Essays about: "arbitrage"

Showing result 31 - 35 of 171 essays containing the word arbitrage.

1. 31. ECONOMIC FEASIBILITY STUDY OF ADDING SOLAR PV, ENERGY STORAGE SYSTEM TO AN EXISTING WIND PROJECT: A CASE STUDY IN RÖDENE, GOTHENBURG

   University essay from Uppsala universitet/Institutionen för geovetenskaper

   Author : Xiaoyang Yu; [2022]
   Keywords : Hybrid renewable energy system; Lithium-ion battery storage system; Hydrogen storage system; Economic analysis;

   Abstract : Wind resources are highly intermittent and fluctuant, making wind turbines less reliable and the unstable power output will affect grid stability and security. This paper presents an idea of integrating the solar PV plant and energy storage system into an existing wind project, project Rödene in Gothenburg. READ MORE

3. 32. A new ETF Landscape and its Relationship to the Volatility of its Underlying Assets - An empirical study of the S&P 500

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andreas Hjälm; Felix Lindahl; [2022]
   Keywords : ETF; Volatility; Arbitrage; Shock Propagation; Index Investing;

   Abstract : The global market for exchange traded funds (ETFs) has during the last decade sustained substantial growth. A global increase of AUM from ~400 billion USD in 2005 to above 7.7 trillion USD in 2020 has brought with it a changed landscape. READ MORE

4. 33. Intraday Stock Price Variability Around Quarterly Earnings Announcements: Are markets efficient at interpreting quarterly earnings announcements?

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Anton Ljungnér; [2022]
   Keywords : Efficient Market Hypothesis EHM ; Stock price variability; Earnings announcements; Post-earnings-announcement drift; Daily Price Range DPR ;

   Abstract : This study examines the market reactions to earnings announcements and investigates the relationship between market cap segment and stock price variability around quarterly earnings announcements, on the Nasdaq OMX Stockholm main market during the year of 2021. Consistent with theoretical hypothesis, the empirical analysis shows that in the days surrounding an announcement of earnings, the abnormal intraday price ranges are elevated, and the elevated ranges are sustained for up to eight days following an announcement. READ MORE

5. 34. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : André Aho; Simon Löw; [2022]
   Keywords : Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

   Abstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE

6. 35. Option Modelling by Deep Learning

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Niclas Klausson; Victor Tisell; [2021-02-10]
   Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

   Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE