Results 31 to 40 of about 2,923 (211)
Correctness of backtest engines [PDF]
The Journal of Investment Strategies, 2017 In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-fin.TR]).
Robert L\\\"ow +2 more
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ANALYSIS OF THE INVESTMENT ARBITRAGE STRATEGY USING FINANCIAL MULTIPLIERS
Статистика и экономика, 2016 This article describes an algorithm for stock pairs trading using financial multipliers of underlying companies. This algorithm has been tested on historical data and compared with classical Bollinger bands strategy.
Dmitry S. Pashkov
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Journal of Information Systems Engineering and Business Intelligence, 2021 Background: Stock investment has been gaining momentum in the past years due to the development of technology. During the pandemic lockdown, people have invested more. One the one hand, stock investment has high potential profitability, but on the other,
Brina Miftahurrohmah +2 more
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Barekeng, 2023 The Value at Risk (VaR) method refers to a statistical risk measurement tool used to determine the maximum loss of an investment, while the distribution that must be met is the normal distribution.
Alimatun Najiha +2 more
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Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk [PDF]
تحقیقات مالی, 2022 Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy.
Mohamad Ali Rastegar, Mehdi Hemati
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Forecasting Value-at-Risk under Different Distributional Assumptions
Econometrics, 2016 Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. These features must be taken into account to produce accurate forecasts of Value-at-Risk (VaR).
Manuela Braione, Nicolas K. Scholtes
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Backtesting macroprudential stress tests [PDF]
Journal of Economic Dynamics and Control, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ramadiah, A, Fricke, D, Caccioli, F
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Elicitability and backtesting: Perspectives for banking regulation [PDF]
, 2017 Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations.
Natalia Nolde +3 more
core +1 more source
Nonparametric Estimation of Range Value at Risk
Computation, 2023 Range value at risk (RVaR) is a quantile-based risk measure with two parameters. As special examples, the value at risk (VaR) and the expected shortfall (ES), two well-known but competing regulatory risk measures, are both members of the RVaR family. The
Suparna Biswas, Rituparna Sen
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Intraday volatility and VaR: an evidence from the construction sector [PDF]
Urbanism. Arhitectura. Constructii, 2016 This article presents the outcomes from the estimation of the multiplicative component GARCH model for intraday data from the construction sector in Poland.
Krzysztof Drachal
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