The Validation for Profit Opportunity of Securities Investment Funds through Hurst Exponent
This paper has made a detailed analysis of the arbitrage opportunity which appears on the basis of the characteristics of mean reverting in Securities Investment Funds. On the basis of fractal theory, one of the nonlinear theories, the author studied the validity of Chinese fund market fractal time sequence through Hurst exponent, calculated the H value and proposed a new Securities Investment Funds mean reversion model calculation. Meanwhile, the present paper proposes the Profit Opportunity which appears based on the characteristics of mean reverting in the Chinese market condition and its relevant rules and regulations.
Securities Investment Funds Hurst Exponent Profit Opportunity
Wei Liu Wen Yingjie
School of Management Hua zhong University of science and technology Wuhan, 430074, P.R.China
国际会议
上海
英文
2007-09-21（万方平台首次上网日期，不代表论文的发表时间）