Juan A. Serur

University of CEMA

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  • University of CEMA

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 271 Posted: 13 Sep 2018 Last Revised: 19 Dec 2018
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and University of CEMA
Downloads 11,813 (295)

Abstract:

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bond, cash, commodity, convertible bond, cryptocurrency, currency, distressed asset, energy, ETF, futures, global macro, index, infrastructure, market, option, backtesting, real estate, risk management, source code, statistical arbitrage, structured assets, tax arbitrage, trading strategy, weather

2.

Testing Momentum Effect for the US Market: From Equity to Option Strategies

Serie Documentos de Trabajo, Nro. 621
Number of pages: 45 Posted: 13 Oct 2017
Julián Ricardo Siri, Juan A. Serur and José Pablo Dapena
University of CEMA, University of CEMA and University of CEMA
Downloads 151 (189,287)

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Momentum, four-factor model, asset pricing, option pricing, implied volatility, index options.

3.

Measuring and Trading Volatility on the US Stock Market: A Regime Switching Approach

Serie Documentos de Trabajo - Documento Nro. 659
Number of pages: 27 Posted: 23 Oct 2018 Last Revised: 12 Dec 2018
José Pablo Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, University of CEMA and University of CEMA
Downloads 122 (224,061)

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Realized Volatility, Expected Volatility, Volatility Premium, Regime Switching, Excess Returns, Hidden Markov Model, VIX