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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Alpha Opportunity barometer
Organization Unit
  • Reto Schläpfer
  • Thorsten Hens
Institution University of Zurich
Faculty Faculty of Economics, Business Administration and Information Technology
Date August 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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