Essays about: "Testing the EMH"

Showing result 1 - 5 of 8 essays containing the words Testing the EMH.

1. 1. Deep Reinforcement Learning Approach to Portfolio Optimization

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Lorik Sadriu; [2022]
   Keywords : Deep Reinforcement Learning; Portfolio Optimization; Portfolio performance; EMH; Business and Economics;

   Abstract : This paper evaluates whether a deep reinforcement learning (DRL) approach can be implemented, on the Swedish stock market, to optimize a portfolio. The objective is to create and train two DRL algorithms that can construct portfolios that will be benchmarked against the market portfolio, tracking OMXS30, and the two conventional methods, the naive portfolio, and minimum variance portfolio. READ MORE

3. 2. Identifying Reflexivity

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Marcus Nykvist; Eric Månsson; [2022]
   Keywords : Reflexivity; EMH; AMH; fundamental value; market value; feedback loop; cognitive function; manipulative function;

   Abstract : Abstract  Master thesis in Business Administration, School of Business and Economics Linnaeus University 4FE17E VT2022  Authors: Eric Månsson & Marcus Nykvist  Supervisor: Magnus Willesson  Examiner: Christopher von Koch  Title: Identifying Reflexivity  Keywords: Reflexivity, EMH, AMH, fundamental value, market value, feedback loop, cognitive function, manipulative function.  Background: Current economic theory describes the risks the financial markets face as exogenous in nature. READ MORE

4. 3. Testing the weak form EMH - An empirical study of the Swedish stock market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Joel Frank; Viktor Öhrström; [2019-07-11]
   Keywords : ;

   Abstract : This thesis investigates whether the Swedish stock market shows signs of weak form efficiency between January 2012 and January 2019. Weekly data is gathered from the OMXSPI and from three indices of different capitalization segments, namely Large cap, Mid cap and Small cap. READ MORE

5. 4. Efficient Market Hypothesis: Testing for Price Predictability on the OMX Stockholm 30 Index

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Hjalmar Fryklund; Robert Mlinaric; [2016-09-15]
   Keywords : ;

   Abstract : The use of historical information to predict future pricing of equities has been a topic of debate among the financial community for some time. This study examines the issue by testing for statistical significance on lagged price values, utilizing an autoregressive model. In the tests we use data from the OMX Stockholm 30 index. READ MORE

6. 5. Capitalizing on seasonalities in the Singapore Straits Times Index

   University essay from IHH, Företagsekonomi

   Author : Oscar Hetting; Joakim Hellman; Maryam Tarighi; [2012]
   Keywords : Finance; behavioural finance; efficient markets hypothesis; EMH; seasonal anomalies; calendar effects; day-of-the-week effects; month-of-the-year effects; Straits Times Index; STI; abnormal returns;

   Abstract : Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies. READ MORE