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Trading regime analysis [[electronic resource] ] : the probability of volatility / / Murray Gunn
| Trading regime analysis [[electronic resource] ] : the probability of volatility / / Murray Gunn |
| Autore | Gunn Murray |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : Wiley, c2009 |
| Descrizione fisica | 1 online resource (442 p.) |
| Disciplina |
332.095195
332.6 332.632042 |
| Collana | Wiley trading |
| Soggetto topico |
Stocks
Capital market Investments |
| Soggetto non controllato |
Aktienmarktanalyse
Commodity exchanges Investition Investments Speculation Spekulation - Wirtschaft Stock exchanges Volatilität |
| ISBN |
1-119-20780-0
1-282-34943-0 9786612349430 0-470-74284-4 |
| Classificazione | QK 650 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Trading Regime Analysis; Contents; Foreword; Acknowledgements; PART I: SUPPLY AND DEMAND; 1 There is NO Holy Grail; 2 The "Nature" of Markets; 3 Volatility Defined; PART II: EXISTING TRADING REGIME ANALYSIS; 4 Orthodox Pattern Recognition; 5 Japanese Candlesticks; 6 Volume Considerations; 7 Previous Highs and Lows; 8 Elliott Wave Principle; 9 Moving Average Envelopes; 10 Bollinger Band Width; 11 The ADX; 12 Point and Figure Charts; 13 Rate of Change and Divergence; 14 Williams %R; 15 Donchian Channels; 16 A Nod to the Quants; PART III: FURTHER IDEAS FOR TRADING REGIME ANALYSIS
17 Implied Volatility Curves18 The Volatility Smile; 19 My MATE; 20 Trend-Following Performance Indicator; 21 Trading Regime Indicator; PART IV: COMBINING AND USING TRADING REGIME ANALYSIS; 22 An Eclectic Approach; 23 Applications for Traders and Investors; 24 Trading Regime Analysis for Economists and Fundamentalists; 25 Case Studies; 26 There is Still No Holy Grail; Appendix 1: Time Fractals and the Supply/Demand Index; Appendix 2: Why Do Trend Lines Work?; Appendix 3: Examples of Trend Lines; References; Index |
| Record Nr. | UNINA-9910840851703321 |
Gunn Murray
|
||
| Chichester, England ; ; Hoboken, NJ, : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trading the fixed income, inflation and credit markets [[electronic resource] ] : a relative value guide / / Neil C. Schofield, Troy Bowler
| Trading the fixed income, inflation and credit markets [[electronic resource] ] : a relative value guide / / Neil C. Schofield, Troy Bowler |
| Autore | Schofield Neil C |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (311 p.) |
| Disciplina |
332.63
332.632 |
| Altri autori (Persone) | BowlerTroy |
| Collana | The Wiley finance series |
| Soggetto topico |
Investments
Finance, Personal |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-96077-0
1-283-28312-3 9786613283122 1-118-46736-1 1-119-95297-2 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Trading the Fixed Income, Inflation and Credit Markets; Contents; Preface; Acknowledgements; About the Authors; 1 Product Fundamentals; 1.1 Chapter Overview; 1.2 Bond Fundamentals; 1.2.1 Fixed income structures; 1.2.2 Floating-rate notes; 1.2.3 Inflation; 1.3 Repurchase Agreements; 1.4 Credit Fundamentals; 1.5 Derivative Fundamentals; 1.5.1 Futures; 1.5.2 Forwards; 1.5.3 Swaps; 1.5.4 Vanilla options; 1.5.5 Exotic options; 2 Pricing Relationships; 2.1 Relative Value; 2.2 The Relative Value Triangle; 2.3 Spot Pricing; 2.3.1 Pricing fixed income securities; 2.3.2 Par yield curves
2.3.3 Zero-coupon yield curves2.3.4 Forward yield curves; 2.3.5 Pricing floating-rate notes; 2.3.6 Inflation pricing; 2.3.7 Credit pricing; 2.4 The Spot-Forward Relationship; 2.4.1 Fixed income; 2.4.2 Credit markets; 2.5 The Spot-Swap Relationship; 2.5.1 Pricing swaps - counterparty credit risk; 2.6 The Forward-Swap Relationship; 2.7 Pricing Options-Relationship With The Underlying Market; 2.7.1 Black-Scholes-Merton: an intuitive approach; 2.7.2 From closed-form to binomial pricing techniques; 2.7.3 Monte Carlo simulation; 2.7.4 Put-call parity Appendix 2.1 Monetary Policy and Overnight Interest RatesAppendix 2.2 OIS Discounting; 3 Market Risk Management; 3.1 What Do We Mean By Risk?; 3.2 Defining Market Risk; 3.3 Spot Market Risk; 3.3.1 Macaulay duration; 3.3.2 Modified duration; 3.3.3 Convexity; 3.3.4 Dollar value of an 01; 3.3.5 Market risk of a floating-rate note; 3.3.6 Market risk of credit instruments; 3.4 Forward Risk; 3.4.1 Fixed income; 3.4.2 Credit; 3.5 Swap Market Risk; 3.5.1 Spot swap risk; 3.5.2 Carry and roll down; 3.5.3 Application of DV01; 3.5.4 Forward-starting swap risk; 3.6 Option Risk Management; 3.6.1 Delta 3.6.2 Gamma3.6.3 Theta; 3.6.4 Vega; 3.6.5 Smiles, skews and surfaces; 3.7 Value at Risk; 4 Expressing Views on the Interrelationships between Products; 4.1 The Spot-Forward Relationship; 4.1.1 Bond futures; 4.1.2 The cheapest to deliver; 4.1.3 Changes in the cheapest to deliver; 4.1.4 The yield beta; 4.1.5 Trading the basis; 4.1.6 Implementing a basis trade; 4.2 The Spot-Swap Relationship; 4.2.1 Understanding swap spreads; 4.2.2 Negative swap spreads; 4.3 The Forward-Swap Relationship; 4.4 Options and Trading Volatility; 4.4.1 Expressing views on market direction and volatility 4.4.2 Assessing volatility: cheap or rich?4.4.3 Expressing views on volatility of volatility; 4.4.4 The relationship between volatility and the underlying asset; 5 Identifying Value in Sovereign Bonds; 5.1 What Is Relative Value?; 5.2 Understanding the Yield Curve; 5.2.1 Yield curve formation; 5.2.2 How does the yield curve move?; 5.2.3 Yield curve movements; 5.2.4 How do yield curves actually move?; 5.2.5 Yield curve modelling; 5.3 Measures of Spread; 5.3.1 Decomposing bond yields; 5.3.2 Swap spreads; 5.3.3 CDS spreads; 5.3.4 I-spread; 5.3.5 TED spread; 5.3.6 Z-spread 5.3.7 Option-adjusted spread |
| Record Nr. | UNINA-9910139599403321 |
|
Schofield Neil C
|
||
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trading the fixed income, inflation and credit markets [[electronic resource] ] : a relative value guide / / Neil C. Schofield, Troy Bowler
| Trading the fixed income, inflation and credit markets [[electronic resource] ] : a relative value guide / / Neil C. Schofield, Troy Bowler |
| Autore | Schofield Neil C |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (311 p.) |
| Disciplina |
332.63
332.632 |
| Altri autori (Persone) | BowlerTroy |
| Collana | The Wiley finance series |
| Soggetto topico |
Investments
Finance, Personal |
| ISBN |
1-119-96077-0
1-283-28312-3 9786613283122 1-118-46736-1 1-119-95297-2 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Trading the Fixed Income, Inflation and Credit Markets; Contents; Preface; Acknowledgements; About the Authors; 1 Product Fundamentals; 1.1 Chapter Overview; 1.2 Bond Fundamentals; 1.2.1 Fixed income structures; 1.2.2 Floating-rate notes; 1.2.3 Inflation; 1.3 Repurchase Agreements; 1.4 Credit Fundamentals; 1.5 Derivative Fundamentals; 1.5.1 Futures; 1.5.2 Forwards; 1.5.3 Swaps; 1.5.4 Vanilla options; 1.5.5 Exotic options; 2 Pricing Relationships; 2.1 Relative Value; 2.2 The Relative Value Triangle; 2.3 Spot Pricing; 2.3.1 Pricing fixed income securities; 2.3.2 Par yield curves
2.3.3 Zero-coupon yield curves2.3.4 Forward yield curves; 2.3.5 Pricing floating-rate notes; 2.3.6 Inflation pricing; 2.3.7 Credit pricing; 2.4 The Spot-Forward Relationship; 2.4.1 Fixed income; 2.4.2 Credit markets; 2.5 The Spot-Swap Relationship; 2.5.1 Pricing swaps - counterparty credit risk; 2.6 The Forward-Swap Relationship; 2.7 Pricing Options-Relationship With The Underlying Market; 2.7.1 Black-Scholes-Merton: an intuitive approach; 2.7.2 From closed-form to binomial pricing techniques; 2.7.3 Monte Carlo simulation; 2.7.4 Put-call parity Appendix 2.1 Monetary Policy and Overnight Interest RatesAppendix 2.2 OIS Discounting; 3 Market Risk Management; 3.1 What Do We Mean By Risk?; 3.2 Defining Market Risk; 3.3 Spot Market Risk; 3.3.1 Macaulay duration; 3.3.2 Modified duration; 3.3.3 Convexity; 3.3.4 Dollar value of an 01; 3.3.5 Market risk of a floating-rate note; 3.3.6 Market risk of credit instruments; 3.4 Forward Risk; 3.4.1 Fixed income; 3.4.2 Credit; 3.5 Swap Market Risk; 3.5.1 Spot swap risk; 3.5.2 Carry and roll down; 3.5.3 Application of DV01; 3.5.4 Forward-starting swap risk; 3.6 Option Risk Management; 3.6.1 Delta 3.6.2 Gamma3.6.3 Theta; 3.6.4 Vega; 3.6.5 Smiles, skews and surfaces; 3.7 Value at Risk; 4 Expressing Views on the Interrelationships between Products; 4.1 The Spot-Forward Relationship; 4.1.1 Bond futures; 4.1.2 The cheapest to deliver; 4.1.3 Changes in the cheapest to deliver; 4.1.4 The yield beta; 4.1.5 Trading the basis; 4.1.6 Implementing a basis trade; 4.2 The Spot-Swap Relationship; 4.2.1 Understanding swap spreads; 4.2.2 Negative swap spreads; 4.3 The Forward-Swap Relationship; 4.4 Options and Trading Volatility; 4.4.1 Expressing views on market direction and volatility 4.4.2 Assessing volatility: cheap or rich?4.4.3 Expressing views on volatility of volatility; 4.4.4 The relationship between volatility and the underlying asset; 5 Identifying Value in Sovereign Bonds; 5.1 What Is Relative Value?; 5.2 Understanding the Yield Curve; 5.2.1 Yield curve formation; 5.2.2 How does the yield curve move?; 5.2.3 Yield curve movements; 5.2.4 How do yield curves actually move?; 5.2.5 Yield curve modelling; 5.3 Measures of Spread; 5.3.1 Decomposing bond yields; 5.3.2 Swap spreads; 5.3.3 CDS spreads; 5.3.4 I-spread; 5.3.5 TED spread; 5.3.6 Z-spread 5.3.7 Option-adjusted spread |
| Record Nr. | UNINA-9910677062103321 |
|
Schofield Neil C
|
||
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trajectórias de sustentabilidade. Tributação e investimento
| Trajectórias de sustentabilidade. Tributação e investimento |
| Autore | Maria de Fátima Ribeiro |
| Pubbl/distr/stampa | Coimbra University Press, 2017 |
| Descrizione fisica | 1 online resource (548 pages) |
| Disciplina | 338.9 |
| Collana | Instituto Jurídico |
| Soggetto topico |
Taxation
Investments |
| ISBN | 989-26-1417-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | por |
| Record Nr. | UNINA-9910404228003321 |
|
Maria de Fátima Ribeiro
|
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| Coimbra University Press, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trend following : how to make a fortune in bull, bear and black swan markets / / Michael W. Covel
| Trend following : how to make a fortune in bull, bear and black swan markets / / Michael W. Covel |
| Autore | Covel Michael |
| Edizione | [Fifth edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource (691 pages) |
| Disciplina | 332.6 |
| Collana | Wiley Trading Series |
| Soggetto topico |
Investments
Stocks |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-119-37191-0 |
| Classificazione | BUS014000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910466186003321 |
|
Covel Michael
|
||
| Hoboken, New Jersey : , : Wiley, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trend following : how to make a fortune in bull, bear and black swan markets / / Michael W. Covel
| Trend following : how to make a fortune in bull, bear and black swan markets / / Michael W. Covel |
| Autore | Covel Michael |
| Edizione | [Fifth edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource (691 pages) |
| Disciplina | 332.6 |
| Collana | Wiley Trading Series |
| Soggetto topico |
Investments
Stocks |
| ISBN |
1-119-37190-2
1-119-37191-0 |
| Classificazione | BUS014000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910792719703321 |
|
Covel Michael
|
||
| Hoboken, New Jersey : , : Wiley, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trend following : how to make a fortune in bull, bear and black swan markets / / Michael W. Covel
| Trend following : how to make a fortune in bull, bear and black swan markets / / Michael W. Covel |
| Autore | Covel Michael |
| Edizione | [Fifth edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource (691 pages) |
| Disciplina | 332.6 |
| Collana | Wiley Trading Series |
| Soggetto topico |
Investments
Stocks |
| ISBN |
1-119-37190-2
1-119-37191-0 |
| Classificazione | BUS014000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910810216603321 |
|
Covel Michael
|
||
| Hoboken, New Jersey : , : Wiley, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The trend following bible [[electronic resource] ] : how professional traders compound wealth and manage risk / / Andrew Abraham
| The trend following bible [[electronic resource] ] : how professional traders compound wealth and manage risk / / Andrew Abraham |
| Autore | Abraham Andrew |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (221 p.) |
| Disciplina | 332.64/5 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Portfolio management Investments Risk management |
| ISBN |
1-118-61171-3
1-299-24227-8 1-118-42186-8 1-118-41763-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Trend Following Bible; Contents; Foreword; Preface; Introduction : My Journey as a Trend Follower; A Great Learning Lesson; Have a Plan and Follow it; A Lesson in Compounding: The Dentist; Chapter 1 Get a Savvy Start : Can You Really Make a Living as a Trend Follower?; Trading as a Profession; Trend Following Is a Journey; Lifetime Strategy; Yes, You Need a Broker; Don't Be Misled!; Make Sure You Are Properly Funded before You Start; Establish Your Trading Goals; What Really Are Your Goals?; Stick to Your Plan; A Look on the Bright Side; Trading Pitfalls; It's Your Choice
Your Charting Software and Computer SystemTime Frames for Trend Following; Chapter 2 Getting the Most Out of This Method; There Are No Secrets!; Do You Want to Be Right or Make Money?; Basic Tenets of Trend Following; You Have to Work; Start Small; Compound Your Money over Time; Compounding Your Way to Wealth; Compounding Money Is the Key to Building Our Net Worth; Keep It Simple and Stupid; Requirements for Successful Trend Following; Perseverance and Commitment; A Positive Attitude and Realistic Expectations; Give Yourself a Time for Introspection; Keep Your Cool Chapter 3 Why Trend Following?Why Not Fundamental or Even Technical Analysis?; Technical Analysis; Mechanical Trading Systems; My Answer: Trend Following; Liquidity; Transparency; Profit Potential; You've Got to Love That Saying!; Bottom Line; Ed Seykota and Market Wizards; Chapter 4 How Successful Trend Followers Trade; The Trend Followers; Salem Abraham; Elizabeth Chavel; Tom Shanks; William Eckhardt; Howard Seidler; David Druz; Jerry Parker; Michael Clarke; Paul Mulvaney; Bernard Drury; Jeff Austin and Andy Silowitz; Justin Vandergrift Gurus, Geniuses, and Legends Are Not the Way to Make Money!We Have Our Legends As Well; Even Worse...Geniuses; When LTCM Imploded Trend Followers Made a Fortune!; The Real Geniuses Were the Humble Trend Followers and Their Investors!; The Biggest Mistake Traders Make; Chapter 5 Managing the Risks when Trend Following; Risk of Ruin; The Exact Elements of Risk Management; Risk per Trade; Risk per Sector; Overall Risk on the Portfolio; Additional Risk Measures When CommodityTrading and Forex Trading; Choose Markets to Reduce Risk; We Are Dealing with Uncertainty!; Note Chapter 6 Your Complete Robust Trading PlanTrend Breakout and Trend Retracement; Trend Breakout; Stops; If the Trade Starts Working; The Calculation of Average True Range; Trend Retracement Rules; Just Do It; Chapter 7 Trend Breakouts; ArthroCare Corporation; Baidu; The 30-Year U.S. Government Bond; The Canadian Dollar; Feeder Cattle; International Flavors and Fragrances; Royal Bank of Canada; TJX Companies; Cotton Trade; Eurodollar Chart; Sugar; Silver; Chapter 8 Trend Retracements; Don Steinitz's Approach; Alexander Elder's Approach; Step 1: Identify the Trend on the Higher Time Frame Examples of Trend Retrecement |
| Record Nr. | UNINA-9910141535803321 |
|
Abraham Andrew
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The trend following bible [[electronic resource] ] : how professional traders compound wealth and manage risk / / Andrew Abraham
| The trend following bible [[electronic resource] ] : how professional traders compound wealth and manage risk / / Andrew Abraham |
| Autore | Abraham Andrew |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (221 p.) |
| Disciplina | 332.64/5 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Portfolio management Investments Risk management |
| ISBN |
1-118-61171-3
1-299-24227-8 1-118-42186-8 1-118-41763-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Trend Following Bible; Contents; Foreword; Preface; Introduction : My Journey as a Trend Follower; A Great Learning Lesson; Have a Plan and Follow it; A Lesson in Compounding: The Dentist; Chapter 1 Get a Savvy Start : Can You Really Make a Living as a Trend Follower?; Trading as a Profession; Trend Following Is a Journey; Lifetime Strategy; Yes, You Need a Broker; Don't Be Misled!; Make Sure You Are Properly Funded before You Start; Establish Your Trading Goals; What Really Are Your Goals?; Stick to Your Plan; A Look on the Bright Side; Trading Pitfalls; It's Your Choice
Your Charting Software and Computer SystemTime Frames for Trend Following; Chapter 2 Getting the Most Out of This Method; There Are No Secrets!; Do You Want to Be Right or Make Money?; Basic Tenets of Trend Following; You Have to Work; Start Small; Compound Your Money over Time; Compounding Your Way to Wealth; Compounding Money Is the Key to Building Our Net Worth; Keep It Simple and Stupid; Requirements for Successful Trend Following; Perseverance and Commitment; A Positive Attitude and Realistic Expectations; Give Yourself a Time for Introspection; Keep Your Cool Chapter 3 Why Trend Following?Why Not Fundamental or Even Technical Analysis?; Technical Analysis; Mechanical Trading Systems; My Answer: Trend Following; Liquidity; Transparency; Profit Potential; You've Got to Love That Saying!; Bottom Line; Ed Seykota and Market Wizards; Chapter 4 How Successful Trend Followers Trade; The Trend Followers; Salem Abraham; Elizabeth Chavel; Tom Shanks; William Eckhardt; Howard Seidler; David Druz; Jerry Parker; Michael Clarke; Paul Mulvaney; Bernard Drury; Jeff Austin and Andy Silowitz; Justin Vandergrift Gurus, Geniuses, and Legends Are Not the Way to Make Money!We Have Our Legends As Well; Even Worse...Geniuses; When LTCM Imploded Trend Followers Made a Fortune!; The Real Geniuses Were the Humble Trend Followers and Their Investors!; The Biggest Mistake Traders Make; Chapter 5 Managing the Risks when Trend Following; Risk of Ruin; The Exact Elements of Risk Management; Risk per Trade; Risk per Sector; Overall Risk on the Portfolio; Additional Risk Measures When CommodityTrading and Forex Trading; Choose Markets to Reduce Risk; We Are Dealing with Uncertainty!; Note Chapter 6 Your Complete Robust Trading PlanTrend Breakout and Trend Retracement; Trend Breakout; Stops; If the Trade Starts Working; The Calculation of Average True Range; Trend Retracement Rules; Just Do It; Chapter 7 Trend Breakouts; ArthroCare Corporation; Baidu; The 30-Year U.S. Government Bond; The Canadian Dollar; Feeder Cattle; International Flavors and Fragrances; Royal Bank of Canada; TJX Companies; Cotton Trade; Eurodollar Chart; Sugar; Silver; Chapter 8 Trend Retracements; Don Steinitz's Approach; Alexander Elder's Approach; Step 1: Identify the Trend on the Higher Time Frame Examples of Trend Retrecement |
| Record Nr. | UNINA-9910815721403321 |
|
Abraham Andrew
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trend following with managed futures : the search for crisis alpha / / Alex Greyserman, Kathryn Kaminski
| Trend following with managed futures : the search for crisis alpha / / Alex Greyserman, Kathryn Kaminski |
| Autore | Greyserman Alex |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (454 p.) |
| Disciplina | 332.64/52 |
| Collana | Wiley Trading Series |
| Soggetto topico |
Investments
Securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-89102-3
1-118-89101-5 1-118-89104-X |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword Andrew W. Lo Preface Introduction Part I: Introduction Chapter 1: A Multi-Centennial View of Trend Following The Tale of Trend Following: A Historical Study Return Characteristics over the Centuries Risk Characteristics over the Centuries Portfolio Benefits over the Centuries Summary Further Reading and References Appendix: Included Markets and Relevant Assumptions Part II: Trend Following Basics Chapter 2: Review of Futures Markets and Futures Trading Forward and Futures Contract Fundamentals Review of the Managed Futures Industry Futurization Summary Futures Reading and References Chapter 3: Systematic Trend Following Basics The Basic Building Blocks of a Trend Following System Strategy Classification and Core Differentiators Partitioning Trend Following Systems Summary Further Readings and References Part III: Theoretical Foundations Chapter 4: Adaptive Markets and Trend Following The Adaptive Market Hypothesis A Framework for Speculative Risk Taking A Closer look at Crisis Alpha Summary Further Reading and References Chapter 5: Divergence and the Tradability of Trend Risk vs. Uncertainty Convergence vs. Divergence Measuring Market Divergence at the Portfolio Level Testing the Stationarity of Market Divergence The Tradability of Trend The Importance of Entry vs. Exit Summary Further Reading and References Chapter 6: The Role of Interest Rates and the Roll Yield Collateral Yield Decomposition into Roll Yield and Spot Interest Rates and the Roll Yield for Bond Futures Market Divergence and the Roll Yield Commodity Markets and the Roll Yield Summary Further References and Readings Part IV: Trend Following as an Alternative Asset Class Chapter 7: Properties of Trend Following Returns Trend Following as an Alternative Asset Class Crisis Alpha Crisis Beta Key Statistical Properties Summary Featured Readings and References Appendix: A Summary of Common Performance Measures Chapter 8: Characteristics of Drawdowns, Volatility, and Correlation Understanding the Properties of Drawdowns Correlation and Diversification at the Portfolio Level Summary Further Reading and References Chapter 9: The Hidden and Unhidden Risks of Trend Following Directional and Non-Directional Strategies: A Review Defining Hidden and Unhidden Risks The Myths and Mystique of the Sharpe Ratio Unraveling Hidden Risks of Dynamic Leveraging Summary Further Reading and References Chapter 10: Trend Following in Various Macroeconomic Environments Interest Rate Environments Regulatory Forces and Government Intervention Summary Further Reading and References Part V: Benchmarking and Style Analysis Chapter 11: Return Dispersion Strategy Classification and Return Dispersion A Closer Look at Capital Allocation and Position Sizing Return Dispersion from an Investor's Perspective Empirical and Theoretical Considerations for Correlated Return Series Summary Further Readings and References Chapter 12: Index and Style Factor Construction Divergent Risk Taking Revisited Defining a Divergent Trend Following Strategy Constructing Style Factors Characteristics of the Style Factors Summary Further Readings and References Chapter 13: Benchmarking and Style Analysis A Framework for Return based Style Analysis Style Analysis for Individual CTA Managers Sector Level Analysis of the Market Size Factor Manager Selection and Allocation Summary Further Readings and References Part VI: Trend Following in an Investment Portfolio Chapter 14: Portfolio Perspectives on Trend Following A Closer Look at Crisis Alpha The Impact of Mark-to-Market on Correlation Understanding Cyclicality in Managed Futures Summary Further Reading and References Chapter 15: Practicalities of Size, Liquidity, and Capacity Does Size Matter? The Impact of Less Liquid Markets Summary Further Readings and References Appendix: Market Symbols and Names Chapter 16: Diversifying the Diversifier From Pure Trend Following to Multi-Strategy Portfolio Analysis of the Move to Multi-Strategy Hidden Risk of Leveraging Low Volatility Strategies Summary Further Reading and References Chapter 17: Dynamic Allocation to Trend Following A Framework for Dynamic Allocation Mean Reversion in Trend Following Return Series Investigating Dynamic Allocation Strategies Summary Further Reading and References Appendix: A Theoretical Analysis of Mean Reversion in Trend Following Glossary of Key Terms About the Authors Index . |
| Record Nr. | UNINA-9910132159503321 |
|
Greyserman Alex
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
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Investments
(953)
- Portfolio management (194)
- Investment analysis (160)
- Finance, Personal (96)
- Stocks (95)