Essays about: "market efficiency, Momentum"

Showing result 1 - 5 of 22 essays containing the words market efficiency, Momentum.

  1. 1. CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET

    University essay from KTH/Matematisk statistik

    Author : Mahsa Badakhsh; [2023]
    Keywords : cross-sectional momentum; time-series momentum; market efficiency; random walk; ex-ante volatility; cross-sectional momentum; time-series momentum; marknadseffektivitet; random walk; ex-ante volatilitet;

    Abstract : The study investigates the presence of the momentum effect in the Swedish stock market by utilizing both cross-sectional introduced by Jegadeesh and Titman (1993) and time-series momentum introduced by Moskowtozt et al. (2011). The period of analysis is between 1998 to 2022. READ MORE

  3. 2. Momentum Strategies in Commodity Futures Market: A Quantitative study

    University essay from Umeå universitet/Företagsekonomi

    Author : Jino Badinson; Alfred Gunnarsson; [2023]
    Keywords : Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

    Abstract : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. READ MORE

  4. 3. The (in)efficiency of Financial Markets : Applying the Relative Strength Strategy on the Swedish Large cap Exchange

    University essay from Mälardalens högskola/Akademin för ekonomi, samhälle och teknik

    Author : Rickard Varli; [2021]
    Keywords : Financial markets; Sweden; Efficient Markets; Momentum Strategy; Historical Returns; Risk;

    Abstract : This paper examines the efficiency of the Swedish stock market, specifically the Large cap list of the Stockholm stock exchange. This is achieved by implementing the relative strength method of investing during the decade of 2010-2020 and evaluate the results in contrast to the Efficient Market Hypothesis. READ MORE

  5. 4. 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

  6. 5. The Efficiency of Financial Markets Part II : A Stochastic Oscillator Approach

    University essay from Umeå universitet/Företagsekonomi

    Author : André Netzén Örn; [2019]
    Keywords : Technical Trading; Technical Analysis; Efficient Market Hypothesis; Stock Market; Financial Markets; Trading; algorithm;

    Abstract : Over a long period of time, researchers have investigated the efficiency of financial markets. The widely accepted theory of the subject is the Efficient Market Hypothesis, which states that prices of financial assets are set efficiently. READ MORE