Essays about: "systematic trading"

Showing result 11 - 15 of 28 essays containing the words systematic trading.

  1. 11. 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

  3. 12. 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

  4. 13. With a Preference for Priority: Explaining Variations of Stability and Efficiency in School Choice

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Alexander Andevall Mårtensson; Nils Lager; [2019]
    Keywords : matching theory; market design; allocative efficiency; mechanism design; education and research institutions;

    Abstract : In school choice systems, policy makers try to allocate students in a fair and efficient way. Two mechanisms for allocating students that has been of particular interest for market designers is Deferred Acceptance (DA), which is stable and does not allow for priority violations, and Top Trading Cycles (TTC), which is Pareto efficient but creates justified envy among students. READ MORE

  5. 14. Bayesian Neural Networks for Financial Asset Forecasting

    University essay from KTH/Matematisk statistik

    Author : Alexander Back; William Keith; [2019]
    Keywords : Bayesian neural networks; variational inference; Markov chain Monte Carlo; dropout; systematic trading; futures contracts; Bayesianska neurala nätverk; variational inference; Markov chain Monte Carlo; dropout; systematisk trading; terminskontrakt;

    Abstract : Neural networks are powerful tools for modelling complex non-linear mappings, but they often suffer from overfitting and provide no measures of uncertainty in their predictions. Bayesian techniques are proposed as a remedy to these problems, as these both regularize and provide an inherent measure of uncertainty from their posterior predictive distributions. READ MORE

  6. 15. Statistical Arbitrage Using Cross-Market Pairs Trading

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Boltenstål; [2018]
    Keywords : Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

    Abstract : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. READ MORE