Essays about: "Rolling Beta"

Showing result 1 - 5 of 6 essays containing the words Rolling Beta.

  1. 1. Classifying stock returns using high-frequency fundamental factors and convolutional neural networks

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Denis Dvinskikh; Axel Kotnik; [2021]
    Keywords : convolutional neural networks; fundamental factors; technical indicators; high-frequency stock prices; classification;

    Abstract : We evaluate the usefulness of high-frequency fundamental factor exposures of five US equities, between 2013 and 2017, as features for classifying and predicting the binary movements of the same stocks in 5-minute and 20-day intervals using Convolutional Neural Networks (CNN). After plotting rolling factor betas (Market, HML, SMB) and the close price of a given stock in the corresponding intervals, these time series are converted into images as Gramian Angular Difference Fields (GADF) and then concatenated to be fed to the CNN as input. READ MORE

  3. 2. Statistical Arbitrage Using Cross-Market Pairs Trading

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Boltenstål; [2018]
    Keywords : Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

    Abstract : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. READ MORE

  4. 3. The Effect of Portfolio Allocation Strategy on Stock Market Behavior in Publicly Traded Real Estate Companies

    University essay from KTH/Fastigheter och byggande

    Author : Niklas Langer; David Koller; [2016]
    Keywords : Real Estate; Correlation; Focused Portfolio; Diversified Portfolio;

    Abstract : Within the real estate asset class, most companies own and operate properties. How the companies construct their property portfolio, in respect of property type and geographical focus, differ. Some companies have chosen to be focused while the holdings of some companies are well diversified. READ MORE

  5. 4. The Low Risk Anomaly Evidence from Sweden

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Brodén; Jonathan Fransson; [2015-07-13]
    Keywords : ;

    Abstract : This paper finds that the low risk anomaly is present on NASDAQ OMX Stockholm during January 2005 until December 2014. The result has been produced with a survivorship bias-free sample, consisting of 25 108 firm-month observations in total. READ MORE

  6. 5. Portfolio Bias of Real Estate Companies Vs. Financial Markets

    University essay from KTH/Fastigheter och byggande

    Author : Bryan Oseenius; [2015]
    Keywords : Beta; Rolling Beta; Risk; Return; Real Estate Stocks; Canada; United States; Sweden;

    Abstract : This study will apply the Capital Asset Pricing Model (CAPM) to help understand the relationship between traded real estate companies and their respective financial markets. The aim will be to quantitatively explain the link between real estate companies holding different asset types within their portfolio and their traded financial markets using betas from CAPM. READ MORE