Search for dissertations about: "Exchange traded"

Showing result 1 - 5 of 11 swedish dissertations containing the words Exchange traded.

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

    Author : Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; 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

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

    Author : Daniel Deng; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    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

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

    Author : Daniel Deng; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    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

  4. 4. Dynamics of macroeconomic and financial variables in different time horizons

    Author : Hyunjoo Kim Karlsson; R. Scott Hacker; Catherine L. Mann; Jönköping University; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This dissertation consists of an introductory chapter and four papers dealing with financial issues of open economies, which can be in two broad categorizations: 1) exchange rate movements and 2) stock market interdependence. The first paper covers how the exchange rate changes affect the prices of internationally traded goods. READ MORE

  5. 5. Stock data, trade durations, and limit order book information

    Author : Ola Simonsen; Kurt Brännäs; Johan Knif; Umeå universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Maximum likelihood; Estimation; ACD; News; Multivariate; Intraday; Market; Economics; Nationalekonomi;

    Abstract : This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. READ MORE