Sökning: "S P 500 futures"

Hittade 3 avhandlingar innehållade orden S P 500 futures.

  1. 1. Essays on VIX Futures and Options

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Bujar Huskaj; Lund University.; Lunds universitet.; [2012]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Sammanfattning : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. LÄS MER

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

    Detta är en avhandling från Umeå : Umeå universitet

    Författare :Christian Lundström; Umeå universitet.; [2017]
    Nyckelord :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;

    Sammanfattning : 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. LÄS MER

  3. 3. Essays on Financial Market Interdependence

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Lu Liu; Lund University.; Lunds universitet.; [2012]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Stock markets; commodity futures; extreme downside risk; regime-switching; correlations; diversification; market linkages; heterogeneity; EMU stock markets; dynamic panel data;

    Sammanfattning : This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. LÄS MER