Modeling based on market rates as a way to estimate the price of Chilean fixed- income investment fund shares: linear and non-linear methodologies explained
AbstractThis study addresses a problem that Chilean stockbrokers must face when - acting as market makers - they have to determine bid and ask prices for local fixed-income investment fund shares.
As a solution, a mathematical model is proposed based on a share’s last known net asset value and the daily fluctuation of the reference fixed-income market rate (Central Bank of Chile bonds in 5-year development units - BCU 5). Results obtained show a clear improvement of the proposed model’s outcome when compared to simply using the last information available in the market to determine the share’s price.
Keywords Investment funds, Market Maker, Chile
How to Cite
Parraguez Sasso, B. (2021). Modeling based on market rates as a way to estimate the price of Chilean fixed- income investment fund shares: linear and non-linear methodologies explained. Estudios de Administración, 28(2), 29-51. doi:10.5354/0719-0816.2021.61573