Download or read book Essays on Trading Strategies and Long Memory written by Dooruj Rambaccussing and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Present value based asset pricing models are explored empirically in this thesis. Three contributions are made. First, it is shown that a market timing strategy may be implemented in an excessively volatile market such as the S&P500. The main premise of the strategy is that asset prices may revert to the present value over time. The present value is computed in real-time where the present value variables (future dividends, dividend growth and the discount factor) are forecast from simple models. The strategy works well for monthly data and when dividends are forecast from autoregressive models. The performance of the strategy relies on how discount rates are empirically defined. When discount rates are defined by the rolling and recursive historic average of realized returns, the strategy performs well. The discount rate and dividend growth can also be derived using a structural approach. Using the Campbell and Shiller log-linearized present value equation, and assuming that expected and realized dividend growth are unit related, a state space model is constructed linking the price-dividend ratio to expected returns and expected dividend growth. The model parameters are estimated from the data and, are used to derive the filtered expected returns and expected dividend growth series. The present value is computed using the filtered series. The trading rule tends to perform worse in this case. Discount rates are again found to be the major determinant of its success. Although the structural approach offers a time series of discount rates which is less volatile, it is on average higher than that of the historical mean model. The filtered expected returns is a potential predictor of realized returns. The predictive performance of expected returns is compared to that of the price-dividend ratio. It is found that expected returns is not superior to the price-dividend ratio in forecasting returns both in-sample and out-of-sample. The predictive regression included both simple Ordinary Least Squares and Vector Autoregressions. The second contribution of this thesis is the modeling of expected returns using autoregressive fractionally integrated processes. According to the work of Granger and Joyeux(1980), aggregated series which are derived from utility maximization problems follow a Beta distribution. In the time series literature, it implies that the series may have a fractional order (I(d)). Autoregressive fractionally models may have better appeal than models which explicitly posit unit roots or no unit roots. Two models are presented. The first model, which incorporates an ARFIMA(p,d,q) within the present value through the state equations, is found to be highly unstable. Small sample size may be a reason for this finding. The second model involves predicting dividend growth from simple OLS models, and sequentially netting expected returns from the present value model. Based on the previous finding that expected returns may be a long memory process, the third contribution of this thesis derives a test of long memory based on the asymptotic properties of the variance of aggregated series in the context of the Geweke Porter-Hudak (1982) semiparametric estimator. The test makes use of the fact that pure long memory process will have the same autocorrelation across observations if the observations are drawn at repeated intervals to make a new series. The test is implemented using the Sieve-AR bootstrap which accommodates long range dependence in stochastic processes. The test is relatively powerful against both linear and nonlinear specifications in large samples.
Download or read book Essays On Trading Strategy written by Graham L Giller and published by World Scientific. This book was released on 2023-08-17 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book directly focuses on finding optimal trading strategies in the real world and supports that with a well-defined theoretical foundation that allows trading strategy problems to be solved. Critically, it also delivers a menu of actual solutions that can be applied by traders with various risk profiles and objectives in markets that exhibit substantial tail risk. It shows how the Markowitz approach leads to excessive risk taking, and trader underperformance, in the real world. It summarizes the key features of Utility Theory, the deficiencies of the Sharpe Ratio as a statistic, and develops an optimal decision theory with fully developed examples for both 'Normal' and leptokurtotic distributions.
Download or read book Memory Trauma and History written by Michael S. Roth and published by Columbia University Press. This book was released on 2011-11-22 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Memory, trauma, and history is comprosed of essays that fall into five overlapping subject areas: history and memory; psychoanalysis and trauma; postmodernism, scholarship, and cultural politics; photography and representation; and liberal education." -- Introduction.
Download or read book Long Term Secrets to Short Term Trading written by Larry Williams and published by John Wiley & Sons. This book was released on 2011-11-01 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hugely popular market guru updates his popular trading strategy for a post-crisis world From Larry Williams—one of the most popular and respected technical analysts of the past four decades—Long-Term Secrets to Short-Term Trading, Second Edition provides the blueprint necessary for sound and profitable short-term trading in a post-market meltdown economy. In this updated edition of the evergreen trading book, Williams shares his years of experience as a highly successful short-term trader, while highlighting the advantages and disadvantages of what can be a very fruitful yet potentially dangerous endeavor. Offers market wisdom on a wide range of topics, including chaos, speculation, volatility breakouts, and profit patterns Explains fundamentals such as how the market moves, the three most dominant cycles, when to exit a trade, and how to hold on to winners Includes in-depth analysis of the most effective short-term trading strategies, as well as the author's winning technical indicators Short-term trading offers tremendous upside. At the same time, the practice is also extremely risky. Minimize your risk and maximize your opportunities for success with Larry Williams's Long-Term Secrets to Short-Term Trading, Second Edition.
Download or read book Essays in Memory of Professor Jill Poole written by Robert Merkin and published by Taylor & Francis. This book was released on 2018-07-06 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original, thought-provoking essays on critical issues in contract, commercial and corporate law. It is dedicated to the memory of the late Professor Jill Poole, who inspired so many and made such important contributions to these fields of law. The essays are written by leading practitioners and academics in the field, building on Jill’s work. As such this collection will be of interest and importance to professionals, academics and students in these fields of law. The Professor Jill Poole Educational Fund has been established in memory of Jill. It will be used to support undergraduate students in obtaining 'excellence scholarships' at Aston Law School and to reward 'excellence' at the annual law graduation ceremony. All contributions are welcome, and the royalties from this collection of essays have been donated to it.
Download or read book Essays in Honor of Subal Kumbhakar written by Christopher F. Parmeter and published by Emerald Group Publishing. This book was released on 2024-04-05 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.
Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Download or read book Hurst Trading with an Excursion Into Fractal Space of Returns written by Paitoon Wongsasutthikul and published by . This book was released on 2012 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation tackles the problem of non-normality in the distribution of returns and attempts to formulate a proprietary trading strategy to arbitrage the markets using appropriate statistical and mathematical tools. The first essay provides fundamental understanding to fractional Brownian motion (fBm) process, its characteristic Hurst exponent, and the concept of unit root in time series data. The study shows that a simple autoregressive (AR) process with suitable lag coefficients is able to effectively replicate the fractal time series and preserves its characteristic Hurst exponent. More interestingly, an equation that defines the relationship between the AR lag coefficients and the Hurst exponent that described a particular fBm process is also derived. The second essay introduces the concept of excursion measures and illustrates how the Itô's excursion theory can be used as a tool to understanding fractals. The excursionsvalued process is shown to follow a binomial distribution which is a robust substitute for Poisson distribution as suggested from the theory. The results also show that a process with low Hurst exponent or short-memory process has higher mean excursion measure at low excursion length as compared to a process with high Hurst exponent or a longmemory process. On the other hand, we see systematic wandering with longer excursion in a long-memory process with Hurst exponent higher than 0.5. Based on the discovery from the first two essays, the third essay combines these findings together to form a trading strategy called "Hurst Trading" with trading signals generated from the fluctuation in the dynamics of the Hurst exponent across time, among other indicators. We find that for the period between 2002 to 2011 the Hurst Trading strategy is able to outperform the traditional momentum strategy and the "Buy and Hold" strategy by a wide margin on stock trading in the DJIA Index, SPX Index, and R2500 Index. Furthermore, the more fractal the process is, the higher the chance that the Hurst Trading algorithm would be able to correctly time the entry/exit points in the market.
Download or read book Trading Psychology 301 written by Jesse Thompson and published by . This book was released on 2003-01-01 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: Description: This course module contains several instructive essays that teach you how professional trader's think; as well as how you can develop a mindset that supports consistent execution and profitable trading. Topics Covered: Positive thinking and expectation; maximizing trade execution; visualization practices of top traders; proper trading habits; emotional market memory; the difference between being intelligent vs. being effective; being right vs making money and why thinking is dangerous. Also includes sections on selective perception; cognitive vs motivational factors; emotional market memory; mental rigidity; insights into mental profiles of elite traders.Course Outcome: After completing this course module you'll understand why the psychological component in trading is so crucial and specific kinds of thinking habits that you need to develop to put effective trading strategies to profitable use.
Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Download or read book Long Memory and Tail Dependence in Trading Volume and Volatility written by Eduardo Rossi and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Games and Dynamics in Economics written by Ferenc Szidarovszky and published by Springer Nature. This book was released on 2020-04-11 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the latest advances in nonlinear dynamic modeling in economics and finance, mainly—but not solely—based on the description of strategic interaction by using concepts and methods from dynamic and evolutionary game theory. The respective chapters cover a range of theoretical issues and examples concerning how the qualitative theory of dynamical systems is used to analyze the local and global bifurcations that characterize complex behaviors observed in social systems where heterogeneous and boundedly rational economic agents interact. Nonlinear dynamical systems, represented by difference and differential and functional equations, are extensively used to simulate the behavior of time-evolving economic systems, also in the presence of time lags, discontinuities, and hysteresis phenomena. In addition, some theoretical issues and particular applications are discussed, as well. The contributions gathered here offer an up-to-date review of the latest research in this rapidly developing research area.
Download or read book African Voices on Slavery and the Slave Trade Volume 2 Essays on Sources and Methods written by Alice Bellagamba and published by Cambridge University Press. This book was released on 2016-04-14 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: What were the experiences of those in Africa who suffered from the practice of slavery, those who found themselves captured and sold from person to person, those who died on the trails, those who were forced to live in fear? And what of those Africans who profited from the slave trade and slavery? What were their perspectives? How do we access any of these experiences and views? This volume explores diverse sources such as oral testimonies, possession rituals, Arabic language sources, European missionary, administrative and court records and African intellectual writings to discover what they can tell us about slavery and the slave trade in Africa. Also discussed are the methodologies that can be used to uncover the often hidden experiences of Africans embedded in these sources. This book will be invaluable for students and researchers interested in the history of slavery, the slave trade and post-slavery in Africa.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2009-10 with total page 594 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An essay upon the advancement of trade in Ireland Of popular discontents An introduction to the history of England Of gardening An essay upon the cure of the gout by moxa Of health and long life Of heroic virtue Of poetry An essay upon ancient and modern learning Thoughts upon reviewing that essay Of the excesses of grief Of the different conditions of life and fortune Heads of an essay on conversation Poetry written by William Temple and published by . This book was released on 1814 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essay on the Prevailing Methods of the Evangelization of the Non Christian World written by Robert Needham Cust and published by . This book was released on 1894 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer Nature. This book was released on 2022-04-11 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: The cooperation and contamination among mathematicians, statisticians and econometricians working in actuarial sciences and finance are improving the research on these topics and producing numerous meaningful scientific results. This volume presents new ideas in the form of four- to six-page papers presented at the International Conference MAF2022 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. Due to the COVID-19 pandemic, the conference, to which this book is related, was organized in a hybrid form by the Department of Economics and Statistics of the University of Salerno, with the partnership of the Department of Economics of Cà Foscari University of Venice, and was held from 20 to 22 April 2022 in Salerno (Italy) MAF2022 is the tenth edition of an international biennial series of scientific meetings, started in 2004 on the initiative of the Department of Economics and Statistics of the University of Salerno. It has established itself internationally with gradual and continuous growth and scientific enrichment. The effectiveness of this idea has been proven by the wide participation in all the editions, which have been held in Salerno (2004, 2006, 2010, 2014, 2022), Venice (2008, 2012 and 2020 online), Paris (2016) and Madrid (2018). This book covers a wide variety of subjects: artificial intelligence and machine learning in finance and insurance, behavioural finance, credit risk methods and models, dynamic optimization in finance, financial data analytics, forecasting dynamics of actuarial and financial phenomena, foreign exchange markets, insurance models, interest rate models, longevity risk, models and methods for financial time series analysis, multivariate techniques for financial markets analysis, pension systems, portfolio selection and management, real-world finance, risk analysis and management, trading systems, and others. This volume is a valuable resource for academics, PhD students, practitioners, professionals and researchers. Moreover, it is also of interest to other readers with quantitative background knowledge.
