Sökning: "Ilya Kiselev"
Hittade 2 uppsatser innehållade orden Ilya Kiselev.
1. Safe Haven Assets - A long-term and short-term analysis of commodities, currencies and bonds
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper examines a broad range of assets including commodities, currencies and bonds, to test whether they could be classified as safe haven assets, that is, assets which are uncorrelated or negatively correlated with stocks during crisis periods. Using two different methodologies - a VAR-GARCH study focusing on the correlation between the tested assets and stocks, and a negative shock analysis focusing on the performance before and after shocks to the stock market - we find evidence of potential safe haven assets in all tested asset classes. LÄS MER
2. Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index
Magister-uppsats, IHH, Economics, Finance and Statistics; IHH, NationalekonomiSammanfattning : The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). LÄS MER
