Sökning: "CTAs"

Hittade 5 uppsatser innehållade ordet CTAs.

1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

   Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Oskar Fransson; [2023]
   Nyckelord :Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

   Sammanfattning : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. LÄS MER

3. 2. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Datalogi

   Författare :Rebecca Fällström; [2023]
   Nyckelord :Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

   Sammanfattning : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. LÄS MER

4. 3. Exploring the role and use of values & emotions in promoting prosocial action via Instagram

   Magister-uppsats, Malmö universitet/Institutionen för konst, kultur och kommunikation (K3)

   Författare :Charlotte Griffiths; [2021]
   Nyckelord :values; emotions; prosocial; prosociality; communication for social change; C4SC; communication for development; ComDev; social media; Instagram;

   Sammanfattning : Inspired by recent work on value-based messaging in migration-relatedcampaigning to elicit sympathy, this project explores theoretical rationale foremploying values in the field of communication for social change (C4SC),understood in its broad sense as aspiring to engender prosocial behaviour. The project is framed by the main question of how values, emotions and(prosocial) action relate to one another. LÄS MER

5. 4. Manufactured Authenticity: How Beauty Brands UseConsumers' Content to Communicate Branding Messages

   Magister-uppsats, Örebro universitet/Institutionen för humaniora, utbildnings- och samhällsvetenskap

   Författare :Meagan Nouis; [2020]
   Nyckelord :Branding messages; digital self-branding; Instagram marketing; consumer engagement; content analysis;

   Sammanfattning : While beauty brands are often known to set industry trends, the consumers pave the way forbranding communications on social media. Companies have adapted their marketing strategies tobuild interactivity into their branding outreach. LÄS MER

7. 5. The effects of volatility and correlation on CTA strategies

   Magister-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

   Författare :Kristoffer Lindkvist; [2012]
   Nyckelord :CTAs; Volatility; Correlation; Trend Following; Short Term; Fundamental; Managed Futures;

   Sammanfattning : Detta examensarbete analyserar effekterna av volatilitet och korrelation på trading strategier brukade av Commodity Trading Advisors (CTA´s). Denna studie bygger på en kvantitativ analys av data som insamlats från Barclay Hedge database. Studien har genomförts i samarbete med RPM Risk & Portfoliomanagement i Stockholm, Sverige. LÄS MER