Sökning: "dynamic momentum"

Visar resultat 21 - 25 av 34 uppsatser innehållade orden dynamic momentum.

  1. 21. Risk Managed Time Series Momentum

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Sutian Ming; Richard Eidestedt; [2015]
    Nyckelord :momentum crash; time series momentum; time-varying risk; optionality;

    Sammanfattning : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. LÄS MER

  3. 22. Effects of Water Mist System on a Controlled Fire

    Master-uppsats, Lunds universitet/Avdelningen för Brandteknik

    Författare :Jasper Ho; [2015]
    Nyckelord :Fire; water mist; simulation; experiment; extinguish; extinguishment; Technology and Engineering;

    Sammanfattning : Current legislation regarding implementation of water mist system(s) requires full scale testing specific to its intended use which involves extensive funding that discourages potential users. This motivates the desire for accurate water mist simulation. LÄS MER

  4. 23. Investigating CVT as a Transmission System Option for Wind Turbines

    Master-uppsats, KTH/Energiteknik; KTH/Kraft- och värmeteknologi

    Författare :Deniz Alkan; [2013]
    Nyckelord :Continuously variable transmission CVT ; wind turbine drive train; blade element momentum BEM ; frequency control of wind turbines; power electronics;

    Sammanfattning : In this study, an innovative solution is examined for transmission problems and frequency control for wind Turbines. Power electronics and the gear boxes are the parts which are responsible of a significant amount of failures and they are increasing the operation and maintenance cost of wind turbines. LÄS MER

  5. 24. Credit, Liquidity and Emerging Market Risk in the Global Equity Market

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Dan-Alexandru Alexandru; Pavels Berezovskis; [2013]
    Nyckelord :Credit Risk; Liquidity Risk; Emerging Market Risk; Asset Pricing Model; Dynamic Orthogonalization;

    Sammanfattning : We use data on 78 national market indices over 9 years and show that the world CAPM fails to explain stock market index excess returns both in time-series and in cross-section. We introduce credit, liquidity and emerging market factors and report that the performance of the pricing model is increased, with liquidity and emerging market contributing most. LÄS MER

  7. 25. Predicting Momentum Returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Mattias Holmberg; Martin Stenlund; [2013]
    Nyckelord :Dynamic; Momentum; Predictability; Reversal; Trading strategy;

    Sammanfattning : Momentum strategies have historically shown to yield positive returns with little systematic risk exposure. Although usually profitable over long time periods, momentum strategies have also shown to suffer from irregular but severe losses that effectively erode the strategies' attractiveness. LÄS MER