Jozef Rudy

Harvest Alpha Capital

Portfolio Manager

Bratislava

Slovakia

  • Harvest Alpha Capital

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 4,483

SSRN RANKINGS

Top 4,483

in Total Papers Downloads

9,702

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 5,963 (1,253)

Abstract:

Loading...

Price shock, overreaction, delayed reaction, contrarian profits, multi-factor models

2.

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Number of pages: 31 Posted: 01 Jun 2013 Last Revised: 03 Jun 2013
Jozef Rudy, Christian Dunis, Gianluigi Giorgioni and Jason Laws
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool - Accounting and Finance Division
Downloads 1,704 (10,537)
Citation 3

Abstract:

Loading...

High-frequency data, statistical arbitrage, pairs trading, cointegration, time adaptive models

3.

Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

ETF Risk, 2013, October, 36-41
Number of pages: 24 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 1,216 (17,775)

Abstract:

Loading...

Mean reversion, ETFs, pairs trading, autocorrelation

4.

Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

Number of pages: 19 Posted: 02 Jun 2013
Jozef Rudy, Christian Dunis and Jason Laws
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool - Accounting and Finance Division
Downloads 819 (31,660)
Citation 2

Abstract:

Loading...

Statistical arbitrage, ETFs, pairs trading, time adaptive models