TY - GEN
T1 - Real-time pricing of mutual funds
AU - Gao, Hui
AU - Cherkassky, Vladimir
PY - 2006/12/1
Y1 - 2006/12/1
N2 - This paper presents a methodology for estimating net asset value (NAV) of domestic mutual funds, using major stock market indices as inputs in a statistical model. The results of this study suggest that such an accurate estimation is possible, and this raises questions about the effectiveness of restrictions on frequent trading (aka market timing) recently introduced in the mutual fund industry.
AB - This paper presents a methodology for estimating net asset value (NAV) of domestic mutual funds, using major stock market indices as inputs in a statistical model. The results of this study suggest that such an accurate estimation is possible, and this raises questions about the effectiveness of restrictions on frequent trading (aka market timing) recently introduced in the mutual fund industry.
UR - http://www.scopus.com/inward/record.url?scp=40649091636&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=40649091636&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:40649091636
SN - 0780394909
SN - 9780780394902
T3 - IEEE International Conference on Neural Networks - Conference Proceedings
SP - 2402
EP - 2408
BT - International Joint Conference on Neural Networks 2006, IJCNN '06
T2 - International Joint Conference on Neural Networks 2006, IJCNN '06
Y2 - 16 July 2006 through 21 July 2006
ER -
