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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Alpha Opportunity barometer |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Date | 2011 |
| Abstract Text | This thesis identifies the most powerful serial dependence estimator for daily financial returns with a monte carlo experiment and uses it to estimate market efficiency over time. With these efficiency estimates, the Alpha Opportunity Barometer is constructed, a time series that indicates market efficiency at any point in time. It is shown with a custom statistical test that past short term mean reversion indicated low future returns, high future volatility and momentum for the past ten years in major stock indices and some commodities. |
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