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Computergestutzte Auswahl Und Empirische Uberprufung Ausgewahlter Options- Und Future-Strategien

Computergestutzte Auswahl Und Empirische Uberprufung Ausgewahlter Options- Und Future-Strategien


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About the Book

Diplomarbeit aus dem Jahr 1998 im Fachbereich BWL - Investition und Finanzierung, Note: 2,0, Hochschule fur angewandte Wissenschaften Augsburg (Unbekannt), Sprache: Deutsch, Abstract: Inhaltsangabe: Zusammenfassung: Ziel dieser Arbeit war es Strategien mit Optionen und Future auf ihren Erfolg zu uberprufen. Dabei wurden die Untersuchungen unter realen Bedingungen, d. h. unter Berucksichtigung von Transaktionskosten, Bid- Ask Spreads etc., durchgefuhrt. Folgende Strategien wurden auf ihren Erfolg uberpruft: Exit und Entry Technik, Doppelstrategie, Synthetischer Future, Ratio Spreads, Price Spreads und der Verkauf von Optionen. Durch ein entwickelte Programm war es moglich die Strategien mit verschiedenen Einstellungen zu testen. Die Einstellungen teilten sich in Parameter der Strategien, wie z. B. die Anzahl der Tage bei gleitenden Durchschnitten und das Wertpapier mit dem die Strategie getestet werden sollte. Fur jede Einstellung wurde ein Depot angelegt und uber einen Zeitraum betrachtet. Die Exit und Entry Technik wurden vom 1.2.96 bis 31.12.97 und vom 30.3.98 bis 30.4.98, die Doppelstrategie vom 30.3.98 bis 30.4.98 betrachtet. Die ubrigen Strategie sind unter dem Namen "The Trading Edge" zusammengefasst und wurden vom 6.4.98 bis 30.4.98 betrachtet. Als erfolgreiche Strategien zeigten sich die Exit und Entry Technik und der Verkauf von Optionen. Durch diese Strategien ware es dem privaten Anleger moglich im Auswertungszeitraum Gewinne zu realisieren. Die restlichen Strategien erwiesen sich als nicht erfolgreich. Entweder wurden keine Gewinne von den ubrigen Strategien erzielt, oder diese waren minimal, so dass nach Berucksichtigung aller anfallenden Kosten keine Gewinne entstanden. Abschliessend kann gesagt werden, dass es durchaus moglich ist, anhand computergenerierter Signale erfolgreich an dem Terminmarkt der Deutschen Terminborse mit Derivaten zu handeln. Inhaltsverzeichnis: Inhaltsverzeichnis: 1.Einleitung 2.Grundlagen 2.1Einflussfaktoren auf den Optionspr


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Product Details
  • ISBN-13: 9783838609218
  • Publisher: Diplom.de
  • Publisher Imprint: Diplom.de
  • Height: 210 mm
  • No of Pages: 452
  • Spine Width: 26 mm
  • Width: 148 mm
  • ISBN-10: 3838609212
  • Publisher Date: 02 Jul 1998
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Weight: 585 gr


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