Sökning: "Passive Trading Strategy"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Passive Trading Strategy.

  1. 1. Investigating the Performance of Random Forest Classification for Stock Trading

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Oscar Nordfjell; Gustav Ring; [2023]
    Nyckelord :Random Forest; Random Forest Classification; Stock Trading; Trading Strategy;

    Sammanfattning : We show that with the implementation presented in this paper, the Random Forest Classification model was able to predict whether or not a stock was going to increase in value during the coming day with an accuracy higher than 50\% for all stocks included in this study. Furthermore, we show that the active trading strategy presented in this paper generated higher returns and higher risk-adjusted returns than the passive investment in the stocks underlying the strategy. LÄS MER

  3. 2. Singular Value Decomposition as a Method for Analyses and Forecasts of Financial Data

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Axel Gustavsson; [2021]
    Nyckelord :Singular value decomposition; Technical analysis; Trading strategy; Finance; Business and Economics;

    Sammanfattning : This paper examines the sufficiency of a trading method based on singular value decomposition (SVD) of past stock prices. The SVD method is frequently used as a tool to reduce data noise, compress big-data, and analyse data components. Hence, the method is well suited to form a ground for a predictive tool of price developments. LÄS MER

  4. 3. Strategies for High Frequency FX Trading - The choice of bucket size

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Malin Lunsjö; Malin Riddarström; [2017]
    Nyckelord :Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

    Sammanfattning : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. LÄS MER

  5. 4. Market Timing Ability of Bond-Equity Yield Ratio : A study of trading strategies in Japan, Malaysia and Singapore

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Ngwe Lin Myat Chit; Feiran Wang; [2014]
    Nyckelord :Bond to Equity Yield Ratio BEYR ; Dividend Yield; Earning Yield; Market Timing Strategy; Active Trading Strategy; Passive Trading Strategy; Extreme Value Strategy; Efficient Market Hypothesis;

    Sammanfattning : Market Timing Strategy is an active investment strategy, which is based on the signals of indicators, for the investors to make their investment decisions. However, there has always been the question on which variable is a good indicator, that would provide superior returns for the investment. LÄS MER

  7. 5. Active Portfolio Management in the German Stock Market : A CAPM Approach

    Magister-uppsats, IHH, Economics, Finance and Statistics

    Författare :Nicolai Wüsten; [2012]
    Nyckelord :Active Portfolio Management; DAX; German Stock Market; Forecasting;

    Sammanfattning : An investor can generate higher returns on the German stock market if he is using an active portfolio management strategy rather than its passive counterpart. This is possible because the market is not efficient and the DAX, namely the market portfolio, can be outperformed in regard to the average annual return and its variance. LÄS MER