Essays about: "Back-testing"

Showing result 11 - 15 of 20 essays containing the word Back-testing.

  1. 11. Dispersion Trading : Construction and Evaluation

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

    Author : Lukas Magnusson; [2013]
    Keywords : Dispersion trading; tracking portfolio; implied volatility; back-testing; option dispersion strategies; option spreads;

    Abstract : Since the introduction of derivatives into the modern financial market, volatility based tradingstrategies have emerged as important tools for asset managers. Since the financial crisis apopular trading strategy has been dispersion trading, however few published studies ofdispersion trading exist. READ MORE

  3. 12. Study of the Back-to-Back Test Method for Embedded Systems in Hardware-Software Integration Context

    University essay from KTH/Maskinkonstruktion (Avd.)

    Author : Shangning Wang Wang; [2013]
    Keywords : ;

    Abstract : Användningen av inbyggda system för att realisera säkerhetskritiska funktioner, bl.a. inom bilindustrin, leder till krav på avancerade metoder för utveckling och verifiering. READ MORE

  4. 13. The Validity of Technical Analysis for the Swedish Stock Exchange : Evidence from random walk tests and back testing analysis

    University essay from IHH, Economics, Finance and Statistics

    Author : Dan Gustafsson; [2012]
    Keywords : Technical Analysis; RSI; Efficient Market Hypothesis; Behaviour Finance; Negative Feedback Trading;

    Abstract : In this paper I examine the validity of technical analysis for the Swedish stock index OMXS30 between 2001-12-28 and 2011-12-30.  Results indicate that OMXS30 followed a non-random walk and that technical trading rules had predictive power over future price movements. READ MORE

  5. 14. Value at Risk - The Square Root Rule

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yair Elsner; [2012]
    Keywords : Value At Risk; VaR; scaling; risk; risk-measurement; financial risk; downside-risk; Basel; Business and Economics;

    Abstract : This paper tests the “Square Root Rule” (the SRR), a Basel sanctioned method of scaling 1-day Value At risk to higher time horizons. The SRR has come under serious assault from leading researchers focusing on its week theoretical basis: assuming i.i.d. READ MORE

  6. 15. Risk Measures - from theory to an empirical study over time

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hampus Lingnardz; [2012]
    Keywords : Risk Measures; Value-at-Risk; CVaR; Maximum Draw-down; Risk in Theory; Lower Partial Moments; Business and Economics;

    Abstract : This thesis concerns risk measures in theory and an empirical study of their accuracy in predicting future risks, back-testing them using an out-of-sample study with a rolling window scheme. The theoretical part includes a general presentation of risk, covers various risk measures – dispersion measures and safety measures – and attempts to sort out their advantages and disadvantages. READ MORE