Essays about: "Time series momentum"

Showing result 1 - 5 of 16 essays containing the words Time series momentum.

  1. 1. Does the sinner beat the saint? An empirical study of the Nordic stock market

    University essay from Göteborgs universitet/Graduate School

    Author : Jonathan Winberg; [2019-11-27]
    Keywords : Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

    Abstract : MSc in Finance.... READ MORE

  2. 2. Performance of Asset Pricing Models in the Nordic Stock Markets

    University essay from Göteborgs universitet/Graduate School

    Author : Jonas Olsson; [2019-07-02]
    Keywords : ;

    Abstract : MSc in Finance.... READ MORE

  3. 3. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly

    University essay from Lunds universitet/Matematisk statistik

    Author : Martin Odenbrand; Sebastian Svensson Bromert; [2019]
    Keywords : Machine learning; time series momentum; moving average crossover; MACD; Hodrick-Prescott filter; random forest; pricing anomaly; computational finance; Mathematics and Statistics;

    Abstract : Momentum or trend following investing refers to trading strategies constructed around the idea that in financial markets, the current trend will, more often then not, prevail. In the context of asset prices, this means that previous returns or the price development of an asset is indicative of similar future returns and price development. READ MORE

  4. 4. In the Periphery of Financial Markets: Asset Pricing of Cryptocurrencies

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Axel Bryhn; Oscar Gonzales; [2019]
    Keywords : asset pricing; cryptocurrency; CAPM; Fama-French three-factor model; Carhart four-factor model;

    Abstract : In this thesis we analyze asset pricing of cryptocurrencies. We try to understand and explain what determines the change in return on individual cryptocurrencies by running time-series regressions on their daily returns. The independent variables included are based on the market, size, value and momentum effect. READ MORE

  5. 5. The impact of turbulence on supernovae shockwaves

    University essay from Lunds universitet/Astronomi

    Author : Loke Lönnblad Ohlin; [2018]
    Keywords : astrophysics; astronomy; supernovae; shockwaves; interstellar medium; massive stars; turbulence; molecular clouds; Physics and Astronomy;

    Abstract : The momentum and energy injection from supernovae is one of the main feedback modes, and is therefore key to the understanding of galaxy evolution and star formation. However, due to low resolution, large scale galaxy simulations often have issues with accurately modelling supernovae, and therefore rely on sub-grid models. READ MORE