The Validation for Chinas Securities Investment Funds through Mean Reversion Model

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 Chinas 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.

关键词： fund discount fractal theory arbitrage method

作者: Wei Liu Wen Yingjie

作者单位: School of Management Huazhong University of science and technology Wuhan, 430074, P.R.China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）