Sökning: "time series momentum"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden time series momentum.

  1. 1. Does the sinner beat the saint? An empirical study of the Nordic stock market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jonathan Winberg; [2019-11-27]
    Nyckelord :Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. Performance of Asset Pricing Models in the Nordic Stock Markets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jonas Olsson; [2019-07-02]
    Nyckelord :;

    Sammanfattning : MSc in Finance.... LÄS MER

  3. 3. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Martin Odenbrand; Sebastian Svensson Bromert; [2019]
    Nyckelord :Machine learning; time series momentum; moving average crossover; MACD; Hodrick-Prescott filter; random forest; pricing anomaly; computational finance; Mathematics and Statistics;

    Sammanfattning : Momentum or trend following investing refers to trading strategies constructed around the idea that in financial markets, the current trend will, more often then not, prevail. In the context of asset prices, this means that previous returns or the price development of an asset is indicative of similar future returns and price development. LÄS MER

  4. 4. In the Periphery of Financial Markets: Asset Pricing of Cryptocurrencies

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

    Författare :Axel Bryhn; Oscar Gonzales; [2019]
    Nyckelord :asset pricing; cryptocurrency; CAPM; Fama-French three-factor model; Carhart four-factor model;

    Sammanfattning : In this thesis we analyze asset pricing of cryptocurrencies. We try to understand and explain what determines the change in return on individual cryptocurrencies by running time-series regressions on their daily returns. The independent variables included are based on the market, size, value and momentum effect. LÄS MER

  5. 5. The impact of turbulence on supernovae shockwaves

    Kandidat-uppsats, Lunds universitet/Astronomi

    Författare :Loke Lönnblad Ohlin; [2018]
    Nyckelord :astrophysics; astronomy; supernovae; shockwaves; interstellar medium; massive stars; turbulence; molecular clouds; Physics and Astronomy;

    Sammanfattning : The momentum and energy injection from supernovae is one of the main feedback modes, and is therefore key to the understanding of galaxy evolution and star formation. However, due to low resolution, large scale galaxy simulations often have issues with accurately modelling supernovae, and therefore rely on sub-grid models. LÄS MER