Asset Management in Volatile Markets

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to understand what happens in their investment universe. In the present SUERF Study, we have collected a sample of outstanding colloquium contributions under the fitting headline: Asset Management in Volatile Markets.derivatives, financial innovation, asset management, finance-growth-nexus; Relative Value Strategy, Pair Trading, Slippage, Implementation Shortfall, Asset Management, Fin4Cast

Trading System Development

The purpose of this project was to construct a system of trading systems that would demonstrate a successful long term return on investment across different market conditions. The team was given $300,000 to distribute amongst three scientifically developed systems on the TradeStation platform provided by our advisors. The strategies were designed to incorporate both technical and fundamental data as well as trade diverse markets. The resulting cultivation of systems involved the use of two automated trading strategies and one manual trading strategy that showed substantial profits in the long term

INVESTMENT AND TRADING

The goal of this project was to create a successful trading strategy for use in the forex market and create a positive track record which could be used to launch a money management company. Several different trading strategies were considered, and were subsequently tested both through live trading and through programming automated trading robots. Additionally, other programs were created along the way, both to aid in manual trading and in data gathering and processing. With our performance history we then sought out possibilities for launching a money management company. Such strategies and examinations of the markets illuminate both the benefits and detriments of several potential trading philosophies, and provide a solid background for the beginning trader

Teacher 2020. On the Road to Entrepreneurial Fluency in Teacher Education

No abstract available

Using Agent-Based Simulation Models in the Analysis of Market Crashes

In this thesis we propose an agent-based model for a financial market with a single asset. The agents are motivated to trade via their personal beliefs about the future direction of the asset price moves. Additionally, the trades are restricted by the resources available to agents. The constructed model is used to attempt to gain some insight into the origin of large price moves in the market (“market crashes”). Monte Carlo simulations are used to study model behaviour under varying initial conditions. The model is found to be generally capable of reproducing the stylised facts of real financial markets. The ubiquity of relatively high incidence of large price moves in the results of model simulation, together with results from similar models by other authors allow us to conjecture that such moves are inherent in a market model based on a heterogenous population of intelligent agents. Finally, several directions for model improvement are identified