Essays about: "systematic liquidity"

Showing result 1 - 5 of 13 essays containing the words systematic liquidity.

1. 1. Flight to climate: liquidity commonality in brown equities

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : Haiping Yu; [2023]
   Keywords : ESG; ESG Investing; Climate investing; Liquidity Commonality; Systematic Liquidity Risk;

   Abstract : Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. READ MORE

3. 2. Does the tick size regime on systematic internalisers improve market quality? : An Empirical Analysis on the Swedish Stock Market

   University essay from Stockholms universitet/Finansiering

   Author : Jesper Andersson; Alexander Hübbert; [2021]
   Keywords : Systematic Internalisers; Nasdaq Stockholm; Tick size; Market quality; Market composition;

   Abstract : The tick size regime on systematic internalisers (SIs) was seen as a necessary action to level the playing field between SIs and other trading venues, with the hopes to improve the market composition and market quality in favour of regulated markets. However, the previous literature objects to the view as SIs may have gained the first-mover advantage from their previous tick size exemption. READ MORE

4. 3. 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

5. 4. Chasing Sustainable Stocks: A Superior Investment Decision? - An ESG Investment Study

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Sebastian Johansson; Gustav Nilsson; [2019]
   Keywords : ESG; Socially Responsible Investing; Trading Strategy; Portfolio Performance;

   Abstract : Sustainable investing is trending, amounting to $30 trillion in assets under management world-wide in 2018 and it is predicted to grow even larger in the years to come. This thesis studies ESG portfolio performance of three comparable portfolios, a Sustainable, a Good Enough and an Unsustainable portfolio constructed using ESG-score in relation to their Global Industrial Classification Standard (GICS), between 2004 - 2018 in the U. READ MORE

6. 5. Measuring the Risk-neutral Probability Distribution of Equity Index Options

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Gustav Dackner; Linus Falk; [2019]
   Keywords : ;

   Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE