Journal of Investment Strategies

The rapid development of quantitative investing has heightened the need for highquality data and sophisticated methods for interpreting complex information, particularly through advanced data visualization techniques. This paper introduces a robust visualization model developed by Premialab's quant research team, leveraging their extensive database of more than 5000 single-asset and multiasset quantitative investment strategies (QIS) sourced from 18 global investment banks.

Option trading provides rich sets of data that may be used to trade their underlying assets effectively. Strategies for this purpose are discussed in this paper. These strategies use the call and put prices of option chains to estimate the consensus features of the future probability distribution of the price of the underlying asset. This enables a trader to predict the expected profit and expected loss that may be experienced when trading in the asset.

This study aims to provide empirical insight into the efficiency of major pure-play internet banks in South Korea, Japan and China (that is, KakaoBank, K Bank, Sony Bank, Jibun Bank andWeBank).We employed the data envelopment analysis model and adopted a profit-oriented approach to measuring the efficiency of the banks between 2017 and 2020. In addition, we ran fixed cross-section regression to measure the relationship between net profit and the input and output variables.

Tweet Facebook LinkedIn Save this article Send to Print this page Unaligned exchange-traded funds (UETFs) have a very high positive correlation with U.S. equities and global equities. UETFs consistently outperform U.S. and global stocks in absolute and risk-adjusted returns and consistently outperform global equities. UETFs demonstrate resilience during economic crises and COVID-19 lockdowns. Contrary to they’re name, UETFs are not immune to stock market fluctuations.

Tweet Facebook LinkedIn Save this article Send to Print this page Individual investors’ biases have a significant impact on investment decision-making. This study sheds light on specific determinants underexplored in previous research. By examining psychological biases, risk perception, social influence, or cognitive processes, we can comprehensively understand the investment decision-making process.

Tweet Facebook LinkedIn Save this article Send to Print this page We propose useful formulations to select assets for sparse index tracking portfolios. The proposed formulations can yield various asset selection methods, including some existing methods, by adjusting the values of parameters. As a result, they can provide a well-balanced asset selection to create successful sparse index tracking portfolios.

Tweet Facebook LinkedIn Save this article Send to Print this page This paper discusses an application of information-theoretic concepts to moving averages of time series. Moving average weighting functions are defined as maximum entropy distributions subject to constraints. Constraining the width yields the simple moving average, while constraining the time scale yields the exponential moving average. Generalised constraints and entropies define a wide family of moving average weighting functions.

Tweet Facebook LinkedIn Save this article Send to Print this page We examine how investor sentiment impacts equity market volatility under economic turmoil, using the Covid-19 pandemic as a period of study. The impact of sentiment on stock market volatility is measured using GARCH, T-GARCH, and E-GARCH. The asymmetric effects of good and bad news on volatility can be assessed using these models. The analysis showed that investor sentiment affected volatility, especially post-Covid-19.

Tweet Facebook LinkedIn Save this article Send to Print this page Collectible watch returns averaged 5.5% (7.7% nominal) for the period between 1999 and 2020. Collectible watches outperformed the S&P 500 Index and other collectibles such as art and classic cars. A hedonic pricing model revealed a variety of significant price-driving determinants in luxury watches (authenticity, rarity, famous pre-owner etc).

Tweet Facebook LinkedIn Save this article Send to Print this page We find that sustainablity investments significantly affect football clubs’ stock price returns, indicating that investors value sustainable practices positively. There is a positive relationship between football club growth and stock price performance, underscoring the significance of growth strategies in analyzing stock price performance.