Search for dissertations about: "Jussi Nikkinen"

Found 1 swedish dissertation containing the words Jussi Nikkinen.

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

    Author : Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; 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