Essays about: "Time series momentum"
Showing result 6 - 10 of 18 essays containing the words Time series momentum.
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6. In the Periphery of Financial Markets: Asset Pricing of Cryptocurrencies
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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7. The impact of turbulence on supernovae shockwaves
University essay from Lunds universitet/Astronomi - Genomgår omorganisationAbstract : 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
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8. A Study of Momentum Effects on the Swedish Stock Market using Time Series Regression
University essay from KTH/Matematisk statistikAbstract : This study investigates if momentum effects can be found on the Swedish stock market by testing a cross-sectional momentum strategy on historical data. To explain the results mathematically, a second approach, involving time series regression for predicting future returns is introduced and thereby extends the cross-sectional theory. READ MORE
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9. Radial migration of stars, measured in N-body simulations
University essay from Lunds universitet/Astronomi - Genomgår omorganisation; Lunds universitet/Institutionen för astronomi och teoretisk fysik - Genomgår omorganisationAbstract : The purpose of Galactic archaeology is determining the history of the Milky Way (MW) Galaxy. To do this one uses observational data from stellar populations in terms of properties such as kinematics, chemistry, ages, and evolution. READ MORE
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10. Volatility of Volatility - The Uncertainties of Risks
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper is an attempt to explore the characteristics of volatility of volatility on the aggregate level and investigate its role in the pricing of equity assets. Several measures of volatility of volatility for the S&P 500 index are elaborated and investigated in this study; realized, parametrized and implied. READ MORE