Risk-Managed Trading Strategies

The aim of this project is to explore the relationship between financial asset returns and higher moments (i.e. skewness, kurtosis) of the return distribution. Specifically, I propose to examine whether systematic trading rules that exploit time variation and predictability in conditional higher moments can lead to more profitable investment strategies. This study will make use of recent advances in the statistics and econometrics literature that use high frequency data to develop more robust estimators of higher moments.

(Statistics and Applied Probability research area)