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[PDF] Top 20 Pairs trading and spread persistence in the European Stock Market

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Pairs trading and spread persistence in the European Stock Market

Pairs trading and spread persistence in the European Stock Market

... Pairs trading strategies are designed to earn profits from relative mispricings of closely re- lated ...via pairs trading strategies. Pairs trading belongs to the family ... See full document

46

Analyse the effect of the implementation of the European Continuous Intraday Market on the markets and system processes in Spain

Analyse the effect of the implementation of the European Continuous Intraday Market on the markets and system processes in Spain

... is the transaction or liquidation costs on the ...analyse the so-called bid-ask spread, which is the difference between the maximum price at which market agent wants to ... See full document

66

Measuring and trading volatility on the US stock market: A regime switching approach

Measuring and trading volatility on the US stock market: A regime switching approach

... test and exploit the phenomenon known as “volatility premium” using different volatility vehicles that aim to obtain exposure to the underlying in different ...ways. The main innovation ... See full document

26

Pairs Trading Strategy and Idiosyncratic Risk. Evidence in Spain and Europe.

Pairs Trading Strategy and Idiosyncratic Risk. Evidence in Spain and Europe.

... of the strategy: considering invested capital of compromised ...to the gross exposure of the pairs that have actually been ...all the pairs of the period, whether they ... See full document

37

Factor Investing: A stock Selection system for The European Equity Market

Factor Investing: A stock Selection system for The European Equity Market

... Graham and Dodd (1934). 6 This methodology focuses on investing in companies whose price is substantially lower than its intrinsic value (undervalued ...companies). The value factor has been ... See full document

33

Competition, market concentration and innovation in Ecuador

Competition, market concentration and innovation in Ecuador

... Griffith and Van Reenen (1999) found that increased competition in the product market in an industry tends to stimulate innovative ...from the European Patent Office ... See full document

18

Feature-driven improvement of renewable energy forecasting and trading

Feature-driven improvement of renewable energy forecasting and trading

... front, the technical literature on wind power forecasting and trading is tremendously ...all the many relevant references on both topics in this paper would be, therefore, an infeasible ... See full document

10

EU China : Bilateral trade relations and business cooperation

EU China : Bilateral trade relations and business cooperation

... over the evolution of the legal system in the ...of the Asia Law Institute at the University of New York), and Yu-Jie Chen, a researcher at the Asia Law Institute, ... See full document

51

What explains the returns in the mexican stock market

What explains the returns in the mexican stock market

... Characteristic or Beta-Loading In order to determine whether expected returns are described by a multifactor model with time varying factor and risk premium or a characteristics model, D[r] ... See full document

186

Multifactor spread models for cat bonds in the primary and secondary market

Multifactor spread models for cat bonds in the primary and secondary market

... Loss and Modeled Loss have all positive con- tributions to the spread, reflecting an increased perception of risk by investors, who demand higher returns in Cat Bonds with these types of ... See full document

73

Business Cycle and Risk Premium in the Colombian Stock Market

Business Cycle and Risk Premium in the Colombian Stock Market

... consumo privado y CDES el ciclo del desempleo. La variable autorregresiva AR (1) se incluye para evitar posibles problemas de autocorrelación y por otro lado plantear la posibilidad de que la prima por riesgo en periodos ... See full document

16

The economics of electricity grid defection. A case study

The economics of electricity grid defection. A case study

... Esta tesis se centra en dos de estas nuevas tendencias: la integración con la red y estar totalmente aislado de la red eléctrica. La integración con la red permite a los consumidores la instalación de un sistema  ... See full document

84

Essays on the Mexican stock market

Essays on the Mexican stock market

... dominate the private sector activity: Business Groups. The definition of business group varies between researchers and ...business in different markets under a common administrative or ... See full document

140

Impact of EU 2030 climate and energy policies on the iberian electricity market

Impact of EU 2030 climate and energy policies on the iberian electricity market

... that the "back-loading" is only a short-term measure, the establishment of a market stability reserve though the structure reformation of EU ETS has been proposed by the ... See full document

91

EUROPE AND THE REFUGEE CRISIS: IMPLICATIONS OF IMMIGRATION IN THE EUROPEAN LABOR MARKET

EUROPE AND THE REFUGEE CRISIS: IMPLICATIONS OF IMMIGRATION IN THE EUROPEAN LABOR MARKET

... account the results on Unemployment and wages in Germany, one option for the country would be to continue attracting immigrants to its ...month and a low unemployment rate, Germany ... See full document

23

La estrategia de pairs trading :  una propuesta para mejorar su rentabilidad

La estrategia de pairs trading : una propuesta para mejorar su rentabilidad

... Los modelos de pairs trading se han diseñado siguiendo dos enfoques: el esta- dístico y el heurístico. Entre los métodos que emplean las técnicas estadísticas tradicio- nales se encuentran principalmente ... See full document

273

Valoración con información pública de la concesión del Aeropuerto Internacional El Dorado

Valoración con información pública de la concesión del Aeropuerto Internacional El Dorado

...  The Theory of Stock Market Efficiency: Accomplishments and Limitations.. Rochester: University of Rochester.[r] ... See full document

49

Pairs Trading: enfoques y aplicaciones a los mercados financieros

Pairs Trading: enfoques y aplicaciones a los mercados financieros

... en pairs trading sea rentable. El pairs trading es una estrategia de reversión a la media, por lo que la determinación de este supuesto cobra una especial ...de pairs trading ... See full document

432

Evaluation of the trading development in the Iberian Energy Derivatives Market

Evaluation of the trading development in the Iberian Energy Derivatives Market

... This research analyses the efficiency of the Iberian Energy Derivatives Market, the power futures market managed by OMIP ("Iberian Market Operator, Portuguese Pool"), by means [r] ... See full document

12

Vista de Contagion and stock interdependence in the BRIC+M block
							| Economía teoría y práctica

Vista de Contagion and stock interdependence in the BRIC+M block | Economía teoría y práctica

... examine the financial crisis contagion and the integration patterns among the BRIC markets and between the BRIC block and other developed and developing ...markets. ... See full document

24

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