Essays about: "Patrik Paluch"

Found 2 essays containing the words Patrik Paluch.

1. 1. Empirical Risk Decomposition of Break-even Inflation

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jonas Gustavsson; Patrik Paluch; [2014]
   Keywords : TIPS; Break-even inflation; Term structure; Liquidity; Inflation;

   Abstract : Using principal component analysis, we find that there are three principal components that can explain almost all of the variation in the 5-20 year maturities of break-even inflation, defined as the spread between nominal Treasury and TIPS yields. The three principal components correspond to the factors regularly used in the empirical literature to describe the term structure of interest rates, namely, level, slope and curvature. READ MORE

3. 2. A Case Study of a High Frequency Trading Firm

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Patrik Paluch; Ronny Grimstål; [2012]
   Keywords : High Frequency Trading; Spire Europe; Price Anticipation;

   Abstract : This thesis studies the trading of High Frequency Trading firm Spire Europe on the NASDAQ OMX Nordic exchange with the goal of trying to characterise the way they make profit and how they manage risk. We conclude that the return of high frequency trading has very different characteristics from ordinary trading and hence methods developed for researching ordinary trading has little value when trying to investigate high frequency trading. READ MORE