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Oljederivat en möjlighet på de finansiella marknaderna, men till vilket pris?: En handelsstrategi baserad på glidande medelvärde och korrelation
Linköping University, Department of Management and Engineering, Economics.
Linköping University, Department of Management and Engineering, Economics.
2017 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Oil derivative an opportunity in the financial markets, but at what price? : A trading strategy based on moving average and correlation (Swedish)
Abstract [en]

Within the financial market, there are several issues emerging. One of them is the problem with earning money due to the market being prospective. On these markets there are various tools which can be used to predict how the prices will move in the future. Thus, the purpose of this paper was to create a market strategy through a so-called technical analysis and where placements were made using the derivative Contract-for-difference. The strategy used the moving average to generate buy- and selling signals on the price of oil. Furthermore, this was combined with the potential negative correlation between oil and exchange rates in a model to try to create return in both directions. The main aim with the strategy was to generate higher return comparing the buy-and-hold strategy.

 

This model utilized the negative relations of the variables and the moving average in oil. That created the possibility for placements to develop positive return in both directions. Results implies that the strategy produced a sever higher return than the classic buy-and-hold strategy did. Nevertheless, to a higher risk which could indicate the strategy to be unreliable. 

Abstract [sv]

Ett genomgående problem på den finansiella marknaden är att det är svårt att tjäna pengar då marknaden är framåtblickande. På dessa marknader finns det en mängd olika hjälpmedel för att försöka förutspå huruvida priserna kommer att röra sig i framtiden. Uppsatsen syfte var att genom en teknisk analys skapa en handelsstrategi där placeringar gjordes i derivatet Contract-for-difference. Handelsstrategin använde sig utav det framtagna glidande medelvärdet för att generera köp- och säljsignaler på oljepriset. Sedan kombinerades detta med den potentiella negativa korrelationen mellan oljan och växelkurserna i en modell för att försöka skapa avkastning i båda riktningarna. Målet med handelsstrategin var att försöka generera en högre avkastning gentemot buy-and-hold strategin.

 

Modellen utnyttjade det existerande negativa sambandet mellan variablerna och det glidande medelvärdet i oljan. Det gjorde att placeringar kunde generera en positiv avkastning i båda riktningarna. Resultaten tyder på att handelsstrategin producerade en betydligt högre avkastning än vad den klassiska buy-and-hold strategin gjorde. Däremot till en betydligt högre risk som har gjort att handelsstrategin förklarats som mycket opålitlig.   

Place, publisher, year, edition, pages
2017. , p. 45
Keywords [sv]
Handelsstrategi, oljederivat, finansiella, korrelation, teknisk analys
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-138674ISRN: LIU-IEI-FIL-G--17/01711--SEOAI: oai:DiVA.org:liu-138674DiVA, id: diva2:1112894
Subject / course
Bachelor Thesis in Economics
Supervisors
Available from: 2017-06-26 Created: 2017-06-20 Last updated: 2017-06-26Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • Other style
More styles
Language
  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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