Essays about: "Lenny Erlesand"

Found 2 essays containing the words Lenny Erlesand.

1. 1. Above average? – A study of moving average technical trading rules

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Lenny Erlesand; Philip Örn; [2010]
   Keywords : Efficient Market Hypothesis; Technical analysis; Moving average; Trading; Bootstrap; Exchange traded funds; Business and Economics;

   Abstract : The thesis investigates whether moving average technical trading rules can be applied profitably to ETFs of a wide range of commodities and indices, as well as directly to these underlying assets. It concludes that moving average strategies are not profitable in general, yet there are a few which can achieve excess profits for certain assets. READ MORE

3. 2. To return or not return - Trend spotting in the Swedish market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Fulgentiusson; Lenny Erlesand; [2010]
   Keywords : economic policy; economic systems; economic theory; econometrics; Economics; efficient market hypothesis EMH ; contrarian strategy; momentum; Random Walk; mean reversion; Sharpe Ratio; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : The following essays checks whether the Swedish stock market (represented by OMXS30) supports the weak efficiency of the EMH by observing whether the stocks contain a unit root and whether one can use trading strategies to create abnormal profits. The AR(1) model of the stock prices have a unit root coefficient very close to 1, thus they are trend stationary but have a very long memory. READ MORE