The Validation for China's Securities Investment Funds through Mean Reversion Model

被引：0
|
作者：
Wei Liu [1 ]
Wen Yingjie [1 ]
机构：
[1] Huazhong Univ Sci & Technol, Sch Management, Wuhan 430074, Peoples R China
来源：
2007 INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-15 | 2007年
关键词：
fund discount; fractal theory; arbitrage method;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
Discount transaction of Securities Investment Funds is a normal phenomenon of domestic and international fund markets. On the basis of nonlinear fractal theory, this paper uses Hurst exponent to validate the fractal time sequence of China's fund market, calculates H value and chooses connective 54 weeks' data of fund market to inspect the mean reversion time sequence. Because the traditional arbitrage methods are not feasible in China, the paper takes the Chinese market condition and law system into account and proposes a new arbitrage methods based on "mean reversion" character of fund discount. The author designs the optimal fund investment model and proposes the relative investment suggestion.
引用
收藏
页码：4136 / 4140
页数：5
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