Sökning: "Trading Strategy"

Visar resultat 1 - 5 av 221 uppsatser innehållade orden Trading Strategy.

  1. 1. Can pairs trading be used during a financial crisis?

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen; Uppsala universitet/Statistiska institutionen

    Författare :Axel Eurenius Larsson; Vincent Karlberg Hauge; [2020]
    Nyckelord :Pairs trading; Cointegration; Stationarity; Market neutrality; Financial crises; Statistical arbitrage.;

    Sammanfattning : In this paper, it is investigated whether pairs trading is a suitable trading strategy during a financial crisis. It is written in the subject of financial statistics and aims to particularly focus on the statistical aspects of the strategy. LÄS MER

  2. 2. Convergence Properties for Different Null Space Bases When Solving the Initial Margin Optimization Problem Using CMA-ES

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Jacob Barnholdt; Filip Carlsson; [2020]
    Nyckelord :Financial mathematics; CMA-ES; Optimization; Initial Margin; Null space representations; Finansiell matematik; CMA-ES; Optimering; Initial Margin; Nollrumsrepresentationer;

    Sammanfattning : This thesis evaluates how the evolutionary algorithm CMA-ES (Covariance Matrix Adaption Evolution Strategy) can be used for optimizing the total initial margin for a network of banks trading bilateral OTC derivatives. The algorithm is a stochastic method for optimization of non-linear and, but not limited to, non-convex functions. LÄS MER

  3. 3. Modeling the Relation Between Implied and Realized Volatility

    Master-uppsats, KTH/Matematisk statistik

    Författare :Tobias Brodd; [2020]
    Nyckelord :Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

    Sammanfattning : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. LÄS MER

  4. 4. Fatal accidents in the mining industry – do investors react rationally?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Björn Mattsson; [2020]
    Nyckelord :Finance; behavioral finance; market psychology; overreaction theory; efficient market hypothesis; mining; fatal accidents; Business and Economics;

    Sammanfattning : The mining industry is characterized by a hazardous working environment for its employed blue-collar workers and a general complexity of valuation for investors. By theories of behav-ioral finance, corporate social responsibility, and others outlined in the following, this makes a setting where one could plausibly expect reactions and even overreactions among investors to fatal accidents incurred among employed miners related to the mining operations. LÄS MER

  5. 5. Single asset trading: a recurrent reinforcement learning approach

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Marko Nikolic; [2020]
    Nyckelord :Nyckelord är; machine learning; reinforcement learning and recurrent reinforcement learning;

    Sammanfattning : Asset trading using machine learning has become popular within the financial industry in the recent years. This can for instance be seen in the large number of daily trading volume which are defined by an automatic algorithm. This thesis presents a recurrent reinforcement learning model to trade an asset. LÄS MER