Title: Research on Capital Assets Pricing in Fractal Market
Abstract: The paper discusses the limitations of Efficient Market Theory(EMT) and its differences with Fractal Market Theory(FMT), and poins out that EMT is the foundation of CAPM. The correlation between return of single asset and that of market portfolio is not exactly linear in fractal market. We use nonlinear cointegration theory to price the capital asset in fractal market, and give out the method for nonlinear cointegration modeling using wavelet neural network. In the end, the modeling analysis of Shanghai stock market validates the theory and pricing method presented above.
Publication Year: 2004
Publication Date: 2004-01-01
Language: en
Type: article
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