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Your search keyword '"Nagy, László"' showing total 7 results
Start Over Author "Nagy, László" Publication Type Conference Materials
7 results on '"Nagy, László"'

6. 07.02 Genetic signatures in rheumatoid arthritis: changes upon anti-tnf therapy and association with response to biological treatment

Author

Hamar, Attila, primary, Poliska, Szilárd, additional, Végh, Edit, additional, Pusztai, Anita, additional, Váncsa, Andrea, additional, Szamosi, Szilvia, additional, Csumita, Mária, additional, Zahuczky, Gábor, additional, Szűcs, Gabriella, additional, Szántó, Sándor, additional, Nagy, László, additional, and Szekanecz, Zoltán, additional

Published
2017
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7. Pairs Trading Arbitrage Strategy in the Old and New EU Member States.

Author

Botos, Bálint, Nagy, László, and Ormos, Mihály

Subjects
PAIRS trading, ARBITRAGE, RATE of return, PORTFOLIO management (Investments), MARKET-neutral investing, CAPITAL market
Abstract

We analyze the return gained by pairs trading arbitrage strategy in Western and Eastern European capital markets and we find contrarian evidence to the weak form of market efficiency. The portfolios established during 250 day long test periods based on the cointegration selection of the pairs and traded for 125 days on out-of-sample data. The return between 1993 and 2013 are 16.98% and 20.74% in the Western end Eastern European markets respectively. We also evaluate the standard deviations of returns achieved by the strategy and the portfolios' correlations to the MSCI Europe, S&P 500 and the risk free rate and found low correlation. The portfolios' Sharpe-ratios for the full sample period are 0.57 (western) and 0.92 (eastern), but 1.89 and 1.39 in the last 10 years. [ABSTRACT FROM AUTHOR]

Published
2013

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