Essays about: "portfolio rebalance effect"

Found 2 essays containing the words portfolio rebalance effect.

1. 1. Predicting the Options Expiration Effect Using Machine Learning Models Trained With Gamma Exposure Data

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Alexander Dubois; [2022]
   Keywords : AdaBoost; LSTM; Machine learning; Random forests; Stock markets; SVM;

   Abstract : The option expiration effect is a well-studied phenome, however, few studies have implemented machine learning models to predict the effect on the underlying stock market due to options expiration. In this paper four machine learning models, SVM, random forest, AdaBoost, and LSTM, are evaluated on their ability to predict whether the underlying index rises or not on the day of option expiration. READ MORE

3. 2. The Portfolio Rebalance Effect : Measuring the effects of QE on stock returns

   University essay from KTH/Entreprenörskap och Innovation

   Author : MONICA HÖRNFELDT; [2015]
   Keywords : Quantitative easing; equity; event study; financial crisis; portfolio rebalance effect;

   Abstract : This thesis has identified a gap in literature regarding the effects of quantitative easing (QE) on equities since the financial crisis in 2008. An event study has been conducted to investigate the portfolio rebalance effect stating that assets not regarded as close substitutes to targeted assets under the QE-scheme, e.g. READ MORE