Essays about: "NASDAQ100"

Found 3 essays containing the word NASDAQ100.

  1. 1. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Karl Tingstedt; [2022]
    Keywords : SV; ARCH; GARCH; TARCH; EGARCH; HARRV; IV; RV; Integrated Volatility; TINA;

    Abstract : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. READ MORE

  3. 2. On Pairs Trading : A Comparison between Cointegration and Correlation as Selection-criteria

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Erik Hognesius; Jakob Höllerbauer; [2014]
    Keywords : Pairs trading; Cointegration; Correlation; Simulation Study; NASDAQ100; Parhandel; Kointegration; Korrelation; Simuleringsstudie; NASDAQ100;

    Abstract : In this paper we show that pairs of stocks which have a true long run equilibrium (cointegration) yield a higher return than pairs of stocks that relies on a more spurious relationship (correlation) when applying Pairs Trading for a trading period from 31/12-09 to 25/6-14. We get an annual return for the cointegration portfolio of 4,15%, with a Sharpe-ratio of 0,87. READ MORE

  4. 3. Brownian Dynamic Simulation to Predict the Stock Market Price

    University essay from Blekinge Tekniska Högskola/Sektionen för datavetenskap och kommunikation

    Author : Ramana Reddy Dappiti; Mohan Krishna Thalluri; [2009]
    Keywords : Stock Price; Simulation; Random Walk; NASDAQ100.;

    Abstract : Stock Prices have been modeled using a variety of techniques such as neural networks, simple regression based models and so on with limited accuracy. We attempt to use Random Walk method to model movements of stock prices with modifications to account for market sentiment. READ MORE