Sökning: "momentum crash"

Visar resultat 6 - 10 av 10 uppsatser innehållade orden momentum crash.

  1. 6. Momentum strategies on the Swedish market

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Simon Bergsten; [2019]
    Nyckelord :Financial markets; Sweden; Investment decisions; Momentum Strategy; Intermediate Past Returns; Risk; Volatility;

    Sammanfattning : Comparing the performance of a pure momentum strategy with a strategy based on intermediate past returns on OMXS 1999-2018, this study shows that a pure momentum strategy significantly outperforms a strategy based on intermediate past returns. The pure momentum strategy delivers significant returns, primarily for portfolios based on shorter formation and holding periods. LÄS MER

  3. 7. Risk-Managed Momentum Strategy Using Support Vector Machines

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Patrick Schneeberger; [2018]
    Nyckelord :Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

    Sammanfattning : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. LÄS MER

  4. 8. Feasibility of new Dark Matter search at ATLAS

    Kandidat-uppsats, Lunds universitet/Fysiska institutionen; Lunds universitet/Partikel- och kärnfysik

    Författare :Peter Stratmann; [2017]
    Nyckelord :Dark Matter; ATLAS; Trigger-Level Analysis; Calibration; Level 1; Mediator; Jets; Physics and Astronomy;

    Sammanfattning : This thesis examines the idea of calibrating Level 1 jets. These are used in the Trigger-Level Analysis at the ATLAS in the search for a new mediator, in this case between Standard Model and Dark Matter particles. In the thesis, the idea to calibrate the Level 1 jets is investigated. LÄS MER

  5. 9. 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

  7. 10. Momentum Crashes in Sweden : NASDAQ OMX Stockholm from a Momentum Perspective

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Andreas Blackestam; Viktor Setterqvist; [2014]
    Nyckelord :momentum; momentum effect; momentum crashes; financial momentum; efficient market hypothesis;

    Sammanfattning : Momentum, or the basic idea of the momentum effect in finance, is that there is a tendency for rising asset prices to continue rising, while the falling prices continue to fall. As such, a momentum strategy is based on the idea that previous returns will predict future returns. LÄS MER