Sökning: "Time series momentum"

Visar resultat 1 - 5 av 15 avhandlingar innehållade orden Time series momentum.

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

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

    Sammanfattning : 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. LÄS MER

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

    Författare :Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
    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

  4. 3. Expressions of shared interpretations - Intangible outcomes of continuous quality improvement efforts in health- and elderly care

    Författare :Annika Nordin; Boel Andersson-Gäre; Ann-Christine Andersson; Bill Lucas; Jönköping University; []
    Nyckelord :MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; Continuous quality improvement; Improvement science; Outcomes;

    Sammanfattning : This thesis is anchored in improvement science, the research field of improvement. Improvement science describes and explores improvement in real-life contexts and “system of profound knowledge” (Deming, 2000) is a cornerstone. LÄS MER

  5. 4. Lock-in as make-believe – Exploring the role of myth in the lock-in of high mobility systems

    Författare :Maja Essebo; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; myth; lock-in; geography; Malmö; Öresund; theoretical advancement;

    Sammanfattning : All human practices are, ultimately, set and defined by limits; be they social, economic, physical, or environmental. Yet even in the face of such realities, practices which transgress the confines of possibility remain remarkably obdurate. This thesis addresses the issue of one such practice, i.e. LÄS MER

  7. 5. Heavy particle interference and diffraction in fast electron transfer collisions

    Författare :Magnus Gudmundsson; Henrik Cederquist; Henning Schmidt; Erik Horsdal; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Physics; Fysik; fysik; Physics;

    Sammanfattning : This thesis presents experimental results from the synchrotron cooler and storage ring CRYRING on charge transfer processes in fast electron transfer collisions using high-resolution cold target recoil-ion momentum spectroscopy. The main focus of these studies was to investigate a key concept of quantum mechanics: the wave-particle duality. LÄS MER