Search for dissertations about: "Exchange traded"

Showing result 1 - 5 of 16 swedish dissertations containing the words Exchange traded.

  2. 1. On the profitability of momentum strategies and optimal leverage rules

    Author : Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

    Abstract : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. READ MORE

  4. 2. Essays on the Financial Aspects of Power Prices at the Nord Pool Power Exchange

    Author : Daniel Deng; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; EGARCH; convenience yield; call option;

    Abstract : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as a hydropower inventory therefore plays an important role in the pricing of electricity. READ MORE

  5. 3. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

    Author : Daniel Deng; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

    Abstract : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. READ MORE

  6. 4. Essays in empirical finance

    Author : Egle Karmaziene; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This thesis consists of four self-contained essays on empirical.Motives for Entrepreneurial Saving: Evidence from Sweden evaluates the drivers of a high saving rate of entrepreneurs in Sweden. READ MORE

  7. 5. Essays on market microstructure : empirical evidence from some Nordic exchanges

    Author : Jonas Niemeyer; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This dissertation consists of five separate and self-contained essays. They have been written as distinct papers. Although there is a fair amount of overlap and cross-reference in analysis and discussion, the intention is that potential readers should be able to read them separately. READ MORE