In this paper we extend the methodology of our earlier work (Papailias and Thomakos, 2011) on a modified moving average technical trading rule by allowing short sales. We show how short sales change the trading rule which now acts as a dynamic trailing "stop-and-reverse", instead of a dynamic...

This paper proposes a modified version of the widely used price and moving average cross-over trading strategies. The suggested approach (presented in its 'long only' version) is a combination of cross-over 'buy' signals and a dynamic threshold value which acts as a dynamic trailing stop. The...

Solvency Capital Requirements – or SCR – are the key numbers of Pillar I of Solvency II. Any company concerned (e.g. an insurer) must calculate a capital according to its liabilities and its assets. The resulting number gives the theoretical level of capital that provides the solvency and...

Modern Portfolio Theory (MPT), as developed by Markowitz (1952) and others, is often described as a nice but impractical theory. The full MPT framework is very sensitive to parameters like the expected returns which are estimated with errors, resulting in allocations with even larger errors....

Black and Scholes is an institution in quantitative finance. The main innovation was in the existence of a self financing portfolio which is able to replicate the (supposedly smooth) price process of a contingent claim.Clearly established as representation model via the market implied...

The definition seems clear. "A rogue trader is an employee authorised to make trades on behalf of his employer (subject to certain conditions) who makes unauthorised trades."But what does mean "subject to certain conditions"? In this paper, we tried to find a mathematical ground able to explain...

We derive utility maximizing portfolios and consumption rates in electricity futures markets under anticipative information modeled by enlarged filtrations. The emerging optimization exercises are solved by point-wise maximization and a sufficient stochastic maximum principle. We provide...

This paper is the first of a series that aims to study in detail the ANANTA strategy, a short term systematic FX model using fixed income signals. We will focus in this part on outlining the context and an initial basic implementation of the methodology, from trading hypothesis to signal...

Fixed income investors favor higher yields with lower risk. Our objective in this paper is to outline an active fixed income strategy that maximizes yield and is protected against major risk factors affecting fixed income securities. In particular, we look at interest rate risk, credit risk,...

Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short...