Title :
The Validation for Profit Opportunity of Securities Investment Funds through Hurst Exponent
Author :
Liu, Wei ; Wen Yingjie
Author_Institution :
Sch. of Manage., Huazhong Univ. of Sci. & Technol., Wuhan
Abstract :
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.
Keywords :
econometrics; fractals; profitability; securities trading; time series; Chinese fund market fractal time sequence; Hurst exponent; fractal theory; mean reversion model calculation; nonlinear theories; profit opportunity; securities investment funds; time series; Brownian motion; Chaos; Fractals; History; Investments; Paper technology; Security; Technology management; Testing;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-1311-9
DOI :
10.1109/WICOM.2007.1564
