Journal PostsArchive for February, 2009
[8] Update on: Earning Returns in a 'Bear Market'
By Harry Niederau | February 14, 2009
With a bit of delay this project is about to finish in its first stage. Here a short overview on results. Over the last 49 years, very simple (i.e. non-leveraged) Wavelet based inter-day trading strategies yield an annual excess return well above 10%. In down turn cycles (such as at present) the annual excess return is even well beyond 20%. The reason for the latter is due to the fact that in down cycles investors seek less diversification but rather go for short term return maximization. This is reflected in the cascaded pattern of the index graph in such periods. This reduced level of diversification in turn produces autocorrelations in the Dow Jones series which are picked up by the wavelets in a systematic way. As of yet, we have focused on univariate forecasts in the wavelet domain, whilst predictions on a multivariate level proved beyond the scope of that kick-off project. For obvious reasons, more detailed results can only be shared on agreement.
Topics: macro-economics | | Comments
[7] Update on: quasi risk-neutral pricing
By Harry Niederau | February 3, 2009
The paper on Quasi Risk-Neutral Pricing in Insurance has been accepted for publication in the Astin Bulletin. Details concerning the date of appearance will be given in time.
Topics: pricing in insurance | | Comments