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 69 for “"trading strategy"”.
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Momentum trading strategy on the Johannesburg Stock Exchange
… below a variable moving average. Returns to this strategy tend to be maximized when employing a short-term (20-day) moving average, with an annualised above market return of 14,9 achievable. Using the returns of a stock in an immediately preceding formation period as a ranking criterion to …
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Uusing the KDJ as a trading strategy on biotech companies
… is the most commonly used model in quantitative trading. This model is associated with several factors, like ma5 and ma10 line. These factors are the most significant in stock markets. However, the disadvantages of this model are lag and inaccuracy. In this research, we get the historical and …
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Evolving game theory based decision making systems for NETA power market modelling, analysis and trading strategy development
… the strategic behaviours in electricity trading is first reviewed. An intelligent decision-making and support technique, game theory, is often used in the market practice. Game theory is a discipline concerned with how individuals make decisions when they are partly aware of how their …
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A quantitative equity strategy based on factors formed by industries in the S&P500
… a long-short market-neutral quantitative equity trading strategy for US stocks. First, economic intuition and academic researches for which this trading strategy is based upon will be explained. Second, to ensure that the trading strategy simulation would be as realistic as possible, I will …
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Market Timing strategy through Reinforcement Learning
This dissertation implements an optimal trading strategy based on the machine learning method and extreme value theory (EVT) to obtain an excess return on investments in the capital market. The trading strategy outperforms the benchmark S&P 500 index with higher returns and lower volatility through …
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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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Firms’ financial flexibility and the profitability of style investing
… investing strategies. They are the value-growth trading strategy (going long on stocks with high Book-to-Market ratio and short on stocks with low Book-to-Market ratio), the momentum trading strategy (going long on stocks that have performed well and short on stocks that have performed poorly …
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Algoritminė prekyba naudojant „prekyba poromis“ /
Algorithmic Trading using Pairs Training Pairs trading is a market neutral trading strategy that matches long position with short position in a pair of highly correlated two stocks. This is when we buy a share A when its value is very low (long position) and sell a share B when its value is too …
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Does Pairs trading work on the Johannesburg Stock Exchange?
In this study it was examined whether Pairs trading is a potentially profitable trading strategy on the Johannesburg Stock Exchange. Pairs trading is a quantitative based trading strategy, in which shares are paired up based on a historic price relationship and traded accordingly, in a contrarian …
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Essays on Fundamental Analysis
… the second chapter, I use a fundamental analysis strategy based upon common operating performance metrics to distinguish informative insider trades from noise trades. Insiders who trade consistently with these accounting fundamentals earn higher abnormal returns than the abnormal returns normally …
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Industry Based Fundamental Analysis: Using Neural Networks and a Dual-Layered Genetic Algorithm Approach
… These methodologies are used to develop a trading strategy to generate excess returns. The excess returns are compared to test the trading strategy's effectiveness. Market-adjusted and size-adjusted excess returns are calculated. Using a trading strategy based approach the logistic …
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Searching for Head and Shoulders Bottom Patterns under Directional Changes
… and Shoulder pattern is a well-known technical trading strategy. However, what exactly constitutes a Head and Shoulder pattern under time series is sometimes ambiguous. In this thesis, we show how this pattern can be rigorously defined by using Directional Change. Directional Change is a new way …
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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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Essays on closed-end funds : internal versus external management and insider trading
… model to be erroneous. Second, a portion of trading profit from insider trading has been ascribed to an omniscience of firm prospects. Due to a known portfolio of assets and little proprietary knowledge, closed-end funds provide a very stable environment in which to examine insider trading. …
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Statistical arbitrage in South African financial markets
… of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. The strategy is implemented with an algorithmic trading setup that models the spread in a state-space form...
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An Investigation into The Predictive Power of Overnight Gaps on The Johannesburg Stock Exchange
… also be applied practically, with a simulated trading strategy created and tested based on the theoretical and statistical findings. The primary method of identifying the underlying relationships at play is a collection of multiple linear and multiple logistic regression models, created using …
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Testing a price breakout strategy using Donchian Channels
… and tests the effectiveness of a trend following trading strategy on the South African Futures Exchange (SAFEX) through utilising Donchian Channels and modelled after the 'Turtle method' which was first popularized in the United States in the 1970s before the automation of trading models. Prior …
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Statistical arbitrage in South Africa
… profitability of statistical arbitrage as a trading strategy and highlight the importance of transaction costs in a real-world setting.
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Can volatility based technical signals capture consistent abnormal equity index returns?
… implied volatility indices for the aim of day trading the underlying stock indices. The purpose is to determine whether excess returns derived from the use of a combined technical trading strategy are statistically significantly different than zero. The null hypothesis is that the average daily …
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The Dogs of the Dow Strategy Applied to the S&P 500
<p>The Dogs of the Dow trading strategy popular strategy that invests in the ten stocks with the highest dividend yield in the Dow Jones Industrial Average. We examine a newer variation of this strategy that involves investing in the five highest dividend yield stocks from each sector of the S&P …
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