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High Probability Trading - Measuring Short-Term Market Risk

Olaisson, Eric and Thorell, Eric (2009)
Department of Economics
Abstract
The main object of this thesis is to create a life-expectancy profile for the short-term trend on several financial markets. Our data sample consists of closing prices for 3 indexes and 1 stock for a time period of approximately twenty years. We find it reasonable to not only examine the market as a whole, but specifically bull and bear markets. The main reason is that market characteristics change over time, and previous studies have shown that studying bull and bear markets separately leads to more accurate results.
The calculated probability distributions are to work as a tool for the short-term trader in making high probability trades and managing risk appropriately. We hope our approach can be used as a supplement to Value at Risk. We... (More)
The main object of this thesis is to create a life-expectancy profile for the short-term trend on several financial markets. Our data sample consists of closing prices for 3 indexes and 1 stock for a time period of approximately twenty years. We find it reasonable to not only examine the market as a whole, but specifically bull and bear markets. The main reason is that market characteristics change over time, and previous studies have shown that studying bull and bear markets separately leads to more accurate results.
The calculated probability distributions are to work as a tool for the short-term trader in making high probability trades and managing risk appropriately. We hope our approach can be used as a supplement to Value at Risk. We want to emphasize that this thesis should not be considered as a trading strategy, but as a trading tool for managing risk, and to increase the odds for short-term traders. (Less)
Please use this url to cite or link to this publication:
@misc{1338339,
  abstract     = {The main object of this thesis is to create a life-expectancy profile for the short-term trend on several financial markets. Our data sample consists of closing prices for 3 indexes and 1 stock for a time period of approximately twenty years. We find it reasonable to not only examine the market as a whole, but specifically bull and bear markets. The main reason is that market characteristics change over time, and previous studies have shown that studying bull and bear markets separately leads to more accurate results.
The calculated probability distributions are to work as a tool for the short-term trader in making high probability trades and managing risk appropriately. We hope our approach can be used as a supplement to Value at Risk. We want to emphasize that this thesis should not be considered as a trading strategy, but as a trading tool for managing risk, and to increase the odds for short-term traders.},
  author       = {Olaisson, Eric and Thorell, Eric},
  keyword      = {value at risk,High probability trading,life-expectancy profiles,probability distributions,Dow Theory,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {eng},
  note         = {Student Paper},
  title        = {High Probability Trading - Measuring Short-Term Market Risk},
  year         = {2009},
}