DocumentCode
2487701
Title
A Novel Approach for Estimating Position Ratio of International Portfolio Arbitrage
Author
Zhan, Xin ; Chen, Weizhong
Author_Institution
Sch. of Econ. & Manage., Tongji Univ., Shanghai, China
fYear
2010
fDate
22-23 May 2010
Firstpage
1
Lastpage
4
Abstract
Based on time series data mining method, this article will develop a novel approach for estimating position ratio of international portfolio arbitrage. The integrated approach includes replica technique for assets portfolio, preprocessing of time series of the assets in the portfolio by computer programming, noise clearing and normalization. Then an empirical study is done, using the primary sector indices of Chinese and American stock markets.
Keywords
data mining; replica techniques; stock markets; time series; American stock markets; Chinese stock markets; assets portfolio; computer programming; international portfolio arbitrage; noise clearing; position ratio estimation; primary sector indices; replica technique; time series data mining method; Data mining; Electronic mail; Portfolios; Programming; Reactive power; Risk management; Signal to noise ratio; Stock markets; Time series analysis; Wavelet analysis;
fLanguage
English
Publisher
ieee
Conference_Titel
Intelligent Systems and Applications (ISA), 2010 2nd International Workshop on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-5872-1
Electronic_ISBN
978-1-4244-5874-5
Type
conf
DOI
10.1109/IWISA.2010.5473730
Filename
5473730
Link To Document