
5. 6 交易篇 結算篇 契約調整篇 操作篇
3 6
7
1. 10 0.01
2. 10 50 0.05
3. 50 100 0.1
4. 100 500 0.5 3
5. 500 1000 1
6. 1000 5
60
4
2 3 6 9 12 3
5
5
7%
7% 7%
6. 8 契約規格篇 結算篇 契約調整篇 操作篇
3
1
4
2
1. 8 45 1 45
? 2.
8 45 1 30
TIME-STAMP-1
5
1. ( 8 30 8 45)
2. ( 8 45 1 45)
TIME-STAMP-2
6
TIME-STAMP-3
( ) ( )
7. 10 契約規格篇 結算篇 契約調整篇 操作篇
7 ? 11
1.
FOK IOC
1
FOK IOC ROD
2
FOK IOC
FOK IOC ROD
3
1 FOK Fill-or-Kill
2 IOC Immediate-or-cancel
2.
3 ROD (Rest of Day)
4 FOK
8 12 ?
1.
2.
9 3~5
10 13 ?
1.
2010/09v.s.08
2010 9 2010 8
8. 12 契約規格篇 結算篇 契約調整篇 操作篇
2. 0.01
0.01
2010 9
56.3 2010 8 60.5
9 8
2010 9 8
2010/09v.s.08
-4.2(=56.3-60.5)
2010/09v.s.08
0.03 9
8 0.03 9
14 8 0.03
9 8
(60.03 60.00) (50 49.97) 0.03(
)
15 ?
60.00
0.01 60.00 0.03
60.03 60.00+0.03
0.01
p.5 50
100 0.1 ( 60.03)
0.01
9. 14 契約規格篇 交易篇 契約調整篇 操作篇
13.5% 12%
16.2%
1 ?
1 1
1
1
2 ?
1
1
1
1
1
SPAN
3
1.
SPAN ? 2.
SPAN
3.
(SPAN) 1
2
1.
+
2.
4 ? 1.
+
2.
10%
10. 16 契約規格篇 交易篇 契約調整篇 操作篇
5 6
1.
60
2.
3.
12:30(
) 1:25( )
4. 56
5.
11. 18 契約規格篇 交易篇 結算篇 操作篇
2000 +2000
1 ?
2000 +2000
2000 +2000
1.
2000
2.
1
3.
4.
5. 2000
1
6.
2
A 2,000 A A
? 1 0.5 A
2,200 A
2
1,000
3 2.
1.
A 2,000 A A
1 A
2,000 2,200
2,200
12. 20 契約規格篇 交易篇 結算篇 操作篇
4 6 ?
= (S-D) / (1+m)
?
3 2
S
3 F
D
2 3 F 1
m
3 2
A 2,000 A A 3 F 2,000
61 A 2 1
A CAF 5
61-1
50 (= ) A
1+0.2
1
2,200
5 CA1
2,000
5
CAF
?
1
13. 22 契約規格篇 交易篇 結算篇 契約調整篇
1/2 100 2
3 B 1/15 B
1 92
2,000 100 92 2,000 2 32,000
2,000
4
1/2 50 1
1/25 60
( ) ( )
20,000
60 50 2,000 20,000 2/25 C 10 49.9 ,
=49.9 1,000 10
2
=499,000
C 3 5
50
--
=50 2,000 5
=500,000
1/2 100 2 3
3/17 40
A 2/10 A 115
(50-40) 2,000
=40 1,000 10 5
=400,000 100,000
115 100 2,000 2 60,000
3/17 -
3 400,000
-99,000
-499,000 100,000
1,000
(-99,000)
14. 24 契約規格篇 交易篇 結算篇 契約調整篇
5 6
( ) ( ) ( ) ( )
2/25 D 10 96 2/25 E 3 10 75
=96 1,000 10 =960,000 2 =2 2,000 10
=40,000
D 3 5
95 E 3 10
- 76
=95 2,000 5 -
=950,000 =76 2,000 10
=1,520,000
3/17 120
3/17 80
=120 1,000 10 = (120-95) 2,000
=1,200,000 5 =(80-76) 2,000
=250,000 10
=(80-75) 2,000 =80,000
10
=960,000 -1,200,000 =
=100,000
= -240,000 =250,000 (-240,000)
= 10,000
=40,000 100,000 =
= -60,000 =80,000 (-60,000)
= 20,000
7
