Sökning: "time series momentum"

Visar resultat 6 - 10 av 18 uppsatser innehållade orden time series momentum.

  1. 6. 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

  3. 7. The impact of turbulence on supernovae shockwaves

    Kandidat-uppsats, Lunds universitet/Astronomi - Genomgår omorganisation

    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

  4. 8. A Study of Momentum Effects on the Swedish Stock Market using Time Series Regression

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Carolina Ljung; Maria Svedberg; [2018]
    Nyckelord :momentum; time series regression; ex ante volatility; stationary process;

    Sammanfattning : This study investigates if momentum effects can be found on the Swedish stock market by testing a cross-sectional momentum strategy on historical data. To explain the results mathematically, a second approach, involving time series regression for predicting future returns is introduced and thereby extends the cross-sectional theory. LÄS MER

  5. 9. Radial migration of stars, measured in N-body simulations

    Master-uppsats, Lunds universitet/Astronomi - Genomgår omorganisation; Lunds universitet/Institutionen för astronomi och teoretisk fysik - Genomgår omorganisation

    Författare :Daniel Mikkola; [2017]
    Nyckelord :N-body; simulations; galaxies; radial migration; stars; Physics and Astronomy;

    Sammanfattning : The purpose of Galactic archaeology is determining the history of the Milky Way (MW) Galaxy. To do this one uses observational data from stellar populations in terms of properties such as kinematics, chemistry, ages, and evolution. LÄS MER

  7. 10. Volatility of Volatility - The Uncertainties of Risks

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

    Författare :Mladen Milutinovic; Haojiang Zhao; [2015]
    Nyckelord :Empirical Asset Pricing; Volatility of Volatility; Volatility; Risk factors in Asset Pricing; Long-Short Trading Strategy;

    Sammanfattning : This paper is an attempt to explore the characteristics of volatility of volatility on the aggregate level and investigate its role in the pricing of equity assets. Several measures of volatility of volatility for the S&P 500 index are elaborated and investigated in this study; realized, parametrized and implied. LÄS MER