Essays about: "ftse 100"

Showing result 11 - 15 of 18 essays containing the words ftse 100.

1. 11. Evaluation of Value-at-Risk Models During Volatility Clustering

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Medjit Yalmaz Kadir; [2014]
   Keywords : EWMA; VaR; VWHS; AWHS; Value-at-Risk; Business and Economics;

   Abstract : In the light of the financial crisis of 2008, risk management has become one of the most important topics in the financial world. This study applies five different VaR approaches, normal distribution, student’s t distribution, historical simulation, age weighted historical simulation and volatility weighted historical simulation under three different sample windows. READ MORE

3. 12. Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index

   University essay from IHH, Economics, Finance and Statistics; IHH, Nationalekonomi

   Author : Ilya Kiselev; [2012]
   Keywords : Algorithmic trading; high-frequency trading; investment strategy;

   Abstract : The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). READ MORE

4. 13. A comparative study of VaR models

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sebastian Recht; Kaifeng Wang; [2012]
   Keywords : Christoffersen frequency test; Extreme value theory; Market capitalization; Historical simulation; Value at Risk; Business and Economics;

   Abstract : In this paper, we investigate the predictive performance of eight common Value at Risk (VaR) estimation methods with the daily data of OMX Stockholm 30 and FTSE 100 indexes. These methods include non-parametric, parametric as well as Extreme Value Theory approaches whose daily and 10-day estimates are then evaluated using the Christoffersen frequency test. READ MORE

5. 14. The behavior of stock price on ex-dividend day : A study on New York Stock Exchange and London Stock Exchange

   University essay from Handelshögskolan vid Umeå universitet

   Author : Md. Amirul Islam; Biplob Chowdhury; Md. Amirul Islam; [2011]
   Keywords : Ex-dividend day; cum-dividend day; dividend; and market efficiency;

   Abstract : The main aim of this thesis is to analyze the behavior of stock price on ex-dividend day in London Stock Exchange and New York Stock Exchange and draw a conclusion about the market efficiency based. We collect 200 sample companies dividend, ex-dividend day and cum dividend day stock price to compare with NYSE composite index and FTSE 100 for London Stock Exchange. READ MORE

6. 15. Market anomaly and arbitrage opportunity around ex-divident day

   University essay from Handelshögskolan vid Umeå universitet

   Author : Md Mohibul Islam; Jessie Cadilhac; [2010]
   Keywords : ;

   Abstract : Purpose of this study is to investigate market anomaly and possible arbitrage opportunity around ex-dividend day. We investigate most liquid common stock prices behavior around the world. READ MORE