Real-time pricing of mutual funds

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

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.

Original languageEnglish (US)
Title of host publicationInternational Joint Conference on Neural Networks 2006, IJCNN '06
Pages2402-2408
Number of pages7
StatePublished - Dec 1 2006
EventInternational Joint Conference on Neural Networks 2006, IJCNN '06 - Vancouver, BC, Canada
Duration: Jul 16 2006Jul 21 2006

Publication series

NameIEEE International Conference on Neural Networks - Conference Proceedings
ISSN (Print)1098-7576

Other

OtherInternational Joint Conference on Neural Networks 2006, IJCNN '06
CountryCanada
CityVancouver, BC
Period7/16/067/21/06

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