Systematic multi-factor trading strategy based on SGX market
Numerous studies have been conducted over the years in an attempt to identify profitable trading strategies for financial markets. However, the high level of efficiency in larger markets, such as the US stock market, has led to such strategies being quickly exploited by investors and arbitrageurs. I...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
Nanyang Technological University
2023
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/167306 |
| _version_ | 1826117135739387904 |
|---|---|
| author | Cen, Yu |
| author2 | Wong Jia Yiing, Patricia |
| author_facet | Wong Jia Yiing, Patricia Cen, Yu |
| author_sort | Cen, Yu |
| collection | NTU |
| description | Numerous studies have been conducted over the years in an attempt to identify profitable trading strategies for financial markets. However, the high level of efficiency in larger markets, such as the US stock market, has led to such strategies being quickly exploited by investors and arbitrageurs. In contrast, smaller markets, such as the SGX, are thought to contain more inefficiencies, providing opportunities for profitable trading strategies.
The objective of this project is to develop a systematic trading strategy for SGX stocks, utilizing a combination of traditional approaches such as fundamental and technical analysis, as well as quantitative approaches like statistical analysis. The aim is to create a robust and profitable strategy that performs well in both back tests and real market conditions. |
| first_indexed | 2024-10-01T04:22:26Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/167306 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:22:26Z |
| publishDate | 2023 |
| publisher | Nanyang Technological University |
| record_format | dspace |
| spelling | ntu-10356/1673062023-07-07T15:42:50Z Systematic multi-factor trading strategy based on SGX market Cen, Yu Wong Jia Yiing, Patricia School of Electrical and Electronic Engineering EJYWong@ntu.edu.sg Engineering::Electrical and electronic engineering Numerous studies have been conducted over the years in an attempt to identify profitable trading strategies for financial markets. However, the high level of efficiency in larger markets, such as the US stock market, has led to such strategies being quickly exploited by investors and arbitrageurs. In contrast, smaller markets, such as the SGX, are thought to contain more inefficiencies, providing opportunities for profitable trading strategies. The objective of this project is to develop a systematic trading strategy for SGX stocks, utilizing a combination of traditional approaches such as fundamental and technical analysis, as well as quantitative approaches like statistical analysis. The aim is to create a robust and profitable strategy that performs well in both back tests and real market conditions. Bachelor of Engineering (Electrical and Electronic Engineering) 2023-06-12T04:36:47Z 2023-06-12T04:36:47Z 2023 Final Year Project (FYP) Cen, Y. (2023). Systematic multi-factor trading strategy based on SGX market. Final Year Project (FYP), Nanyang Technological University, Singapore. https://hdl.handle.net/10356/167306 https://hdl.handle.net/10356/167306 en 1134-221 application/pdf Nanyang Technological University |
| spellingShingle | Engineering::Electrical and electronic engineering Cen, Yu Systematic multi-factor trading strategy based on SGX market |
| title | Systematic multi-factor trading strategy based on SGX market |
| title_full | Systematic multi-factor trading strategy based on SGX market |
| title_fullStr | Systematic multi-factor trading strategy based on SGX market |
| title_full_unstemmed | Systematic multi-factor trading strategy based on SGX market |
| title_short | Systematic multi-factor trading strategy based on SGX market |
| title_sort | systematic multi factor trading strategy based on sgx market |
| topic | Engineering::Electrical and electronic engineering |
| url | https://hdl.handle.net/10356/167306 |
| work_keys_str_mv | AT cenyu systematicmultifactortradingstrategybasedonsgxmarket |