The Missing link between Technical and Quant Analysis: ETF case study - Piraino, Sebastiano
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Are you interested about financial markets? are you interested about quantitative analysis as a trading tool to find the best opportunities in the market? If yes, this is the right book for you. Extrapolating value in the financial market might seem complex due to its unpredictability, however, with a basic knowledge of mathematics, statistics and data analysis, you will be able to scan and outperform the market with simple and back-tested strategies maximizing returns and minimizing drawdowns. The project will shed the light on testing the randomness of Global Equities ETFs daily prices…mehr

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Produktbeschreibung
Are you interested about financial markets? are you interested about quantitative analysis as a trading tool to find the best opportunities in the market? If yes, this is the right book for you. Extrapolating value in the financial market might seem complex due to its unpredictability, however, with a basic knowledge of mathematics, statistics and data analysis, you will be able to scan and outperform the market with simple and back-tested strategies maximizing returns and minimizing drawdowns. The project will shed the light on testing the randomness of Global Equities ETFs daily prices covering approximately two decades, from early 2000 to 2018. The main objective of the paper is to identify first of all the "non-random walk" time series by carrying well-known statistical tests for the unit root, namely Augmented Dickey-Fuller (ADF), Phillips-Perron (PP), Kwiatkowski-Phillips-Schmidt-Shin test (KPSS), and for the variance ratio, Lo and MacKinlay VR test; and then, implementing trading strategies based on the behaviour, mean reversion or momentum, of the selected "non-random" time series and evaluate their performances.
Autorenporträt
Sebastiano hat einen MSc-Abschluss in Finanzwesen an der GEM und einen BA-Abschluss in Wirtschaft und Management an der UCSC. Er verfügt über ein Jahr Berufserfahrung im Bank- und Finanzwesen und einen internationalen Lebenslauf mit Aufenthalten in drei Ländern, darunter die USA, Italien, Frankreich und die Schweiz. Sebastiano, MSc, liest gerne über Finanzmärkte und Neurowissenschaften und praktiziert Meditation.