Essays about: "Long-Short Trading Strategy"

Showing result 1 - 5 of 9 essays containing the words Long-Short Trading Strategy.

1. 1. LSTM-based Directional Stock Price Forecasting for Intraday Quantitative Trading

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Isabella Mustén Ross; [2023]
   Keywords : Deep Learning; Long-Short-Term-Memory LSTM ; ARIMA; Financial Time Series Forecasting; Algorithmic Trading; Intraday Trading; Stock Prediction; Djupinlärning; LSTM; ARIMA; finansiella tidsserier; algoritmisk aktiehandel; intradagshandel; aktieprediktion;

   Abstract : Deep learning techniques have exhibited remarkable capabilities in capturing nonlinear patterns and dependencies in time series data. Therefore, this study investigates the application of the Long-Short-Term-Memory (LSTM) algorithm for stock price prediction in intraday quantitative trading using Swedish stocks in the OMXS30 index from February 28, 2013, to March 1, 2023. READ MORE

3. 2. Investment Companies and Predictable Returns

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Timmy Gustafsson; Isak Mölzer; [2021]
   Keywords : Predictable returns; Limited attention; Investment company; Economic links; Net asset value discount premium;

   Abstract : This paper investigates investors' limited attention through Swedish investment companies and their respective underlying portfolios. The results indicate that there is no systematic lag in the stock price of investment companies relative to their underlying portfolios, implying that investors are attentive to the information of the underlying portfolio when valuing the investment company. READ MORE

4. 3. On stock return prediction with LSTM networks

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Magnus Hansson; [2017]
   Keywords : artificial neural networks; recurrent networks; LSTM; EMH; Business and Economics;

   Abstract : Artificial neural networks are, again, on the rise. The decreasing costs of computing power and the availability of big data together with advancements of neural network theory have made this possible. READ MORE

5. 4. Momentum in Sweden: Past Returns and Continuing Overreaction

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jakob Bengtsson Ekström; Carl Elfving; [2017]
   Keywords : Momentum; Trading Volume; Self-Attribution Bias; Continuing Overreaction; OMX Stockholm;

   Abstract : Comparing the performance of a traditional long-short momentum trading strategy to one based on a measure for continuing overreaction on OMXS 1997-2016, this study shows that traditional momentum only generates significant profits in the short-term. On the contrary, the continuing overreaction approach provides investors with significant profits for a variety of different holding- and formation periods, mainly attributable to its ability to pick winners. READ MORE

6. 5. Volatility of Volatility - The Uncertainties of Risks

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Mladen Milutinovic; Haojiang Zhao; [2015]
   Keywords : Empirical Asset Pricing; Volatility of Volatility; Volatility; Risk factors in Asset Pricing; Long-Short Trading Strategy;

   Abstract : This paper is an attempt to explore the characteristics of volatility of volatility on the aggregate level and investigate its role in the pricing of equity assets. Several measures of volatility of volatility for the S&P 500 index are elaborated and investigated in this study; realized, parametrized and implied. READ MORE