Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 86 for “"Trading strategies"”.
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Optimal Trading Strategies Under Arbitrage
… demonstrates how explicit formulas for optimal trading strategies in terms of minimal required initial capital can be derived in order to replicate a given terminal wealth in a continuous-time Markovian context. Towards this end, only the existence of a square-integrable market price of risk …
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An analysis of technical trading strategies
… `risk premium view' as an explanation for excess trading rule returns. First, we generally rely on the theoretical alternatives to the efficient market hypothesis which encourages possibilities for markets to be inefficient. We then investigate the link between the risk involved in trading rule …
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An empirical analysis of quantitative trading strategies
… of the electronic exchanges, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have been evolving rapidly in a few decades. They challenge the Efficient Market Hypothesis by trying to …
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Optimal trading strategies vs. a statistical adversary
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1994.
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Commodity market modeling and physical trading strategies
… The analytical framework for physical commodity trading that is developed allows for the calculation of expected profits, risks involved, and exposure to the major risk factors. This makes it possible for market participants to analyze such physical trades in advance, creates a decision rule for …
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Essays on inventory, pricing and financial trading strategies
… thesis, I consider the problem of dynamically trading a security over a finite time horizon. The model assumes that a trader has a "safe price" for the security, which is the highest price that the trader is willing to pay for this security in each time period. A trader's order has both …
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On commodity trading strategies: momentum, term structure, maturity, indexation
… futures markets that lead to profitable trading strategies, effectively testing the efficiency of commodity markets. First, short-term continuation and long-term reversal in commodity futures prices are examined. While contrarian strategies do not work, 13 profitable momentum strategies …
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A time and frequency domain analysis of contrarian trading strategies/
… development of liquidity providing algorithmic trading strategies acted to narrow spreads and reduce transaction costs. Increasing the focus of our analytical lens to the intraday level we find that, over the past two decades, market making profitability has been higher and sensitivity to market …
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Classification of Trading Strategies for the Early Detection of Poor Traders
Successful trading in modern markets depends on the ability to monitor and anticipate changes in exchange rates, share, bond and derivative prices, and to make effective decisions to buy, sell, withdraw or hold based on these changes. Rapid changes in market conditions necessitates consistent but …
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Currency and international equity trading strategies and the behavior of exchange rates
Thesis (Ph. D.)--Michigan State University. Department of Economics Finance, 2010
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Three essays on stock returns predictability and trading strategies to exploit it
… to exploit it via construction of appropriate trading strategies. The objectives of this research are: 1) to model mean reversion in developed stock markets and re-assess the mixed empirical findings to date; 2) to characterize the returns generating process in emerging capital markets and …
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Analysis of Exponential Filter Time Series Operators of Geometric Brownian Motion in Trading Strategies
Trading strategies based on moving average indicators have been analyzed in the academic literature numerous times using historical data to make statistical inferences about various properties such as expected returns. In this work, a deductive model is assumed where asset price dynamics are driven …
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Developing trading strategies under the Directional Changes framework, with application in the FX Market
… studies have suggested that, theoretically, a trading strategy that exploits the full promise of the DC framework could be astonishingly profitable. However, such a strategy is yet to be discovered. In this thesis, we explore, and consequently provide proof of, the usefulness of the DC …
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The Application of the Genetic Algorithm in Promoting Stock Trading Performances
… Genetic Algorithm (GA) to discover profitable trading strategies by providing an out-of-sample test of GA-based trading strategies on the CSI 300 index. Our results suggest that, with trading costs taken into consideration, GA-based trading rules consistently beat the buy-and-hold strategy in …
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Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies
The aims of this research are firstly to model the South African Local Government Bond Yield curve according to the Nelson Siegel Parameterisation framework, as implemented in the pivotal work of Diebold and Li (2006) in forecasting the US Treasury curve.
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An online learning algorithm for technical trading
… optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of technical trading strategies that can survive historical back-testing as well as form an overall aggregated portfolio trading …
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Applying Deep Learning on Financial Sentiment Analysis
… In the past, people tend to use historical trading information of the securities to predict the return or manage the portfolio. Nowadays, the literature has been proved that the market sentiment could predict asset prices. Specifically, it has been shown that the stock market movement is …
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The detection of phase transitions in the South African market
… details the performance of two specific trading strategies which are based on the Johansen-Ledoit-Sornette (JLS) model. Both positive and negative bubbles are modelled as a log-periodic power law (LPPL) ending in a finite time singularity. The stock prices of the constituents of the …
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Quality of earnings as an investment indicator : a literature review.
… affect market valuations and evaluates whether trading strategies based on this knowledge yield abnormal positive returns. This paper looks at why earnings quality should be an important consideration in evaluation [of] a firm, then investigates research on the accounting effect on valuations, …
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Stock market winners : Thailand evidence
… These significant characteristics are changes in trading volume on the foreign board, and quarterly earnings changes. The significant winners' characteristics are used to form the trading strategies that are applied to the stocks in the SET, excluding the winners, over the period of 1990-1993. …
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