Sökning: "exponential moving average"

Visar resultat 16 - 20 av 23 uppsatser innehållade orden exponential moving average.

1. 16. Soldiers, pigeons and shooting stars: Evaluating the profitability of candlestick charting on the Stockholm Stock Exchange

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

   Författare :Filip Demitz-Helin; Alexander Mahdi; [2016]
   Nyckelord :Candlestick Charting; Technical Analysis; Trading Rules; Return Predictability; Market Efficiency;

   Sammanfattning : This study provides a systematic evaluation of the profitability of candlestick charting, the oldest known form of technical analysis, on a sample of 72 stocks listed on the Stockholm Stock Exchange over the period 2000-2015. In contrast to recent studies on Chinese, Taiwanese and US data, we find that the majority of candlesticks generate raw returns that are only moderately positive and not statistically significant after accounting for transaction costs of 0. LÄS MER

3. 17. Forecasting daily maximum temperature of Umeå

   Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :saima naz; [2015]
   Nyckelord :ARIMA models; exponential smoothing; cubic spline; state-space model; vector autoregression.; ARIMA modeller; exponential smoothing; kubiska splines; state-space modell; vektor autoregression.;

   Sammanfattning : The aim of this study is to get some approach which can help in improving the predictions of daily temperature of Umeå. Weather forecasts are available through various sources nowadays. There are various software and methods available for time series forecasting. LÄS MER

4. 18. Prediktion av matchresultat i engelska Premier League

   Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Billy Palmberg; [2015]
   Nyckelord :Prediktion; ARMA; ARIMA; Exponentiell utjämning; Kellys formel; Thin Plate Spline; Premier League; Fotboll; Odds; Betting;

   Sammanfattning : Att i förväg försöka förutsäga vilket lag som kommer vinna i en fotbollsmatch har nog de flesta försökt sig på någon gång. Att gissa och att faktiskt försöka att analysera båda lagens förutsättningar är två väldigt olika metoder att komma fram till sitt resultat. LÄS MER

5. 19. 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, Nationalekonomi

   Författare :Ilya Kiselev; [2012]
   Nyckelord :Algorithmic trading; high-frequency trading; investment strategy;

   Sammanfattning : 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

7. 20. Value at Risk: A Standard Tool in Measuring Risk : A Quantitative Study on Stock Portfolio

   Master-uppsats, Handelshögskolan vid Umeå universitet

   Författare :Hosea Ofe; Peter Okah; [2011]
   Nyckelord :Value at Risk; Back Testing; Kupiec Test; Student T-Distribution; Historical Simulation; Normal Distribution; and Exponentially Weighted Moving Average.;

   Sammanfattning : The role of risk management has gained momentum in recent years most notably after the recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of value at risk which is considered a benchmark to measure financial risk. LÄS MER