DocumentCode
2771933
Title
Real-Time Pricing of Mutual Funds
Author
Gao, Hui ; Cherkassky, Vladimir
Author_Institution
Univ. of Minnesota, Minneapolis
fYear
0
fDate
0-0 0
Firstpage
2402
Lastpage
2408
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks, 2006. IJCNN '06. International Joint Conference on
Conference_Location
Vancouver, BC
Print_ISBN
0-7803-9490-9
Type
conf
DOI
10.1109/IJCNN.2006.247065
Filename
1716415
Link To Document