Juan A. Serur

University of CEMA

No Address Available

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 11,144

in Total Papers Downloads

3,981

CITATIONS

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Scholarly Papers (3)

1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature (Forthcoming)
Number of pages: 257 Posted: 13 Sep 2018
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and University of CEMA
Downloads 3,845 (2,141)

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
University of CEMA, University of CEMA and University of CEMA
Downloads 129 (205,838)

Abstract:

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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: 26 Posted: 23 Oct 2018
University of CEMA, University of CEMA and University of CEMA
Downloads 7

Abstract:

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