Risk-Managed Trading Strategies

Lead Research Organisation: Imperial College London
Department Name: Imperial College Business School

Abstract

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)

Publications

10 25 50

Studentship Projects

Project Reference Relationship Related To Start End Student Name
EP/N509486/1 01/10/2016 30/09/2021
1786495 Studentship EP/N509486/1 01/10/2016 30/06/2020 Adam Denny