Temat: trading strategies - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Gas trading strategies — case studies
Autorzy:: Sołtysik, M.
Mucha-Kuś, K.
Powiązania:: https://bibliotekanauki.pl/articles/175519.pdf
Data publikacji:: 2017
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: gas market
trading strategies
interconnectors
Opis:: The process of liberalization of the gas market influences the behavior of market players. In Poland, there has been adopted a model based on the introduction of mandatory gas sales involving the exchange segment. It has contributed to the greater involvement of stakeholders in gas trading on the Polish Power Exchange (TGE). The interest in this segment has also been enhanced by the opportunity to actively participate in cross-border trade. The paper presents the analysis of trading strategies taking into account the limitations of the existing regulations, market liquidity, price volatility and product structures on the Polish market and neighboring markets. Calculations reflect real price data from 2015 and also include logistics costs in case of gas physical delivery. Conducted analyses showed that discrepancy between gas prices in Poland and Germany, and Poland and the Czech Republic is not significant enough to generate profit in most cases. Negative results have been obtained regardless of the direction of transmission of gas, kind of contracts or selection of entry point into the Polish system. There is therefore no universal mechanism and trading strategy that may guarantee a permanent generation of profits. The few cases in which a positive result was obtained, mainly relate to the import of gas to Poland from Germany.
Źródło:: Transactions of the Institute of Fluid-Flow Machinery; 2017, 137; 71-84
0079-3205
Pojawia się w:: Transactions of the Institute of Fluid-Flow Machinery
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Zastosowanie drapieżnych strategii w handlu o wysokiej częstotliwości
Autorzy:: Lenczewski Martins, Carlos Jorge
Powiązania:: https://bibliotekanauki.pl/articles/610061.pdf
Data publikacji:: 2017
Wydawca:: Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:: High-Frequency Trading
predatory strategies
algorithmic trading
handel o wysokiej częstotliwości
strategie drapieżne
handel algorytmiczny
Opis:: The development of High-Frequency Trading since the 1990s has been so dynamic, that one may say it certainly will be present in every country, sooner or later. Most of the research dedicated to High-Frequency Trading is dedicated to show how detrimental it may be to the financial system, other present business models and integration with other entities of the financial market, some try to research how profitable this type of trading may be, and finally some research is dedicated to the risk analysis – although these papers are very limited. This paper is aimed to expand the topic of business models by showing selected strategies of High-Frequency Trading. This is very important since these strategies may be also implemented in conditions of lower liquidity and have a direct influence on the stability of large institutions.
Rozwój handlu o wysokiej częstotliwości, który powstał w latach 90. XX w., jest tak dynamiczny, że można stwierdzić, iż z pewnością będzie obecny w każdym kraju. Większość opracowań poświęconych handlowi o wysokiej częstotliwości można podzielić na: starające się wykazać, jak szkodliwy jest on dla systemu finansowego; opisujące modele biznesowe i współdziałanie z pozostałymi podmiotami rynku finansowego; wykazujące opłacalność handlu i podmiotów stosujących ten rodzaj handlu; poświęcone zagadnieniom zarządzania ryzykiem transakcji o wysokiej częstotliwości, chociaż ich liczba jest bardzo ograniczona. Niniejsze opracowanie ma na celu rozwijać zagadnienia związane z modelami biznesowymi, omawiając wybrane drapieżne techniki w handlu o wysokiej częstotliwości. Jest to dość istotne, ponieważ mogą one być zastosowane w warunkach o niskiej płynności oraz mogą wpływać bezpośrednio na działalność i stabilność pojedynczych, a także znaczących instytucji finansowych.
Źródło:: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2017, 51, 4
0459-9586
Pojawia się w:: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: The Effectiveness of the Transaction Systems on the Dax Index
Autorzy:: Trembiński, Marek
Stawska, Joanna
Powiązania:: https://bibliotekanauki.pl/articles/1022855.pdf
Data publikacji:: 2020-12-31
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: technical analysis
trading systems
DAX index
stock exchange
investment strategies
Opis:: The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation.Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio).Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.
Źródło:: Finanse i Prawo Finansowe; 2020, 4, 28; 149-174
2391-6478
2353-5601
Pojawia się w:: Finanse i Prawo Finansowe
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: The Effectiveness of the Transaction Systems on the Dax Index
Autorzy:: Trembiński, Marek
Stawska, Joanna
Powiązania:: https://bibliotekanauki.pl/articles/2121681.pdf
Data publikacji:: 2021-09-03
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: technical analysis
trading systems
DAX index
stock exchange
investment strategies
Opis:: The purpose of the article/hypothesis: The aim of this article is to examine the effectiveness of trading systems built on the basis of technical analysis tools in 2015–2020 on the DAX stock exchange index. Efficiency is understood as generating positive rates of return, taking into account the risk incurred by the investor, as well as achieving better results than passive strategies. Presenting empirical evidence implying the value of technical analysis is a difficult task not only because of a huge number of instruments used on a daily basis, but also due to their almost unlimited possibility to modify parameters and often subjective evaluation. Methodology: The effectiveness of technical analysis tools was tested using selected investment strategies based on oscillators and indicators following the trend. All transactions were carried out on the Meta Trader 4 platform. The analyzed strategies were comprehensively assessed using the portfolio management quality measures, such as the Sharpe measure or the MAR ratio (Managed Account Ratio). Results of the research: The test results confirmed that the application of described investment strategies contributes to the achievement of effective results and, above all, protects the portfolio against a significant loss in the period of strong turmoil on the stock exchange. During the research period, only two strategies (Ichimoku and ETF- Exchange traded fund) would produce negative returns at the worst possible end of the investment. At the best moment, however, the „passive” investment achieved the lowest result. Looking at the final balance at the end of 2019, as many as four systems based on technical analysis were more effective than the „buy and hold” strategy, and at the end of the first quarter of 2020 – all of them. When analyzing the management quality measures, it turned out that taking into account the 21 quarters, the passive strategy had the lowest MAR index. The Sharpe’s measure is also relatively weak compared to the four leading strategies.
Źródło:: Finanse i Prawo Finansowe; 2021, Numer Specjalny; 159-184
2391-6478
2353-5601
Pojawia się w:: Finanse i Prawo Finansowe
Dostawca treści:: Biblioteka Nauki

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