Title :
Real-Time Pricing of Mutual Funds
Author :
Gao, Hui ; Cherkassky, Vladimir
Author_Institution :
Univ. of Minnesota, Minneapolis
Abstract :
This paper presents a methodology for estimating net asset value (NAV) of domestic mutual funds, using major stock market indices as inputs in a statistical model. The results of this study suggest that such an accurate estimation is possible, and this raises questions about the effectiveness of restrictions on frequent trading (aka market timing) introduced in the mutual fund industry.
Keywords :
estimation theory; investment; statistical analysis; stock markets; domestic mutual funds; frequent trading; major stock market indices; market timing; net asset value estimation; real-time pricing; statistical model; Encoding; Fluctuations; Input variables; Linear regression; Mutual funds; Pricing; Statistical analysis; Stock markets; Testing; Timing;
Conference_Titel :
Neural Networks, 2006. IJCNN '06. International Joint Conference on
Conference_Location :
Vancouver, BC
Print_ISBN :
0-7803-9490-9
DOI :
10.1109/IJCNN.2006.247065
