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
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;
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
DOI :
10.1109/WiCom.2008.2390
