812 resultados para Sentencing Trading
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This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.
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This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there are higher potential profits arising from emerging markets. However, the higher excess return will be partially offset by higher transaction costs, which will be a determinant factor to the profitability of pair trading strategies. Also, a new clustering approach based on the Principal Component Analysis was tested as an alternative to the more standard clustering by Industry Groups. The new clustering approach delivers promising results, consistently reducing volatility to a greater extent than the Industry Group approach, with no significant harm to the excess returns.
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This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2
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In the stock market, information takes on special relevance, due to the market’s permanent updating and the great fluidity of information existent therein. Just as in any other negotiations, the party with the better information has a bargaining advantage, as it is able to make more advantageous business decisions. However, unlike most other markets, the proper functioning of the stock market is greatly dependent on investors’ trust in the market itself. As such, if there are investors who, due to any condition they possess or office they hold, have access to relevant information which is not accessible to the general public, distrust is bred within the market and, consequently, investment is lessened. Thus, there is a need to prevent those who hold privileged information from using it in abusive ways. In Portugal, abuse of privileged information is set out and punished criminally in Article 378. of the Portuguese Securities Code (‘Código dos Valores Mobiliários’). In this dissertation, I have set out, firstly, to analyze the inherent conditions for there to be a crime of abuse of privileged information; secondly, to analyze two well-known cases, which took place and were decided in other jurisdictions, and attempt to understand how these cases would fall under Article 378. of the Portuguese Securities Code. Whereas the first case, Chiarella v. United States, was scrutinize under Article 378 of the Portuguese Securities Code, in the second, Lafonta v. AMF, the conclusion arrived at was that the crime taken place was different. This analysis allowed, on one hand, the application to a particular case of prerequisites and concepts which were explained, at a first approach, from a more theoretical perspective; on the other hand, it also allowed the further development of specific aspects of the regime, namely the difference between an insider and a tipee, as well as to more clearly set out the limits to the precise character of the information at hand.
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This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.
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In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.
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Dissertação de mestrado em European and Transglobal Business Law
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We provide a comparative analysis of how short-run variations in carbon and energy prices relate to each other in the emerging greenhouse gas market in California (Western Climate Initiative [WCI], and the European Union Emission Trading Scheme [EU ETS]). We characterize the relationship between carbon, gas, coal, electricity and gasoline prices and an indicator for economic activity, and present a first analysis of carbon prices in the WCI. We also provide a comparative analysis of the structures of the two markets. We estimate a vector autoregressive model and the impulse--response functions. Our main findings show a positive impact from a carbon shock toward electricity, in both markets, but larger in the WCI electricity price, indicating more efficiency. We propose that the widening of carbon market sectors, namely fuels transport and electricity imports, may contribute to this result. To conclude, the research shows significant and coherent relations between variables in WCI, which demonstrate some degree of success for a first year in operation. Reversely, the EU ETS should complete its intended market reform, to allow for more impact of the carbon price. Finally, in both markets, there is no evidence of carbon pricing depleting economic activity.
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Magdeburg, Univ., Fak. für Wirtschaftswiss., Diss., 2014
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NORTH SEA STUDY OCCASIONAL PAPER No. 117
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NORTH SEA STUDY OCCASIONAL PAPER No. 115
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In a market in which sellers compete by posting mechanisms, we study how the properties of the meeting technology affect the mechanism that sellers select. In general, sellers have incentive to use mechanisms that are socially efficient. In our environment, sellers achieve this by posting an auction with a reserve price equal to their own valuation, along with a transfer that is paid by (or to) all buyers with whom the seller meets. However, we define a novel condition on meeting technologies, which we call “invariance,” and show that the transfer is equal to zero if and only if the meeting technology satisfies this condition.
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IPH responded to the Department of Justice, Equality and Defence review of the voluntary Code of Practice for the display and sale of alcohol in supermarkets, convenience stores and similar mixed trading outlets. The voluntary Code was introduced in 2008 as an alternative to the statutory rules for structural separation of alcohol products in mixed trading outlets which are set out in section 9 of the Intoxicating Liquor Act 2008. Interested bodies and individuals were invited to submit comments on the Compliance Report for 2011 and on the effectiveness of the voluntary approach to structural separation by 20th December 2011. The Minister said he intended to also seek the views of the Minister for Health and the Joint Oireachtas Committee on Justice, Defence and Equality before reaching any decision on whether to bring the statutory rules in the 2008 Act into operation.
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Response to the Office of Fair Trading on the Care Home Market