This study evaluates naïve and advanced prediction models when applied to style rotation strategies on the Johannesburg Stock Exchange (‘JSE’). We apply 1- and 3-month style momentum as naïve predictors against three tree-based machine learning (‘ML’) algorithms (advanced predictors),...

In today's complex financial markets, "Algorithmic Trading" has become very important. The study delves into the amalgamation of four pivotal indicators - Relative Strength Index (RSI), Exponential Moving Average (EMA), Volume-Weighted Average Price (VWAP), and Moving Average...

This study evaluates näive and advanced prediction models when applied to style rotation strategies on the Johannesburg Stock Exchange ('JSE'). We apply 1- and 3-month style momentum as näive predictors against three tree-based machine learning ('ML') algorithms (advanced predictors),...

I analyze the dynamics of European credit default swap spreads by estimating CDS spreads via an extension of the structural credit risk models by Black and Cox (1976) as well as Leland (1994), the so called CreditGrades model proposed by Finger et al. (2002). Using two different procedures in...

- Introduction to Quantitative Risk Management and Risk in Agricultural Business: Cutting Edge Quantitative Concepts and Methodologies -- Index-based Insurance Design for Climate and Weather Risk Management: A Review -- Weather and Yield Index-Based Insurance Schemes in the EU Agriculture: A...

1. Introduction -- Part I MOVING AVERAGES AND TREND-FOLLOWING TRADING RULES -- 2. Basics of Moving Averages -- 3. Trend-Following Trading Rules and Their Anatomy -- Part II QUANTITATIVE ASSESSMENT OF TRADING RULES -- 4. Quantifying Key Properties of Trend-Following Rules -- 5. Exploring...

Introduction to Econometrics and Linear Regression -- Hypothesis(es) testing -- Dynamic modelling in Econometrics Foundational knowledge -- Theoretical overview: Capital Asset Pricing and Arbitrage Pricing Theory -- Model implementation and testing -- January effect -- Key takeaways.