Essays about: "momentum crash"

Showing result 6 - 10 of 10 essays containing the words momentum crash.

  1. 6. Momentum strategies on the Swedish market

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Simon Bergsten; [2019]
    Keywords : Financial markets; Sweden; Investment decisions; Momentum Strategy; Intermediate Past Returns; Risk; Volatility;

    Abstract : Comparing the performance of a pure momentum strategy with a strategy based on intermediate past returns on OMXS 1999-2018, this study shows that a pure momentum strategy significantly outperforms a strategy based on intermediate past returns. The pure momentum strategy delivers significant returns, primarily for portfolios based on shorter formation and holding periods. READ MORE

  3. 7. Risk-Managed Momentum Strategy Using Support Vector Machines

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Patrick Schneeberger; [2018]
    Keywords : Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

    Abstract : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. READ MORE

  4. 8. Feasibility of new Dark Matter search at ATLAS

    University essay from Lunds universitet/Fysiska institutionen; Lunds universitet/Partikel- och kärnfysik

    Author : Peter Stratmann; [2017]
    Keywords : Dark Matter; ATLAS; Trigger-Level Analysis; Calibration; Level 1; Mediator; Jets; Physics and Astronomy;

    Abstract : This thesis examines the idea of calibrating Level 1 jets. These are used in the Trigger-Level Analysis at the ATLAS in the search for a new mediator, in this case between Standard Model and Dark Matter particles. In the thesis, the idea to calibrate the Level 1 jets is investigated. READ MORE

  5. 9. Risk Managed Time Series Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sutian Ming; Richard Eidestedt; [2015]
    Keywords : momentum crash; time series momentum; time-varying risk; optionality;

    Abstract : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. READ MORE

  6. 10. Momentum Crashes in Sweden : NASDAQ OMX Stockholm from a Momentum Perspective

    University essay from Umeå universitet/Företagsekonomi

    Author : Andreas Blackestam; Viktor Setterqvist; [2014]
    Keywords : momentum; momentum effect; momentum crashes; financial momentum; efficient market hypothesis;

    Abstract : Momentum, or the basic idea of the momentum effect in finance, is that there is a tendency for rising asset prices to continue rising, while the falling prices continue to fall. As such, a momentum strategy is based on the idea that previous returns will predict future returns. READ MORE