Thomas A. Rhee

California State University, Long Beach

1250 Bellflower Blvd

Long Beach, CA 90064

United States

SCHOLARLY PAPERS

2

DOWNLOADS

390

CITATIONS

0

Scholarly Papers (2)

1.

Capital Market Indices and Portfolio Management

Number of pages: 29 Posted: 31 Aug 2007
Thomas A. Rhee
California State University, Long Beach
Downloads 316 (72,302)

Abstract:

Arbitrage portfolio, Arbitrage Pricing Theory, Multifactor securities pricing model, Identification of lambdas, Factor loadings, MSCI indexes, Market Portfolio, Single vs. Global Market Risk Forecasting Models, Capital Asset Pricing Model

2.

The Relationship between Return Fractality and Bipower Variation

Algorithmic Finance 2014, 3:3-4, pp. 163-171
Number of pages: 10 Posted: 11 Dec 2014
Thomas A. Rhee
California State University, Long Beach
Downloads 38 (282,500)

Abstract:

Return fractality, discontinuous jumps, modified wiener process, fractal dimension, bipower variation, high frequency algorithmic/quantitative trading