L Nilsson

Independent

No Address Available

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 23,599

SSRN RANKINGS

Top 23,599

in Total Papers Downloads

2,119

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Trend Following - Expected Returns

Number of pages: 25 Posted: 14 Nov 2015 Last Revised: 09 Mar 2018
L Nilsson
Independent
Downloads 1,322 (15,140)

Abstract:

Loading...

Trend Following, Momentum, CTA, Managed Futures

2.

The Curious Case of the Pre-FOMC Drift

Number of pages: 14 Posted: 12 Aug 2015 Last Revised: 12 Feb 2018
L Nilsson
Independent
Downloads 370 (84,205)
Citation 1

Abstract:

Loading...

Behavioral Finance, FOMC, FED Meeting, Event Trading, Pre-FOMC Drift, US Federal Reserve, Monetary Policy

3.

Turn-of-the-Month: Window Dressing Behavior

Number of pages: 19 Posted: 22 Aug 2015 Last Revised: 12 Jun 2016
L Nilsson
Independent
Downloads 236 (136,647)

Abstract:

Loading...

Turn-of-the-month, window dressing, market anomalies

4.

Continuous Risk Adjustment – Does the Half-Life Have Implications for the Return Distribution

Number of pages: 11 Posted: 29 Sep 2015 Last Revised: 18 Oct 2019
L Nilsson
Independent
Downloads 75 (332,849)
Citation 1

Abstract:

Loading...

Risk Parity, Volatility, Volatility Adjustments, Portfolio Construction, Volatility Estimation

5.

Did the New Fix, Fix the Fix? An Intraday Exploration of the Precious Metal Fixing

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 11 Feb 2018
L Nilsson
Independent
Downloads 68 (351,345)

Abstract:

Loading...

Precious Metals, Fixing, Futures Trading, Intraday behavior, Commodities, Gold, Silver, Platinum, Palladium

6.

Rush for Duration

Number of pages: 12 Posted: 16 Feb 2018 Last Revised: 09 Mar 2018
L Nilsson
Independent
Downloads 48 (414,692)

Abstract:

Loading...

Bond Indices, Price Pressures, Calendar Anomalies, Passive Investments