Wyniki wyszukiwania - BazTech

1

The effectiveness of the contrarian and momentum strategies on the US REIT market

Kowalke Krzysztof

Management

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2023

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Vol. 27, no. 1

1--19

EN

When making investment decisions in financial markets, investors use various investment strategies. The traditional ones include the contrarian strategy and the moment strategy. In recent years, one of the dynamically developing segments of the global financial market has been the American REIT market. The literature on the subject lacks research on the effectiveness of investment strategies in this market. The aim of the article is therefore to compare the effectiveness of the contrarian strategy and momentum strategy on the US REIT market in different ranking periods. Based on the data on the rates of return of individual REITs listed on public capital markets in the US, the rates of return resulting from the application of the contrarian and momentum strategies were estimated. The results of the conducted analyses showed that for the three-year ranking period, the rates of return of the portfolio composed of loser REITs significantly exceeded the rates of return of the portfolio of winner REITs. This means that during this period the use of the contrarian strategy was more effective than the use of the momentum strategy. For other analysed ranking periods, the differences in rates of return were not statistically significant. The results of the conducted analyses may help investors in choosing the most effective investment strategy on the REIT market. This research also answers the question whether the REIT market should use investment strategies that, according to research, are effective on the broad stock market, or strategies that work well on the investment fund market.

2

Poszukiwanie optymalnej strategii inwestycyjnej w energetyce. Metodyka i wyniki przykładowych obliczeń

Bartnik R.

Energetyka

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2015

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nr 10

627--631

PL

Jak wynika z przeprowadzonych obliczeń, stosowanie technologii CCS oxy-spalania w elektrowniach węglowych jest całkowicie ekonomicznie nieuzasadnione. Bardzo wysoki koszt wytwarzania w nich elektryczności spowoduje, co bardzo istotne, nie tylko zahamowanie wzrostu gospodarczego w krajach, w których technologia CCS byłaby stosowana, ale także brak akceptacji i niepokoje społeczne z powodu znacznych wówczas podwyżek cen energii elektrycznej. Koszt wytwarzania elektryczności w blokach węglowych z technologiami CCS jest bowiem co najmniej dwukrotnie wyższy od kosztów w blokach bez tych technologii. Jest nawet istotnie wyższy od kosztu w elektrowniach atomowych, mimo że jednostkowe (na jednostkę zainstalowanej mocy) nakłady inwestycyjne na bloki jądrowe są dwukrotnie większe.

EN

The carried out calculations show that application of CCS technology for oxy-combustion in coal-fired power plants is economically entirely unjustified. A very high production costs of electricity generated in such plants will not only result in, and that is of crucial importance, possible bringing an end to economic growth in countries where CCS technology would be in use but also in the lack of social approval and civil disturbances caused by substantial increases in electric energy prices. One must here remember that the cost of electricity generated by coal-fired units with the CCS technology is at least twice as big as the same cost for units without this technology. Moreover, it is even significantly higher than the cost of energy produced in nuclear plants though the specific investment expenditure (per one unit of installed capacity) on a nuclear power unit is twice as high.

3

Improved Particle Swarm Optimization method for investment strategies parameters computing

Bera A., Sychel D., Sacharski B .

Journal of Theoretical and Applied Computer Science

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2014

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Vol. 8, nr 4

45--55

EN

The paper studies the problem of computing the parameters for investment strategies. Proposed is an innovative modification of Particle Swarm Optimization algorithm for discrete and continuous data. The article shows how discrete and continuous version of the algorithm can be combined in order to achieve the best results. Moreover, the presented algorithm is expanded by a multi-swarm mechanism which allows to achieve better results in a fixed time. The proposed algorithm was tested on a simple investment strategy, based on one of the well known indicators Rate of Change (further referred as ROC) that uses a mixture of discrete and continuous parameters. All the tests were performed on a data gathered from one of the most important of currency pairs — EURUSD.

4

A study on the effectiveness of investment strategy based on the concept of pivot points levels using Matthews criterion

Wiliński A., Nyczaj T., Bera A., Błaszyński P.

Journal of Theoretical and Applied Computer Science

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2013

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Vol. 7, nr 4

42--55

EN

In this work, the possibility of assessing traditional investment strategy based on the pivot points for using with other than the commonly used criterion is examined. The authors attempted to apply the Matthews Correlation Coefficient (further reffered as MCC) criterion based on a confusion matrix when assessing the strategy to include more factors than the traditional criteria (such as profit, profit vs. Risk, Sharpe ratio, Calmar ratio) and to express these factors by one number. The criterion based on a confusion matrix is, in authors beliefs, unique in this application and gives a fairly valuable estimation of trading strategy. An example of several strategies tested on EURUSD 1h time series in selected intervals in the years 2012-2013 is considered. Among these strategies there is a simple strategy based on the concept of pivot points levels and more complex derivative strategies, based on the vector of optimized values of certain parameters. These strategies are evaluated using both traditional criteria and modification of MCC proposed by the authors.

5

Method of choosing vectors for investment strategies implementation

Baydala N., Kniaz S., Pauk O.

ECONTECHMOD : An International Quarterly Journal on Economics of Technology and Modelling Processes

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2013

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Vol. 2, No 4

3-9

EN

Statement of the problem. In market conditions, the investment activity of enterprises requires diversification of objects and methods of investment. This helps to minimize investment risks, stabilize cash flows in space and time, as well as to increase the guarantee of successful implementation of investment to the entities, which take indirect participation in investment processes. The problem consists in the absence of scientifically grounded methodological regulations regarding the selection of methods of the investment strategies implementation. Consequently, most of the investment decisions are based on an intuitive approach which reduces the possibility of opportuneness and completion in the implementation of purposes established by investors’.

6

The management of prediction method in the system of investment decisions making

Wiliński A., Rejer I.

Management and Production Engineering Review

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2011

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Vol. 2, No. 2

46-52

EN

The aim of the paper is to find a method of using prediction rules in time series in such a way to maximize the profit considering the risk. To deal with this task, a regression approach to prediction was chosen. Hence, the paper refers to relation between autoregression of a chosen time series and investment strategies. The time series under consideration is the most important polish financial instrument, a future contract on WIG20. Usually, it is rather easy to prove statistically that the autoregression of a single time series cannot be considered as an effective method for forecasting WIG20 quotations for investment purpose. However, the authors find the relation between the autoregression (and also multi-regression) and real future values of WIG20 which can be the source of effective strategies. The paper presents both - the theoretical description of the proposed strategies and results of their application for monthly data of WIG20, unemployment rate and money supply in Poland (data from years 1995-2007).

7

Badania możliwości wyboru optymalnej zmiennej obserwowanej jako zmiennej predykcyjnej w zbiorze danych o rynkach finansowych

Wiliński A., Czapiewski P.

Metody Informatyki Stosowanej

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2008

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nr 1 (Tom 13)

159-174

EN

The paper presents the results of computer simulations performed using the historical quotes on several securities (WIG20, S&P500, Dow Jones, DAX, EUR/USD, gold, oil, etc.) in order to analyse the possibility of finding such variables, that can be explained in terms of the others better, than the rest. It is assumed, that the ultimate goal of every investment strategy is finding the opportunity of gaining a financial profit (always considering the risk). Such opportunity is being sought by investigating the possibility of using each variable (each security) in turn as the one to be predicted. In order to reach that goal, authors use several variants of one of the algorithms belonging to the. Group Method of Data Handling (GMDH), namely the combinatorial algorithm. The results reveal some interesting features of regression models, indicating the prospect of further applications of the method.