Search for dissertations about: "Time-varying market inefficiency"

Found 2 swedish dissertations containing the words Time-varying market inefficiency.

  2. 1. On the returns of trend-following trading strategies

    Author : Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Commodity Trading Advisor funds; Contraction-Expansion principle; Crude oil futures; Futures trading; Opening Range Breakout strategies; S P 500 futures; Technical analysis; Time series momentum; Time-varying market inefficiency; nationalekonomi; Economics;

    Abstract : Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. READ MORE

  4. 2. Essays on Art Markets : insight from the international sculpture auction market

    Author : Rustam Vosilov; Jörgen Hellström; Rickard Olsson; Christophe Spaenjers; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Art markets; asset pricing; art finance; art economics; art auctions; sculpture market; art as alternative investment; art pricing; företagsekonomi; Business Studies;

    Abstract : The main purpose of this thesis is to investigate the viability of sculpture as a potential alternative investment. This goal is achieved through partly assessing the market quality of the auction market for sculptures and partly by studying their long-run diversification potential. READ MORE