Fenglan
and Zhang, Zhejiang University joycezhang001@yahoo.com.cn
Dr. Warren Huang, Founder, OSA,
USA wh3928@yahoo.com www.oaswh.com
Abstract
This paper demonstrated Huang¡¯30 years pioneering
proactive structural behavior arbitrage assets ( equities, bond,
commodities, housing ) pricing
research, teaching, consulting for China , Taiwan, US 15 cities 30 million high net worth individual and
institutional investors, fund managers
through integrating last 30 years macro, financial , industrial economic
and investors daily trading volume
( confidence ) data into real
time stock indices and its
component portfolios earning performance, stock prices and commodities ,
housing price mechanism Operations Simulations Analysis (OSA).
These asset prices simulators have been used for tracking global central banks
monetary policy , financial systemic
stability risks , Basel II Risk, corporate scandals surveillance applications . It quantify and compensate financial
system and specific noise ( uncertainties), identify the real time global financial market
asset prices
deferential due to
speculation resulted mispricing
( over and underpricing in interest rate,
currency, inflation, housing, equities price bubbles and earning
announcement ) in last 20 years
global banking, financial crisis,
systemic risks , corporate scandals
cycle months, years ahead of the
emerging bull, bear market trend
to maximize risks adjusted
strategic indexing ETF arbitrage return for global asset allocation . These Proactive APT simulator
compensate current APT and CAPM
systemic noise due to betting on the wrong side of monetary policy, interest rate impact
on assets price.
Huang directed Zhang extended proactive structural OSA arbitrage asset
pricing to macro, financial, industrial econometrics
integration into real time investors speculation behaviors tracking misprcing
(over and underprice) through Exponential GARCH estimation and Granger causes,
consequences co-integration . It
simulate US Fed monetary
policy impact on mortgage default , Dow Jones integrating into China Peoples Banks macro-housing control,
RMB currency hot money speculation, housing price bubble impact on Shanghai-Shenzhen 300 stock index,
predicting US and China corporate scandals early warning .
He warned on 2007 Peking university
International financial engineering risk management June 2007 that China
housing, equities bubbles, stocks plunged 60 %, market speculation resulted pension fund scandal and on
Wall Street Journal Market
beat blog since Sept. 2007 and March on China Fund World 2008, Shanghai
Conference that US housing price
slump , credit crisis continue into
2009 ,banking, finance, housing
investment banks loss
trillion dollars writedown drag US and global stock 30- 50 % bear markets
correction ( Taiwan, Hong Kong, India stock indices down 30 %) and the
overpricing of US high flier Google, Apple, Goldman Sach, China PetroChina,
Sinopec, Taiwan Lianfa down 30- 50
%.. Taiwan Rebar scandals in 2007 housing, stock markets
boom, and Bear Stearn 29 billion
hedge fund failure , rescue Fannie
Mae, Freddie Mac
mortgage crisis, with
average error below 1.5 %, correlation
over 0.98.
This work also extend proactive arbitrage pricing into financial market behavior , tracking
forecast by introducing stock indices and stocks trading volume ( investor confidence)
relationship into price, return forecast with correlation constant greater 0.98
, average error below 2 %
Keyword: emerging
market behavior finance
arbitrage assets prices bubble, financial crisis US mortgage
default corporate scandals Shanghai-Shenzhen 300 index ETF indexing arbitrage , systemic noise risks global stock indices trade volume/price relations
submitted to 16th Conference on the Theories and Practices of Securities
and Financial Markets will
be held on December 5-6, 2008 in Hsi-Tze Bay , Kaohsiung ,
Taiwan