Carry and momentum in the brazilian yield curve: applied quantitative finance

Carry and momentum in the brazilian yield curve: applied quantitative finance

Autor: Marca: Dial騁ica Refer麩cia: 9786525228167

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Descri鈬o

Extending the asset pricing literature, this book focuses on applying quantitative finance concepts to the Brazilian yield curve.

Through calculating momentum signals and combining them with a carry strategy, this book aims to verify whether it is possible to build a model that can obtain consistent returns in excess of the risk-free rate at any yield level, and across all different maturities along the Brazilian yield curve, a characteristic to be verified through backtesting.

Much of the knowledge regarding trading strategies often keeps restrained to players in the financial markets industry. Therefore, this field has not been completely explored in the academic scope. The findings in this book should enrich the knowledge on both the fields of trading strategies and of the Brazilian interest rates market, and consequently open opportunities for further development in each of these areas.



Caractersticas

  • Ano: 2022
  • Autor: D饕ora Darin
  • Selo: Dial騁ica
  • ISBN: 9786525228167
  • Nコ de P疊inas: 52


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Extending the asset pricing literature, this book focuses on applying quantitative finance concepts to the Brazilian yield curve.

Through calculating momentum signals and combining them with a carry strategy, this book aims to verify whether it is possible to build a model that can obtain consistent returns in excess of the risk-free rate at any yield level, and across all different maturities along the Brazilian yield curve, a characteristic to be verified through backtesting.

Much of the knowledge regarding trading strategies often keeps restrained to players in the financial markets industry. Therefore, this field has not been completely explored in the academic scope. The findings in this book should enrich the knowledge on both the fields of trading strategies and of the Brazilian interest rates market, and consequently open opportunities for further development in each of these areas.

Deixe seu comentário e sua avalia鈬o







- M痊imo de 512 caracteres.

Clique para Avaliar


  • Avalia鈬o:
Enviar
Fa軋 seu login e comente.
  • Ano: 2022
  • Autor: D饕ora Darin
  • Selo: Dial騁ica
  • ISBN: 9786525228167
  • Nコ de P疊inas: 52


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