Bachelor Thesis from the year 2010 in the subject Business
economics - Investment and Finance, grade: -, University of
Frankfurt (Main), language: English, abstract: In the following
bachelor's thesis I am going to present a short survey of the hedge
fund industry, its regulation and the existent hedge fund
strategies. Especially statistical arbitrage is explained in
further detail and major performance measurement ratios are
presented. In the second part, I am going to introduce a
semi-variance model for statistical arbitrage. The model is
compared to the standard Garch model, which is so often used in
daily option trading, derivate pricing and risk management. Because
investment returns are not equally distributed over time, sources
for statistical arbitrage occur. The semi-variance model takes
skewness into account and provides higher returns at lower
volatility than the Garch model. The concept is aimed to be a
synopsis of mean reversion and chart pattern detection. The
computer model is generated with respect to Brownian motion and
technical analysis and provide significant returns to the
investment. As market efficiency hypothesis states the
impossibility of arbitrage opportunities over the long run, on the
other hand market anomalies significantly outstand. Connecting both
elements creates a profitable trading system. The combination of
both approaches delivers a sensible hedge fund concept. The
out-ofsample backtest verifies out-performance and implies the need
for further research in the area of higher moment CAPM and
additional market timing strategies as sources of statistical
arbitrage.
General
| Imprint: |
Grin Verlag
|
| Country of origin: |
United States |
| Release date: |
June 2012 |
| First published: |
August 2013 |
| Authors: |
Jan Becker
|
| Dimensions: |
210 x 148 x 4mm (L x W x T) |
| Format: |
Paperback - Trade
|
| Pages: |
62 |
| ISBN-13: |
978-3-656-20199-1 |
| Categories: |
Books >
Business & Economics >
Business & management >
General
|
| LSN: |
3-656-20199-4 |
| Barcode: |
9783656201991 |
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