Essays about: "Active Trading Strategy"
Showing result 1 - 5 of 15 essays containing the words Active Trading Strategy.
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1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
University essay from KTH/Matematik (Avd.)Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE
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2. Investigating the Performance of Random Forest Classification for Stock Trading
University essay from KTH/Skolan för teknikvetenskap (SCI)Abstract : We show that with the implementation presented in this paper, the Random Forest Classification model was able to predict whether or not a stock was going to increase in value during the coming day with an accuracy higher than 50\% for all stocks included in this study. Furthermore, we show that the active trading strategy presented in this paper generated higher returns and higher risk-adjusted returns than the passive investment in the stocks underlying the strategy. READ MORE
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3. Stochastic Adaptive Robust Approach in the Optimal Bidding Behavior of a Virtual Power Plant in the Multi-Market Setup
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Hydropower in Sweden is a powerful and efficient source of energy due to its flexibility, usually used to balance the Swedish power system. With the transition of power system into more intermittent power sources, the role of hydro-power as producers will become more important. READ MORE
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4. Cross-zonal trading in the continuous intraday market : An agent-based model approach
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : The accelerating growth of variable energy sources in the European market has brought to weather-dependent and less predictable generation profiles, which leads to a shift of the traded volumes from the day-ahead to the continuous intraday market because the latter is important for adjusting final imbalances. The undergoing transformation of the market introduces the need for improved trading solutions, seen already in the growing use of algorithmic trading, and for optimal market design, including the transmission capacity allocation management. READ MORE
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5. Singular Value Decomposition as a Method for Analyses and Forecasts of Financial Data
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper examines the sufficiency of a trading method based on singular value decomposition (SVD) of past stock prices. The SVD method is frequently used as a tool to reduce data noise, compress big-data, and analyse data components. Hence, the method is well suited to form a ground for a predictive tool of price developments. READ MORE