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
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;
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
DOI :
10.1109/IWISA.2010.5473730
