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Results 1 - 10
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193
Pairs Trading with Copulas
, 2014
"... Pairs trading is a well-acknowledged speculative investment strategy, with the distance method the most commonly implemented such strategy. However, this approach, is able to fully describe the dependency structure between stocks only under the assumption of multivariate normal returns. In this rese ..."
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Pairs trading is a well-acknowledged speculative investment strategy, with the distance method the most commonly implemented such strategy. However, this approach, is able to fully describe the dependency structure between stocks only under the assumption of multivariate normal returns
Speculative capital and currency carry trades
- Journal of Financial Economics. Volume 99, Issue
, 2009
"... In this paper, we study a two-country general equilibrium model with partially segmented financial markets, where hedge funds emerge endogenously. Empirically, we show that the hedge fund investment strategy predicted by our model, which we call the “risk-adjusted carry trade ” strategy, explains mo ..."
Abstract
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Cited by 13 (2 self)
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In this paper, we study a two-country general equilibrium model with partially segmented financial markets, where hedge funds emerge endogenously. Empirically, we show that the hedge fund investment strategy predicted by our model, which we call the “risk-adjusted carry trade ” strategy, explains
T heory Hedging, Speculation, and Investment in Balance-Sheet Triggered Currency Crises ∗
, 2006
"... This paper explores the linkage between corporate risk management strategies, investment, and economic stability in an open economy with a flexible exchange rate regime. Firms use currency futures contracts to manage their exchange rate exposure – caused by balance sheet effects as in Krugman (2000) ..."
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This paper explores the linkage between corporate risk management strategies, investment, and economic stability in an open economy with a flexible exchange rate regime. Firms use currency futures contracts to manage their exchange rate exposure – caused by balance sheet effects as in Krugman (2000
Speculative Noise Trading and Manipulation in the Foreign Exchange
- Market”, Journal of International Money and Finance
, 2000
"... We investigate the possibility that in the foreign exchange market uninformed speculators find it convenient to trade on noise in order to gain an informational advantage they can exploit in future. In a two-period model, we analyze the trade-off between the cost of the “informa-tional investment ” ..."
Abstract
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Cited by 12 (0 self)
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We investigate the possibility that in the foreign exchange market uninformed speculators find it convenient to trade on noise in order to gain an informational advantage they can exploit in future. In a two-period model, we analyze the trade-off between the cost of the “informa-tional investment
A (S,s) Model of Commodity Price Speculation
, 2000
"... This paper presents a generic theory of speculative inventory investments by durable commodity intermediaries. Our model is motivated from an empirical analysis of operations of daily observations on inventories, sales, and purchases of over 2,300 individual products by a U.S. steel wholesaler. Our ..."
Abstract
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Cited by 1 (1 self)
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This paper presents a generic theory of speculative inventory investments by durable commodity intermediaries. Our model is motivated from an empirical analysis of operations of daily observations on inventories, sales, and purchases of over 2,300 individual products by a U.S. steel wholesaler. Our
Drawdown returns duration during speculative bubbles
"... Risk exposure in financial markets has been described through several measures (VaR, CVaR, etc.) based on statistical properties of data that do not consider the order of data sequences. In fact empirical mean, variance, as well as higher order moments of probability distributions are invariant unde ..."
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market drops and on the maximum drawdown can play a relevant role in driving investment strategies. Some attempt to give a model to the maximum drawdown has led to the definition of measures like Drawdown at Risk (DaR), MDaR (Maximum Drawdown at Risk) [14]. Much less attention has been payed to drawdown
HYBRID AUTOMATA FOR INVESTMENT STRATEGIES MODELLING
"... In this paper techniques are proposed for investment portfolio modeling. We assume that money time value and market prices are continuously changing values while investment portfolio structure is a discretely evolving object. With these assumptions an investment portfolio can be modeled with a hybri ..."
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In this paper techniques are proposed for investment portfolio modeling. We assume that money time value and market prices are continuously changing values while investment portfolio structure is a discretely evolving object. With these assumptions an investment portfolio can be modeled with a
Shin-2014-ContestingSpeculativeUrbanisation-Word
"... ABSTRACT This paper explains what the production of speculative urbanisation in mainland China means for strategising emergent discontents therein. It is argued that China's urbanisation is a political and ideological project by the Party State, producing urbanoriented accumulation through the ..."
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of the city as an analytical unit). Because of the nature of urbanisation, the alliances would need to involve not only industrial workers and urban inhabitants but also village farmers whose lands are expropriated to accommodate investments to produce the urban as well as ethnic minorities in autonomous
Entry, Exit, and Performance of Financial Market Speculators
, 2003
"... Why is it that so many speculators enter financial markets when most lose money and cease trading after a short period of time? While previous explanations are mainly based on psychological biases, I develop an equilibrium model of learning by rational agents that explains these and related phenomen ..."
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in this model) on equilibrium prices. Whatmotivatesnewtraderstocontinuallyenterthese [financial] markets...? A sophisticated investment strategy that results in persistent losses in one financial market? An irrational belief that they possess superior skill? The desire to gamble on their beliefs
We gratefully acknowledge financial support from FWO, as well as very useful comments from
, 2010
"... While Gorton and Rouwenhorst (2005) suggest using business cycle in tactical asset allocation with commodity futures, Jensen et al (2002) suggest using monetary policy in guiding the timing of investment. We investigate whether it is useful to watch both. The performance of out-of-sample optimal por ..."
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While Gorton and Rouwenhorst (2005) suggest using business cycle in tactical asset allocation with commodity futures, Jensen et al (2002) suggest using monetary policy in guiding the timing of investment. We investigate whether it is useful to watch both. The performance of out-of-sample optimal
Results 1 - 10
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193
