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oberlin1354304083.pdf (9.26 MB)
ETD Abstract Container
Abstract Header
Heterogeneous gain forecasting using historic asset information
Author Info
Sippl-Swezey, Nicolas
Permalink:
http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083
Abstract Details
Year and Degree
2011, BA, Oberlin College, Economics.
Abstract
Using historic return inputs in a stylized computational financial market, this paper explores how participant outcomes are affected by the degree to which their asset allocation behavior responds to new market information. Findings support the efficient market hypothesis in that no alternate trading rule shows consistent improved outcomes relative to a full market exposure buy-and-hold strategy over the given time period. The only exception occurs briefly at the bottom of the 2008 financial crisis. Market participants that drastically alter market exposure in response to volatile returns, however, do outperform those who alter their exposure less drastically. Furthermore, the trading rules used here appear to offer a tradeoff between risk, return volatility and wealth development that is in-part at odds with efficient market hypothesis.
Committee
Ellis Tallman (Advisor)
Pages
24 p.
Subject Headings
Economic History
;
Economic Theory
;
Economics
Keywords
asset
;
allocation
;
market
;
crisis
;
finance
;
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Citations
Sippl-Swezey, N. (2011).
Heterogeneous gain forecasting using historic asset information
[Undergraduate thesis, Oberlin College]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083
APA Style (7th edition)
Sippl-Swezey, Nicolas.
Heterogeneous gain forecasting using historic asset information.
2011. Oberlin College, Undergraduate thesis.
OhioLINK Electronic Theses and Dissertations Center
, http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083.
MLA Style (8th edition)
Sippl-Swezey, Nicolas. "Heterogeneous gain forecasting using historic asset information." Undergraduate thesis, Oberlin College, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1354304083
Chicago Manual of Style (17th edition)
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Document number:
oberlin1354304083
Download Count:
439
Copyright Info
© 2011, all rights reserved.
This open access ETD is published by Oberlin College Honors Theses and OhioLINK.