Sökning: "Futures Contracts"

Visar resultat 11 - 15 av 60 uppsatser innehållade orden Futures Contracts.

  1. 11. Transaktionskostnaders påverkan på inställningen till prissäkringsstrategier : en studie av gårdar med storskalig spannmålsproduktion

    Kandidat-uppsats, SLU/Dept. of Economics

    Författare :Carl-Magnus Albertsson; Mathias Ågren; [2020]
    Nyckelord :beslutsprocess; forwardkontrakt; futureskontrakt; prissäkring; transaktionskostnader;

    Sammanfattning : Agricultural businesses are exposed to many risk factors. For grain producers there are substantial risks which may affect income and costs. One way for producers to protect themselves is by hedging, which will help to stabilize income earnings. Futures- and forward contracts is one way for producers to do that. LÄS MER

  3. 12. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Martin Odenbrand; Sebastian Svensson Bromert; [2019]
    Nyckelord :Machine learning; time series momentum; moving average crossover; MACD; Hodrick-Prescott filter; random forest; pricing anomaly; computational finance; Mathematics and Statistics;

    Sammanfattning : 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. LÄS MER

  4. 13. Measuring the impact of strategic and tactic allocation for managed futures portfolios

    Master-uppsats, KTH/Matematisk statistik

    Författare :Alva Engström; Filippa Frithz; [2019]
    Nyckelord :;

    Sammanfattning : The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. LÄS MER

  5. 14. Modelling Seasonalities of HPFCs Using a Parametric Approach

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Reza Rastegar; Lucas Svantesson; [2019]
    Nyckelord :Power Markets; Hourly Price Forward Curves; Seasonality; Electricity Spot Price; Mathematics and Statistics;

    Sammanfattning : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). LÄS MER

  7. 15. Futureshandel av rundvirke : möjligheter och hinder för en futureshandel av rundvirke

    Master-uppsats, SLU/Dept. of Forest Economics

    Författare :Andreas Aronsson; Per Kjellander; [2019]
    Nyckelord :futures; prissäkring; prisrisk; prisvolatilitet; rundvirkeshandel; terminshandel; hedging; price risk; price volatility; roundwood trade;

    Sammanfattning : I jordbrukssektorn har framförallt en stark koppling till energimarknaden och klimatförändringar med risken för extrema väderförhållanden lett till en ökad prisvolatilitet. Faktorer som på sikt riskerar att öka prisvolatiliteten även i skogssektorn. LÄS MER