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

fYear

2007

fDate

21-25 Sept. 2007

Firstpage

6377

Lastpage

6381

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on

Conference_Location

Shanghai

Print_ISBN

978-1-4244-1311-9

Type

conf

DOI

10.1109/WICOM.2007.1564

Filename

4341339