DocumentCode
3468475
Title
A State Space Model for Equity Mutual Funds´ Trading Behavior
Author
Xie, Hongtao ; Zhou, Shaofu ; Xu, Huajie
Author_Institution
Sch. of Econ., Huazhong Univ. of Sci. & Technol., Wuhan
fYear
2008
fDate
12-14 Oct. 2008
Firstpage
1
Lastpage
4
Abstract
A daily time series analysis is explored in the unobserved mutual fund trading behavior. A statistical state space approach is used to estimate the model. Algorithms are adopted for the computation of observation weights for forecasting based on state space models. The methodology is illustrated for daily CAPM model of China´ stock mutual funds.
Keywords
statistical analysis; stock markets; time series; China; daily CAPM model; daily time series analysis; equity mutual funds trading behavior; statistical state space approach; stock mutual funds; Computer science; Economic forecasting; Equations; Investments; Mutual funds; Predictive models; Space technology; Sparse matrices; State estimation; State-space methods;
fLanguage
English
Publisher
ieee
Conference_Titel
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location
Dalian
Print_ISBN
978-1-4244-2107-7
Electronic_ISBN
978-1-4244-2108-4
Type
conf
DOI
10.1109/WiCom.2008.2390
Filename
4680579
Link To Document