Detail práce

Trading strategies based on estimates of conditional distribution of stock returns

Autor: Mgr. Adam Sedlačík
Rok: 2018 - letní
Vedoucí: doc. PhDr. Jozef Baruník Ph.D.
Konzultant:
Typ práce: Diplomová
Ekonomická teorie
Jazyk: Anglicky
Stránky: 70
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/190343/
Abstrakt: In this thesis, a new trading strategy is proposed. By the help of quantile regression, the
conditional distribution functions of stock market returns are estimated. Based on the
knowledge of the distribution the strategy produced buying and selling signals which
together with a weight function derived from exponential moving averages determines how
much and when to buy or sell. The strategy performs better than the market in terms of
absolute return and the Sharpe ratio in-sample, but it does not provide satisfactory results
out-of-sample.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY