The Research On Arbitrage Pricing Of Internet Money Market Fund Based On ESMD Analysis

As an innovative financial product whose brings the most direct benefits to ordinary residents, Internet money market fund has been populared as high revenue when birth, however, the decline of revenue and high frequency fluctuations make its future uncertain. So exploring factors of Internet money market fund revenue and determining its pricing model is of great significance to Internet money fund market to develop healthily and market participators to hold its developing trend accurately.It can be hardly acheive long-term value judgment on Internet money market fund when using the historical return forecast future return, and it is hard to comprehensively measure its value change only through general monetary market fund pricing factors. Construct arbitrage pricing model through principal component analysis, in order to find out all factors, firstly, decompose Internet money market fund revenues series with extreme-point symmetric mode decomposition (ESMD) method, then classify those factors into three dimensions:macroeconomic environment factors* factors about Internet money market funds themselves and factors about investors according to the decomposition result. Secondly, screen all possible factors of each dimension, considering factors associated with Internet finance and the third-party payment as well as general monetary market fund pricing factors, it turus out that factors scope of APT is expanded. Ultimately, confirm Internet money market fund pricing factors are:related laws and regulations, monetary supply, on-line time of the fund, rate of the fund, then determine Internet money market fund multifactorial arbitrage pricing model, achieving the judging of its long-term revenue trend, it enriches APT in Internet financial field. In practice, this study will be benefit to market participators evaluating the relationship between current income and risk precisely, whereafter adjust investment strategy timely, and it can help supervision organizations formulating policies and regulations to ensure healthy development of Internet money market fund.