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Holmberg, Ulf
Publications (7 of 7) Show all publications
Holmberg, U., Lönnbark, C. & Lundström, C. (2013). Assessing the profitability of intraday opening range breakout strategies. Finance Research Letters, 10(1), 27-33
Open this publication in new window or tab >>Assessing the profitability of intraday opening range breakout strategies
2013 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 10, no 1, p. 27-33Article in journal (Refereed) Published
Abstract [en]

Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it involves the joint distribution of low, high, open and close over a given time horizon.

Place, publisher, year, edition, pages
Elsevier, 2013
Keywords
Bootstrap, Crude oil futures, Contraction–Expansion principle, Efficient market hypothesis, Martingales, Technical analysis
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-59547 (URN)10.1016/j.frl.2012.09.001 (DOI)000315537900004 ()2-s2.0-84875811325 (Scopus ID)
Available from: 2012-09-17 Created: 2012-09-17 Last updated: 2023-03-23Bibliographically approved
Holmberg, U. (2012). Essays on credit markets and banking. (Doctoral dissertation). Umeå: Umeå University
Open this publication in new window or tab >>Essays on credit markets and banking
2012 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis consists of four self-contained papers related to banking, credit markets and financial stability.   

Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely transparent in the absence of external shocks. We find evidence supporting the asset deterioration hypothesis and results that emphasize the importance of accurate firm quality estimates. In addition, we find that an increase in the debt’s time to maturity, homogenous expected default rates and a conservative lending approach, reduces the probability of a credit crunch. Thus, our results suggest some up till now partially overlooked components contributing to the financial stability of an economy.    

Paper [II] derives an econometric disequilibrium model for time series data. This is done by error correcting the supply of some good. The model separates between a continuously clearing market and a clearing market in the long-run such that we are able to obtain a novel test of clearing markets. We apply the model to the Swedish market for short-term business loans, and find that this market is characterized by a long-run nonmarket clearing equilibrium.   

Paper [III] studies the risk-return profile of centralized and decentralized banks. We address the conditions that favor a particular lending regime while acknowledging the effects on lending and returns caused by the course of the business cycle. To analyze these issues, we develop a model which incorporates two stylized facts; (i) banks in which lendingdecisions are decentralized tend to have a lower cost associated with screening potential borrowers and (ii) decentralized decision-making may generate inefficient outcomes because of lack of coordination. Simulations are used to compare the two banking regimes. Among the results, it is found that even though a bank group where decisions are decentralizedmay end up with a portfolio of loans which is (relatively) poorly diversified between regions, the ability to effectively screen potential borrowers may nevertheless give a decentralized bank a lower overall risk in the lending portfolio than when decisions are centralized.   

In Paper [IV], we argue that the practice used in the valuation of a portfolio of assets is important for the calculation of the Value at Risk. In particular, a seller seeking to liquidate a large portfolio may not face horizontal demand curves. We propose a partially new approach for incorporating this fact in the Value at Risk and Expected Shortfall measures and in an empirical illustration, we compare it to a competing approach. We find substantial differences.

Place, publisher, year, edition, pages
Umeå: Umeå University, 2012. p. 16
Series
Umeå economic studies, ISSN 0348-1018 ; 840
Keywords
financial stability, credit market, banking, agent based model, simulations, disequilibrium, clearing market, business cycle, risk, organization
National Category
Economics
Research subject
Econometrics; Economics
Identifiers
urn:nbn:se:umu:diva-53494 (URN)978-91-7459-384-6 (ISBN)
Public defence
2012-05-04, Samhällsvetarhuset, Hörsal D, Umeå Universitet, Umeå, 10:15 (English)
Opponent
Supervisors
Available from: 2012-03-30 Created: 2012-03-28 Last updated: 2018-06-08Bibliographically approved
Holmberg, U. (2011). Banking and the Determinants of Credit Crunches. Umeå: Institutionen för nationalekonomi, Umeå universitet
Open this publication in new window or tab >>Banking and the Determinants of Credit Crunches
2011 (English)Report (Other academic)
Abstract [en]

Why do banks suddenly tighten the criteria needed for credit? Creditcrunches are often explained by the implementation of new regulatoryrules or by sudden drops in firm quality. We present a novel model ofan artificial credit market and show that crunches have a tendency tooccur even if firm quality remains constant, as well as when there areno new regulatory rules stipulating lenders capital requirements. Wefind evidence in line with the asset deterioration hypothesis and resultsthat emphasise the importance of accurate firm quality estimates. Inaddition, we find that an increase in the debts’ time to maturity reducesthe probability of a credit crunch and that a conservative lendingapproach is intrinsically related to the onset of crunches. Thus, ourresults suggest some up till now partially overlooked components contributingto the financial stability of an economy.

Place, publisher, year, edition, pages
Umeå: Institutionen för nationalekonomi, Umeå universitet, 2011. p. 23
Series
Umeå economic studies, ISSN 0348-1018 ; 822
Keywords
lending, screening, agent based model, financial stability
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-45132 (URN)822 (Local ID)822 (Archive number)822 (OAI)
Available from: 2011-06-22 Created: 2011-06-22 Last updated: 2018-06-08Bibliographically approved
Lönnbark, C., Holmberg, U. & Brännäs, K. (2011). Value at risk for large portfolios. Finance Research Letters, 8(2), 59-68
Open this publication in new window or tab >>Value at risk for large portfolios
2011 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 8, no 2, p. 18p. 59-68Article in journal (Refereed) Published
Abstract [en]

We argue that the practise used in the valuation of the portfolio is important for the calculation of the Value at Risk. In particular, when liquidating a large portfolio the seller may not face horizontal demand curves. We propose a partially new approach for incorporating this fact in the Value at Risk and in an empirical illustration we compare it to a competing approach. We find substantial differences.

Place, publisher, year, edition, pages
Elsevier, 2011. p. 18
Keywords
Demand, Supply, Liquidity Risk, Limit Order Book, Bank, Sweden
National Category
Economics
Research subject
Econometrics
Identifiers
urn:nbn:se:umu:diva-22199 (URN)10.1016/j.frl.2010.10.002 (DOI)2-s2.0-79956069952 (Scopus ID)
Distributor:
Institutionen för nationalekonomi, 90187, Umeå
Available from: 2009-04-28 Created: 2009-04-27 Last updated: 2023-03-23Bibliographically approved
Holmberg, U., Sjögren, T. & Hellström, J.Comparing Centralized and Decentralized Banking: A Study of the Risk-Return Profiles of Banks.
Open this publication in new window or tab >>Comparing Centralized and Decentralized Banking: A Study of the Risk-Return Profiles of Banks
(English)Manuscript (preprint) (Other academic)
Abstract [en]

This paper studies the risk-return profile of centralized and decentralized banks. We address the conditions that favor a particular lending regime while acknowledging the effects on lending and returns caused by the course of the business cycle. To analyze these issues, we develop a model which incorporates two stylized facts; (i) banks in which lending decisions are decentralized tend to have a lower cost associated with screening potential borrowers and (ii) decentralized decision-making may generate inefficient outcomes because of lack of coordination. Simulations are used to compare the two banking regimes. Among the results, it is found that asymmetric markets (in terms of the proportion of high ability entrepreneurs) tend to favor centralized banking while decentralized banks seem better at lending in the wake of an economic downturn (high probability of a recession). In addition, we find that even though a bank group where decisions are decentralized may end up with a portfolio of loans which is (relatively) poorly diversified between regions, the ability to effectively screen potential borrowers may nevertheless give a decentralized bank a lower overall risk in the lending portfolio than when decisions are centralized.

Keywords
lending, screening, business cycle, portfolio diversification, risk, organization, simulations
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-53493 (URN)
Available from: 2012-03-28 Created: 2012-03-28 Last updated: 2018-06-08
Holmberg, U.Error Corrected Disequilibrium.
Open this publication in new window or tab >>Error Corrected Disequilibrium
(English)Manuscript (preprint) (Other academic)
Abstract [en]

We derive an econometric disequilibrium model for time series data. This is done by error correcting the supply of some good. The model naturally separates between a continuously clearing market and a clearing market in the long-run such that we are able to obtain a novel test of clearing markets. We apply the model to the Swedish market for short-term business loans, and find that this market is characterized by a long-run non-market clearing equilibrium.

Keywords
disequilibrium econometrics, error correction, clearing market, interest rates, credit market
National Category
Economics
Research subject
Econometrics
Identifiers
urn:nbn:se:umu:diva-53490 (URN)
Available from: 2012-03-28 Created: 2012-03-28 Last updated: 2018-06-08
Holmberg, U.The Credit Market and the Determinants of CreditCrunches: An Agent Based Modeling Approach.
Open this publication in new window or tab >>The Credit Market and the Determinants of CreditCrunches: An Agent Based Modeling Approach
(English)Manuscript (preprint) (Other academic)
Abstract [en]

This paper presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely transparent in the absence of external shocks. We find evidence supporting the asset deterioration hypothesis and results that emphasize the importance of accurate firm quality estimates. In addition, we find that an increase in the debt’s time to maturity, homogenous expected default rates and a conservative lending approach, reduces the probability of a credit crunch. Thus, our results suggest some up till now partially overlooked components contributing to the financial stability of an economy.

Keywords
financial stability, banking, lending, screening, truncation
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-53489 (URN)
Available from: 2012-03-28 Created: 2012-03-28 Last updated: 2018-06-08
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