Essays about: "Asset price volatility"

Showing result 1 - 5 of 33 essays containing the words Asset price volatility.

  1. 1. Do dark pools affect asset price volatility? A Study of the US Equity Market.

    University essay from

    Author : Sara Andersson; Josefin Johansson; [2019-07-08]
    Keywords : Dark pools; Asset price volatility; US equity market; Alternative trading systems; Dark trading;

    Abstract : Recent years there has been an increased usage of dark pools followed by a rise in interest to study the field. During 2018, 14% of the US equity trading was made in dark pools. It is therefore highly relevant to consider dark pools effect on market qualities such as asset price volatility. READ MORE

  2. 2. Does ETF Ownership Increase Stock Volatility?

    University essay from

    Author : Daniel Bysted; John Lundkvist; [2019-07-05]
    Keywords : Exchange Traded Fund; Stock Volatility; EFT ownership; Arbitrage;

    Abstract : Exchange Traded Funds (ETFs) are supposed to be priced equal to the net asset value of their underlying stocks, if not, opportunities of arbitrage occur and are quickly corrected by arbitrageurs. When a demand or liquidity shock hits the ETF market, the price of the underlying stocks are affected due to arbitrage trading. READ MORE

  3. 3. Estimation methods for Asian Quanto Basket options

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : David Adolfsson; Tom Claesson; [2019]
    Keywords : Monte Carlo simulation; Estimation; Option; Taylor expansion; Sensitivities; Price interpolation; Grid;

    Abstract : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. READ MORE

  4. 4. The Causal Relationships Between ESG and Financial Asset Classes : A multiple investment horizon wavelet approach of the non-linear directionality

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Nationalekonomi

    Author : Emil Andersson; Mahim Hoque; [2019]
    Keywords : ESG; Non-linear; Granger causality; Wavelet; Return performance; Directionality; Responsible investing; Sustainability; DCC-GARCH; VAR; Climate; Asset class; Investment horizon;

    Abstract : This thesis investigates if Environmental, Social and Governance (ESG) investments can be considered as an independent asset class. As ESG and responsible investing has increased substantially in recent years, responsible investments have entered the portfolios with other asset classes too. READ MORE

  5. 5. Analysis of Cryptocurrency Market and Drivers of the Bitcoin Price : Understanding the price drivers of Bitcoinunder speculative environment

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Yasar Kaya; [2018]
    Keywords : bitcoin; speculation; weekend-effect; bitcoin price drivers; LPPL; GoTrend; VIX; speculative bubbles; bitcoin price movements; volatility in cryptocurrency market;

    Abstract : In this paper, the price fluctuations of Bitcoin under speculative environment is studied. It has been seen that the market trend points out an existence of a speculative bubble. Over the course of the period from 2014 to 2018, the trend in price movements of bitcoin has proved to be strongly speculative. READ MORE