Sökning: "Sharpe Ratio and Trading"

Visar resultat 11 - 15 av 28 uppsatser innehållade orden Sharpe Ratio and Trading.

1. 11. Algorithmic Stock Trading using Deep Reinforcement learning

   Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Alexander Brokking; Michael Wink; [2021]
   Nyckelord :;

   Sammanfattning : Recent breakthroughs in Deep Learning and Reinforcement Learning have enabled the new field of Deep Reinforcement Learning. This study explores some of the state of the art applications of deep reinforcement learning in the field of finance and algorithmic trading. By building on previous research from Yang et al. LÄS MER

3. 12. The Halloween Effect : A trick or treat in the Swedish stock market?

   Magister-uppsats, Jönköping University/IHH, Företagsekonomi

   Författare :Oliver Benjaminsson; Pontus Reinhold; [2020]
   Nyckelord :The Halloween Effect; Efficient Market Hypothesis; Calendar anomalies; Regression analysis; Trading strategies;

   Sammanfattning : The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. LÄS MER

4. 13. Pairs Trading in Swedish Investment Companies

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Pascal Dettwiler; Edvin Larsson; [2019]
   Nyckelord :Pairs trading; Investment Company; Traded at Discount; Bollinger Bands; Moving Average; Trading Strategy; Algorithmic Trading; Algo trading; Business and Economics;

   Sammanfattning : The purpose of this paper is to examine if it is possible to profitably implement a market neutral trading strategy, so-called "pairs trading", on three different Swedish investment companies. It can be concluded that applying a pairs trading strategy on [these three] Swedish investment companies and their underlying listed assets has the potential to beat the market Sharpe ratio. LÄS MER

5. 14. Outlier-Robust Dynamic Portfolio Optimization based on Bear-Bull-Regimes

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Emil Eliasson; Linus Hamlin; [2018]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : The work in this thesis is meant to improve an existing algorithm described in Nystrup (2017). As the original model uses a normal distribution to approximate the daily logarithmic returns, the authors of this thesis aim to improve the approximation by using Student’s t-distribution which may be a better approximation of financial data. LÄS MER

7. 15. Financial Behavior and the Momentum Strategy

   Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Olle Josefsson; Emil Eliasson; Fredrik Thörning; [2018]
   Nyckelord :Behavioral Finance; Momentum Strategy; CAPM; Sharpe Ratio and Trading; Business and Economics;

   Sammanfattning : Title: Financial Behavior and the Momentum Strategy Seminar date: 2018-05-31 Course: FEKH89, Bachelor’s Degree Project in Financial Management, Business Administration, Undergraduate Level, 15 ECTS Authors: Emil Eliasson, Olle Josefsson, Fredrik Thörning Advisor: Maria Gårdängen Purpose: The authors of this thesis aim to study if it is possible to generate a better Sharpe ratio within the CAPM-theory using a mathematical model to buy and sell a risky asset depending on the market volatility. The authors then aim to explain the changes in volatility by discussing anomalies in the market. LÄS MER