Essays about: "statistical trading strategy"

Showing result 1 - 5 of 28 essays containing the words statistical trading strategy.

1. 1. Examining the Impact of Football Tournaments on Equity Markets: An Analysis of Market Anomalies, Market Dynamics and Investor sentiment

   University essay from

   Author : Oskar Edgren; Josef Johansson; [2023-07-06]
   Keywords : ;

   Abstract : This paper investigates whether two international football tournaments have an effect on the performance of four major stock markets during the event period. Some previous literature suggest that the NYSE index tended to fall during every World Cup between 1950 and 2007 due to negative investor sentiment associated with losing and being knocked out of the tournament. READ MORE

3. 2. 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

4. 3. Can pairs trading be used during a financial crisis?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Axel Eurenius Larsson; Vincent Karlberg Hauge; [2020]
   Keywords : Pairs trading; Cointegration; Stationarity; Market neutrality; Financial crises; Statistical arbitrage.;

   Abstract : In this paper, it is investigated whether pairs trading is a suitable trading strategy during a financial crisis. It is written in the subject of financial statistics and aims to particularly focus on the statistical aspects of the strategy. READ MORE

5. 4. INVESTMENT ADVICE FROM INSIDERS : The impact of Insider Trading on Long-Term IPO Stock Performance in Sweden

   University essay from Umeå universitet/Företagsekonomi

   Author : Anton Leth; Jakob Vikström; [2020]
   Keywords : Initial Public Offering; Insider Trading; Stock performance; Sweden; Efficient Market Hypothesis; Agency Theory; Signaling Theory; Stakeholder Theory; Prospect Theory.;

   Abstract : This thesis analyzes and evaluates the relationship between insider trading and the long-term stock performance of Initial Public Offerings (IPO) in Sweden. The study looks at firms that recently conducted an IPO and how the stock performance of the firm is impacted by insiders making transactions in their own stock. READ MORE

6. 5. Predicting the Financial Impact of the CEO’s Comments in Quarterly Reports

   University essay from Linköpings universitet/Institutionen för datavetenskap

   Author : Ludvig Westerdahl; [2020]
   Keywords : ;

   Abstract : This thesis investigates how the CEO’s comments in quarterly reports affect the financial performance of a company by predicting their stock price using machine learning and natural language processing. The dataset used consists of historical information such as the stock price (quantitative data) and the CEO’s comments (qualitative data). READ MORE