Essays about: "systematic trading"

Showing result 21 - 25 of 28 essays containing the words systematic trading.

  1. 21. Corporate Bond Credit Rating Biases: Issuance Frequency and Yield Spreads

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Axel Wikner; Samuel Marjamaa Hultgren; [2015]
    Keywords : corporate bonds; credit rating agencies; frequency; rating bias; rating inflation;

    Abstract : We investigate whether rating agencies (S&P, Moody's and Fitch) award firms who issue corporate bonds frequently, and thereby contributing substantially to rating agencies' revenues, by providing unjustifiably high rating assessments. We also investigate the same bias for firm size and issue size. READ MORE

  3. 22. RND estimation stability with respect to methodology : A study on the EURO STOXX 50 index around the September 2008 stock market crash

    University essay from KTH/Matematisk statistik

    Author : Misha Wolynski; [2013]
    Keywords : ;

    Abstract : The aim of this study is to investigate whether implied RND functions are stable with respect to the choice of estimation methodology and whether the stability is affected by the stock market crash of September 15 2008. In order to do so, I estimate RND functions for the EURO STOXX 50 equity index using two different methods, namely the fully parametric two-lognormal method and a curve-fitting method based on the approach proposed by Shimko (1993). READ MORE

  4. 23. Predicting Momentum Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mattias Holmberg; Martin Stenlund; [2013]
    Keywords : Dynamic; Momentum; Predictability; Reversal; Trading strategy;

    Abstract : Momentum strategies have historically shown to yield positive returns with little systematic risk exposure. Although usually profitable over long time periods, momentum strategies have also shown to suffer from irregular but severe losses that effectively erode the strategies' attractiveness. READ MORE

  5. 24. A Scenario Based Allocation Model Using Entropy Pooling for Computing the cenarioProbabilities

    University essay from KTH/Matematisk statistik

    Author : Nikos Georgelis; Mikael Nyberg; [2013]
    Keywords : Scenario Based Allocation Model; Entropy Pooling; Scenario;

    Abstract : We introduce a scenario based allocation model (SBAM) that uses entropy pooling for computing scenario probabilities. Compared to most other models that allow the investor to blend historical data with subjective views about the future, the SBAM does not require the investor to quantify a level of confidence in the subjective views. READ MORE

  6. 25. Momentum under different market climates: Evidence from the South African market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Lars Gustafsson; Joakim Lundqvist; [2010]
    Keywords : Momentum; South Africa; Trading strategies; market climates;

    Abstract : In this study, we examine the existence and persistence of return momentum in the South African market between March 1995 and December 2009. We investigate three different momentum strategies, and examine their risk-return relationship under different market climates. READ MORE