Essays about: "SPX"

Showing result 1 - 5 of 6 essays containing the word SPX.

1. 1. Examining the Impact of Football Tournaments on Equity Markets: An Analysis of Market Anomalies, Market Dynamics and Investor sentiment

   University essay from

   Author : Oskar Edgren; Josef Johansson; [2023-07-06]
   Keywords : ;

   Abstract : This paper investigates whether two international football tournaments have an effect on the performance of four major stock markets during the event period. Some previous literature suggest that the NYSE index tended to fall during every World Cup between 1950 and 2007 due to negative investor sentiment associated with losing and being knocked out of the tournament. READ MORE

3. 2. Option pricing with Quadratic Rough Heston Model

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Marina Dushkina; [2023]
   Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

   Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

4. 3. Key Determinants of Gold Price and testing for the optimal S&P 500/Gold allocation.

   University essay from

   Author : Leonard Lenhoff; Jesper Persson; [2022-07-01]
   Keywords : ;

   Abstract : In the light of an ever more intense discussion regarding the potential benefits of investing in physical gold, this study aims to provide investors with a deeper understanding for the fundamental drivers of gold price development, as well as give investors a fact-based approach on how gold investments can be incorporated in a stock market portfolio most optimally. By processing data gathered from a range of selected professionals with expertise within the field of gold, the result of this study reveals that the US Monetary Supply, Geopolitical risks and US real interest rates are deemed to be three key determinants of gold prices, giving unique insights regarding the expected characteristics of the market. READ MORE

5. 4. Stock Market Volatility in the Context of Covid-19

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Liu Kunyu; [2022]
   Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

   Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

6. 5. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Peter Johansson; [2019-01-22]
   Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

   Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE