Juan A. Serur

University of CEMA

No Address Available

United States

  • University of CEMA

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 522

SSRN RANKINGS

Top 522

in Total Papers Downloads

40,422

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Ideas:
“  I'm pursuing an M.S. in Mathematics in Finance at NYU's Courant Institute of Mathematical Sciences. In 2020, I'll perform as a Global Summer Associate of the Cross-Asset Quantitative Strategies program in Bank of America Merrill Lynch, New York  ”

  • University of CEMA

Scholarly Papers (7)

Actions:
Email selected abstracts
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: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and University of CEMA
Downloads 39,176 (39)

Abstract:

Loading...

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.

151 Estrategias de Trading (151 Trading Strategies)

Z. Kakushadze y J.A. Serur. 151 Estrategias de Trading (Spanish Edition, 2019), 398 pp; ISBN 978-1071261873
Number of pages: 398 Posted: 19 Jun 2019 Last Revised: 24 Sep 2019
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and University of CEMA
Downloads 577 (50,091)

Abstract:

Loading...

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

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 212 (154,485)
Citation 1

Abstract:

Loading...

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

4.

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 184 (176,032)

Abstract:

Loading...

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

5.

Risk On-Risk Off: A Regime Switching Model for Active Portfolio Management

Serie Documentos de Trabajo - Nro. 706, 2019
Number of pages: 13 Posted: 16 Jan 2020
José Pablo Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, University of CEMA and University of CEMA
Downloads 162 (196,655)

Abstract:

Loading...

regime switching, active investment, two fund separation, excess returns, hidden markov model, VIX

6.

A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks

Serie Documentos de Trabajo, Nro. 703, 2019
Number of pages: 16 Posted: 23 Dec 2019
José Pablo Dapena, Juan A. Serur and Julián Ricardo Siri
University of CEMA, University of CEMA and University of CEMA
Downloads 71 (349,510)

Abstract:

Loading...

Asset Pricing, Options-pricing, Insurance, Capital Markets

7.

Unraveling the Value Premium: A Reward for Risk or Mispricing?

Serie Documentos de Trabajo, Nro. 704, 2019
Number of pages: 29 Posted: 23 Dec 2019
Claudio E. Serur, Julián Ricardo Siri, Juan A. Serur and José Pablo Dapena
affiliation not provided to SSRN, University of CEMA, University of CEMA and University of CEMA
Downloads 40 (453,720)

Abstract:

Loading...

Factor Investing, Factor Models, Quality Factor, Excess Returns, Value Investing