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Return calculation methodology: evidence from the Hungarian mutual fund industry

Erdős, Péter; Ormos, Mihály - In: Acta oeconomica : periodical of the Hungarian Academy … 59 (2009) 4, pp. 391-409

Persistent link: https://www.econbiz.de/10003919714

Random walk theory and the weak-form efficiency of the US art auction prices

Erdős, Péter; Ormos, Mihály - In: Journal of banking & finance 34 (2010) 5, pp. 1062-1076

Persistent link: https://www.econbiz.de/10003971360

Non-parametric and semi-parametric asset pricing

Erdős, Péter; Ormos, Mihály; Zibriczky, Dávid - In: Economic modelling 28 (2011) 3, pp. 1150-1162

Persistent link: https://www.econbiz.de/10009271217

Return calculation for short time series : evidence from emerging market mutual funds

Erdős, Péter; Ormos, Mihály - In: Financial asset pricing : theory, global policy and dynamics, (pp. 61-84). 2011

Persistent link: https://www.econbiz.de/10009519854

US Dollar Carry Trades in the Era of 'Cheap Money'

Shehadeh, Ali - 2016

In this paper, we employ a unique dataset of actual US dollar (USD) forward positions against a number of currencies taken by so-called Commodity Trading Advisors (CTAs). We investigate to what extent these positions exhibit a pattern of USD carry trading or other patterns of currency trading...

Persistent link: https://www.econbiz.de/10012994457

Same same but different : stylized facts of CTA sub strategies

Erdős, Péter; Li, Youwei; Liu, Ruipeng; Mende, Alexander - In: International review of financial analysis 74 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012803930

Same Same But Different -- Stylized Facts of CTA Sub Strategies

Erdős, Péter; Li, Youwei; Liu, Ruipeng; Mende, Alexander - 2021

Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTA), we investigate the distributional properties of CTA strategies including trend following, fundamental and contrarian strategies. We find that daily data exhibits strong features of fat-tail, volatility...

Persistent link: https://www.econbiz.de/10013246192

An analysis of the risk-return characteristics of serially correlated managed futures

Elaut, Gert; Erdős, Péter; Sjödin, John - In: The journal of futures markets 36 (2016) 10, pp. 992-1013

Persistent link: https://www.econbiz.de/10011568847

US dollar carry trades in the era of "cheap money"

Shehadeh, Ali; Erdős, Péter; Li, Youwei; Moore, Michael J. - In: Finance a úvěr 66 (2016) 5, pp. 374-404

Persistent link: https://www.econbiz.de/10011582471

Trends' signal strength and the performance of CTAs

Elaut, Gert; Erdős, Péter - In: Financial analysts journal : FAJ 75 (2019) 1, pp. 64-83

Persistent link: https://www.econbiz.de/10012195877