Concept

Hedge fund

Related publications (46)

An Extension of ETF Arbitrage to Sector Trading Using ANN

We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artiﬁcial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...

2009

Boosting the Electricity Sector in West Africa: an Integrative Vision

Edgard Gnansounou

To improve peoples’ living conditions, Western African countries need to considerably reinforce their electricity supply infrastructures. Retrofitting the existing installations and constructing new generation and transmission facilities require significan ...

2008

Co-Movements of Index Options and Futures Quotes

Rüdiger Fahlenbrach

We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either ...

2008

Agency conflicts and risk management

Erwan Morellec

This paper analyzes the relation between agency conflicts and risk management. In contrast to previous contributions, our analysis incorporates not only stockholder-debtholder conflicts but also manager – stockholder conflicts. We show that the costs of bo ...

2007

Scalable Peer-to-Peer Web Retrieval with Highly Discriminative Keys

Karl Aberer, Martin Rajman, Vinh Toan Luu, Ivana Podnar, Fabius Klemm

The suitability of peer-to-peer (P2P) approaches for full-text Web retrieval has recently been questioned because of the claimed unacceptable bandwidth consumption induced by retrieval from very large document collections. In this contribution we formalize ...

IEEE2007

Scalable Peer-to-Peer Web Retrieval with Highly Discriminative Keys

Karl Aberer, Martin Rajman, Vinh Toan Luu, Ivana Podnar, Fabius Klemm

The suitability of Peer-to-Peer (P2P) approaches for full-text web retrieval has recently been questioned because of the claimed unacceptable bandwidth consumption induced by retrieval from very large document collections. In this contribution we present a ...

2006

Benchmarking of hydroelectric stochastic risk management models using financial indicators

Matthias Finger, Pierre-André Haldi

The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...

2005

Investment decisions with flexibility under uncertainty in the competitive electricity supply industry

Jun Dong

The restructuring of the electricity supply industry (ESI) has introduced new actors and market mechanisms. Electricity prices are more market oriented and fluctuate greatly. These changes bring about more uncertainties and risks to the market participants ...

EPFL2004

Local parametric analysis of derivatives pricing and hedging

A novel methodology for the analysis of derivatives pricing in incomplete markets is tested empirically. The methodology generates hedge ratios and derivatives prices. They are estimated from the correlation structure between the local co-movements of secu ...

2003

A Software Tool for the Valuation and Optimal Exercise of Swing Options

Daniel Kuhn

Electricity swing options represent a special kind of American-style path dependent power derivatives. Thus, valuation of a swing option is inevitably linked to the determination of an optimal excercise strategy up to the end of the option's exercise perio ...

Institute for Operations Research and Computational Finance, University of St. Gallen2003

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